Blogging Options: CBOE Morning Update

Volatility as an asset class

Groupon (GRPN) is recently down $2.43 to $22.15 in the premarket after reporting Q4 EPS (2c) vs. consensus 3c. Overall option implied volatility of 98 is above its thee-month average of 55.

Cisco (CSCO) is recently up down 9c to $20.34 after reporting Q2 revenue $11.5B vs. consensus $11.23B. Overall option implied volatility of 31 is near its 26-week average of 32.

PepsiCo (PEP) is recently down $1.29 to $65.44 in the premarket on seeing a 2012 decline in core EPS of about 5% from FY11 core EPS $4.40. Overall option implied volatility of 16 is below its 26-week average of 18.

U.S. equities are slightly higher on reports Greek leaders agreed to austerity measures.

Significant put volume increases;

MSFT 3/17/2012 30 14K contracts
BAC 2/18/2012 8 12K
NXY 3/17/2012 17 7K
CSCO 2/10/2012 19 7K
KITD 7/21/2012 12.5 6K
AAPL 2/10/2012 470 4K