Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Brocade (BRCD) closed at $5.50 prior to guiding Q2 EPS 11c-12c, compared to consensus 13c. Overall option implied volatility of 55 is below its 26-week average of 58.
 
Dell (DELL) is recently down $1.21 to $17 in the premarket on the company expecting the first half of FY13 to be "challenging." Overall option implied volatility of 33 is below its 26-week average of 38.
 
NASDAQ 100 (QQQ) overall implied volatility at 19; 26-week average is 23.

Russell 2000 (IWM) overall implied volatility at 26; 26-week average is 27.
 
 
Active options at CBOE

LNG 3/17/2012 12 25K contracts
CSCO 4/21/2012 22 22K
CHTP 3/17/2012 4 16K
AAPL 2/24/2012 510 11K
SWN 3/17/2012 36 10K
JPM 3/17/2012 40 9K
INTC 7/21/2012 25 7K
MSFT 3/17/2012 30 7K 

U.S. equities are mixed to lower as investors are sceptical of Athens’ ability to enact reforms. Dell miss didn’t help. Hewlett announces after the bell.

 

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