Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Lululemon Athletica (LULU) is recently down $5.75 to $44.40 in pre-open trading on reported Q3 revenue of $230.2M vs. consensus $235.74M. Overall option implied volatility of 60 is above its 26-week average of 55.
 
American Eagle (AEO) reported Q3 EPS 27c vs. consensus 27c on reported Q3 revenue $831.83M vs. consensus $791.43M. Overall option implied volatility of 40 is near its 26-week average of 42.

Disney (DIS) is recently up 45c to $36.40 in pre-open trading following the board increasing its annual cash dividend by 50% to 60c. Overall option implied volatility of 32 is near its 26-week average.

U.S. equity futures are mixed to lower a day after international equity markets rallied on global central banks announcing a coordinated response to improve liquidity.
 
SPDR S&P 500 ETF (SPY) overall volatility at 27 is above its 26-week average of 25.
 

CBOE significant call volume increases;
 
AMGN 12/17/2011 65 10K contracts
AA 4/21/2012 10 9K
AKS 12/17/2011 8 8K
C 12/17/2011 27 8K
WFC 1/21/2012 26 7K
ANR 12/17/2011 23 6K
ITUB 1/21/2012 17.5 6K
MS 1/21/2012 16 5K
BAC 1/21/2012 6 5K

Weekly Jobless Claims revised slightly higher to 402k.

November Employment Report tomorrow will be interesting. Price Headley in a blog Monday was loking for a gain of 118k, consensus on the street last week was 125k, but is over 150k now. ADP came in with a 204k number yesterday.

VIX starts the day at 27.80.