Blogging Options: CBOE Morning Update

Volatility as an asset class:

Campbell Soup (CPB) is recently up 44c to $32.5o in the premarket on the company reporting Q2 adjusted EPS 64c vs. consensus 62c. Overall option implied volatility of 22 is above its 26-week average of 18.
 
Heinz (HNZ) is recently up $1.30 to $53.40 in the premarket on the company reporting Q3 EPS 95c ex-items vs. consensus 86c. Overall option implied volatility of 16 is below its 26-week average of 19.
 
General Mills (GIS) is recently down $1.26 in the premarket on the company seeing Q3 adjusted EPS 54c-56c vs. consensus 60c. Overall option implied volatility of 16 is below its 26-week average of 17.
 
SPDR Gold Trust (GLD) overall implied volatility at 19; 26-week average is 23.

Stocks with significant put volume increases;

YHOO 7/21/2012 14 22K contracts

BAC 5/19/2012 7 15K

CMCSA 3/17/2012 28 13K

AAPL 2/18/2012 490 12K

GE 4/21/2012 18.0000 12K

FCX 3/17/2012 40 103K

U.S. equities are mixed to slightly higher in the first 45 minutes of trading. Still uncertainty of the timing of the

Greek bailout.

Long weekend could have volume slow this afternoon. Option expiration today. “Pitchers and catchers report” tomorrow, that has a good ring to it.