Blogging Options: CBOE Morning Update

Stock Mover’s
 
Caterpillar (CAT) is recently up $4.41 to $91.80 in pre-open trading on earnings and beating estimates. Overall option implied volatility of 44 is above its 26-week average of 39.
 
HealthSpring (HS) option implied volatility elevated at 48 into Cigna (CI) $3.8B acquisition.

Volatility as an asset class
 
Netflix (NFLX) overall option implied volatility of 85 is above its 26-week average of 56 into the expected release of Q3 results today.
 
Green Mountain Coffee (GMCR) overall option implied volatility of 90 is above its 26-week average of 60 on wide share price movement.
 
The VSTOXX Index recently down 1.69 to 39.04; 50-day average of 43.19.
 

CBOE significant call volume increases
 
MSFT 10/22/2011 27 21K contracts
XOM 10/22/2011 80 15K
CCL 11/19/2011 35 13K
AAPL 10/22/2011 400 9K
CSCO 10/22/2011 17 7K
BAC 11/19/2011 7.5 7K

 

Stock Futures higher. Several acquisitions in the news. Merrill comments about another US debt downgrade ignored – for now. WMT guarantee to match any lower price during holidays gets good street buzz.