Blogging Options: CBOE Morning Update

Stock Mover’s
 
Medicis (MRX) is recently down $1.26 to $32.59 in pre-open trading after lowering its Q4 EPS guidance from 63c-69c to 51c-57c. Sales move from $187M-$200M to $170M-$183M. Overall option implied volatility of 34 is below its 26-week average of 39.

Cavium (CAVM) is recently down $2.12 to $26.36 in pre-open trading after lowering Q4 sales $56-$57M, which compares to the Street estimate of $61.6M. Overall option implied volatility of 72 is above its 26-week average of 58.
 
 
CBOE significant call volume increases;
 
NLY 1/21/2012 16 5K contracts
PFE 1/19/2013 22.5 5K
AAPL 12/30/2011 410 4K
CSCO 1/21/2012 20 3K
BAC 1/21/2012 6 3K
SVNT 1/19/2013 2.5 3K
 

Volatility as an asset class

CBOE Volatility Index-VIX closed at 21.90, 10-day moving average is 23.42, 50-day moving average is 29.27.

U.S. stock index futures are moderately higher, suggesting a higher open for the broader market, after yields at an Italian bond auction fell. AdditionalItalian auctions later this week.

DJIA futures up 27 points, S&P futures higher by 3.50 points. Yesterday’s volume was lightest of the year, and the same expected today.