Blogging Options: CBOE Morning Update

Stock Mover’s
 
Valero Energy (VLO) is recently down 3.3% in pre-open trading following Q3 EPS of $2.11, compared to consensus of $1.90. Overall option implied volatility of 53 is above its 26-week average of 44.

HCA Holdings (HCA) is recently down 15% in pre-open trading on Q3 EPS of 11c compared to consensus estimates of 43c. Overall option implied volatility of 55 is above its 26-week average of 49.

Pfizer (PFE) is recently down 0.4% in pre-open trading following Q3 adjusted EPS of 62c compared to consensus estimates of 55c. Overall option implied volatility of 26 is near its 26-week average.
 
 
Volatility as an asset class
 
CBOE S&P 500 Skew Index (SKEW) closed at 121.18; above ita 50-day moving average of 120.17.
 
CBOE S&P 500 Skew Index-SKEW, is a benchmark measure of the perceived risk of extreme negative moves — often referred to as "tail risk" or a "black swan" event.
 

CBOE significant put volume increases;
 
TGT 4/21/2012 48 11K contracts
SWI 3/17/2012 25 9K
BAC 1/19/2013 5 6K
SWI 3/17/2012 27.5 6K
FXY 11/19/2011 129 3K
AA 11/4/2011 11 3K
X 11/19/2011 26 3K
GS 11/4/2011 105 2K

S&P Futures down 33, DJIA off 212, NASDAQ Futures -51, a very soft opening.

Europe & MFGlobal are the morning focus, then we watch the FED.

The VIX was up 5.43 (22%) yesterday to 29.96. VIX 200 day MA touched Friday in 24.50 range, 50-day a shade below 35. 30 level on VIX is an interesting level for chartists.