Volatility as an asset class
Freeport McMoRan (FCX) is recently up 60c to $45.07 in the pre-market following Q4 EPS 67c vs. consensus 60c on Q4 revenue of $4.16B vs. consensus $3.75B. Overall option implied volatility of 40 is below its 26-week average of 51.
Bank of America (BAC) is recently up 43c to $7.23 in the pre-market after reporting Q4 revenue $25.1B vs. consensus $24.08B. Overall option implied volatility of 52 is below its 26-week average of 57.
UnitedHealth (UNH) is recently up 81c to $54.74 in the pre-market after reaffirming FY12 guidance and reporting Q4 EPS $1.17 vs. consensus $1.03. Overall option implied volatility of 27 is below its 26-week average of 32.
CBOE significant call volume increases;
PM 2/18/2012 65 20K contracts
BAC 1/21/2012 6 19K
INTC 1/21/2012 25 6K
AAPL 1/21/2012 425 6K
MSFT 1/21/2012 27.5 6K
CHK 1/21/2012 27 4K
DNDN 5/19/2012 10 4K
U.S. equities are mixed to higher on successful European bond sales and solid U.S. corporate earnings.
CBOE Volatility Index-VIX closed at 20.88, 10-day moving average is 21.31, 50-day moving average is 26.65.
SPXpm daily volume continues to rise.