Blogging Options: CBOE Morning Update

Stock Mover’s

Navistar (NAV) is recently up $3.94 to $40.48 in pre-open trading following Q4 adjusted EPS $3.37 vs. consensus $3.08. Overall option implied volatility of 53 is above its 26-week average of 47.

CVS Caremark (CVS) is recently up $1.39 to $37.95 in pre-open trading after backing 2011 guidance. Overall option implied volatility of 26 is near its 26-week average of 25.
 
Red Hat (RHT) is recently down $3.85 to $42.30 in pre-open trading on Q3 revenue $290M vs. consensus $289.62M. Overall option implied volatility of 47 is above its 26-week average of 43.

Jefferies (JEF) is recently up 70c to $12.60 in pre-open trading on Q4 revenue $554M vs. consensus $562.36M. Overall option implied volatility of 67 is above its 26-week average of 55.

Volatility as an asset class
 
CBOE Volatility Index-VIX closed at 24.92, 10-day moving average is 26.52, 50-day moving average is 30.23
U.S. equity’s are trading up in pre-open trading as treasury bond prices sell off.
 

CBOE significant put volume increases;
 
SLB 5/19/2012 52.50 15K contracts
NSC 1/21/2012 65 14K
TEVA 1/19/2013 45 7K
BAC 1/19/2013 2.50 6K
TEVA 1/21/2012 42.5 3K
JPM 1/21/2012 30 3K