Blogging Options: CBOE Morning Update

Volatility as an asset class
 
VIX methodology for iShares MSCI Emerging Markets Index Fund- $VXEEM closed at 43.54 as global stock rise on European debt deal.
 
MSCI Emerging Markets Index (EEM) is recently up $1.64 to $41.95 in pre-open trading.
 

Stock Mover’s
 
Bristol-Myers (BMY) is recently up 47c to $32.98 in pre-open trading on Q3 EPS of 61c vs. consensus 58c. Overall option implied volatility of 20 is near its 26-week average.

Procter & Gamble (PG) is recently up 10c to $65 in pre-open trading on inline Q1 EPS of $1.03. Overall option implied volatility of 17 is near its 26-week average.

Exxon Mobil (XOM) is recently up $1.28 to $82.34 in pre-open trading on inline Q3 results of $2.13. Overall option implied volatility of 25 is near its 26-week average of 24.
 
 

CBOE significant call volume increases;
 
MF 3/17/2012 1 14K contracts
JNJ 1/21/2012 67.5 8K
XOM 11/19/2011 80 7K
SSRI 12/17/2011 20 6K
X 11/19/2011 26 5K
MSFT 11/19/2011 27 4K
LNG 1/21/2012 7 4K
C 1/21/2012 35 3K
DHI 1/19/2013 12.5 3K

Stocks off to the races. Major US indices up 2% in first half-hour of trade. Soothing talk from Europe and GDP reporting in with a 2.5% gain (in line with expectations) key factors. VIX drops 12% to 26.23 (3.63 points). Watch stock and option volume today.