Blogging Options: CBOE Morning Update

Stock Mover’s
 
Gap (GPS) is indicated higher in pre-open trading after reaffirming FY11 EPS of $1.40-$1.50 vs. consensus $1.50. Overall option implied volatility of 58 is above its 26-week average of 42.

Salesforce.com (CRM) is recently trading down $5.99 to $119.95 in pre-open trading following Q3 results. Overall option implied volatility of 80 is above its 26-week average of 52.

Intuit (INTU) is indicated higher in pre-opening trading following the company seeing Q2 revenue of $1.00B to $1.02B vs. consensus $1.00B. Overall option implied volatility of 43 is above its 26-week average of 34.
 
U.S. equity futures are indicated higher following to sharp down days.
 
 
Volatility as an asset class
 
Financial Select Sector (XLF) overall volatility of 43 is above its 26-week average is 28.
 
NASDAQ 100 (QQQ) overall implied volatility at 30; 26-week average is 25.
 
Russell 2000 (IWM) overall implied volatility at 38; 26-week average is 26.
 
 
CBOE significant put volume increases;
 
CHK 12/17/2011 24 6K contracts
AAPL 11/19/2011 375 5K
BAC 11/19/2011 6 5K
AAPL 11/19/2011 380 4K
JEF 11/19/2011 10 4K
AMRN 12/17/2011 6 4K

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