Blogging Options: CBOE Morning Update

Stock Mover’s
 
Wendy’s (WEN) is recently down 14c to $5.35 in pre-open trading on reported Q3 EPS of 5c ex-items vs. consensus 4c. Overall option implied volatility of 41 is near its 26-week average.

Macy’s (M) is recently down $1.30 to $30.85 in pre-open trading on reported Q3 EPS of 32c vs. consensus 16c. Overall option implied volatility of 40 is near its 26-week average.

General Motors (GM) is recently down $1.57 to $23.47 in pre-open trading on Q3 EPS of $1.03 on revenue of $36.7B. Overall option implied volatility of 49 is above its 26-week average of 42.
 

Volatility as an asset class
 
SPDR S&P 500 ETF (SPY) is down $3.20 to $124.69 in pre-open trading. Overall option implied volatility of 24 is near six-month average.
 

CBOE significant put volume increases;
 
WEN 1/21/2012 5 7K contracts
CSCO 12/17/2011 16 4K
GM 11/19/2011 23 3K
ITUB 11/19/2011 18 3K
DYN 12/17/2011 3 3K
MRK 1/21/2012 30 3K
BAC 8/18/2012 6 2K
OVTI 11/19/2011 15 2K

What did we say yesterday? Italian Bonds. 7% or higher on 10-year has many professionals worried. Yield exploded overnight to almost 7.3%. US 10-year below 2% again.

Stock futures sharply lower.