Blogging Options: CBOE Morning Update

Stock Mover’s
 
Sysco (SYY), a leading food distributor, is recently up 82c to $28.62 in pre-open trading on reported adjusted Q1 EPS 51c vs. consensus 52c. Overall option implied volatility of 27 is above its 26-week average of 24.

OmniVision (OVTI), a developer of advanced digital imaging technologies, is recently down $2.98 to $14.32 in pre-open trading following lowering Q2 revenue view to $212M-$217M vs. consensus $260M. Overall option implied volatility of 74 is above its 26-week average of 65.

Volatility as an asset class
 
Cisco (CSCO) overall option implied volatility of 38 is above its 26-week average of 33 according to Track Data, suggesting larger price movement into the expected release of Q1 results on November 9. 
 
 
CBOE significant put volume increases;
 
ORCL 1/21/2012 30 22K contracts
SBUX 4/21/2012 39 12K
CEDC 12/17/2011 2.5 10K
LPS 12/17/2011 17 9K
LEN 12/17/2011 17 8K
DOV 3/17/2012 45 8K
INTC 2/18/2012 21 7K
GM 11/19/2011 23 7K

S&P 500 futures off 6 points, DJIA lower by 50.

Greece & Italy – again.

Earnins season almost over.

VIX begins week slightly above 30.

Futures margins eased (after confusion over the weekend), MFGlobal related.