Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Coca-Cola (KO) overall option implied volatility of 20 is above its 26-week average of 17; suggesting larger price movement into Q3 EPS $1.03 vs. consensus $1.02.
 
Johnson & Johnson (JNJ) overall option implied volatility of 21 is near its 26-week average of 20, suggesting larger price movement into Q3 adjusted EPS $1.24 on reported Q3 revenue of $16B.

VMware (VMW) overall option implied volatility of 63 is above its 26-week average of 42; suggesting larger price movement into Q3 EPS 53c vs. consensus 50c.
 

CBOE significant call volume increases
 
VMED 1/21/2012 29 10K contracts
BAC 10/22/2011 7 9K
GLD 11/19/2011 165 9K
ODP 1/21/2012 3 8K
IDIX 1/21/2012 7.5 7K
AAPL 10/22/2011 420 5K
BEXP 11/19/2011 37 4K
MNKD 1/19/2013 4 4K

Markets off slightly at opening. PPI numbers higher than expected. On earnings front, bank earnings mixed. KO & JNJ surprise to upside, IBM good but missed estimates.