Blogging Options: CBOE Morning Update

Volatility as an asset class

Research in Motion (RIMM) volatility elevated; shares recently down 20%; device sector I.V. elevated

Research in Motion (RIMM) is recently down 20% to $23.55 following a drop in a Q2 profit and guidance. October put option implied volatility is at 81, November at 75; above its 26-week average of 52.
 
Nokia (NOK) overall option implied volatility of 58 is above its 26-week average of 49.
 
Dell (DELL) overall option implied volatility of 41 is above its 26-week average of 35.
 
Apple (AAPL) overall option implied volatility of 33 is near its 26-week average of 32.
 

The VSTOXX Index is recently down 69c to 41.59; above its 15-day average of 43.49
 

CBOE significant call volume increases
 
RIMM 9/17/2011 32.5 15K contracts
COV 1/21/2012 60 11K
WFC 1/21/2012 26 6K
GLD 9/17/2011 175 5K
MOS 9/17/2011 70 5K
BAC 9/17/2011 7 5K
AAPL 9/17/2011 395 4K 

U of M Sentiment later this morning. Futures slightly lower.

Happy Triple Witch

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