Blogging Options: CBOE Morning Update

Volatility as an asset class

Kroger (KR) is recently up 96c to $24.75 in the premarket on Q4 adj EPS 50c, consensus 49. Overall option implied volatility of 26 is near its 26-week average of 26.

Wendy’s Group (WEN) is recently up 5c to $5.12 in the premarket following the release of Q4 adjusted EPS of 4c, compared to consensus estimates of 3c. Overall option implied volatility of 34 is near its 26-week average of 35.

Nordstrom (JWN) is recently down $1.82 to $51.80 after releasing February SSS rose 10.2%. Overall option implied volatility of 28 is below its 26-week average of 33.

CBOE Volatility Index-VIX closed at 18.43, 10-day moving average is 18.31, 50-day moving average is 20.

Stocks with significant put volume increases;

TC 9/22/2012 7 15K

AAPL 3/2/2012 540 8K

BAC 8/18/2012 6 14K

GILD 4/21/2012 40 11K

HBAN 7/21/2012 5 6K

 

U.S. equities are mixed to higher on Bernanke comments confirming interest rates are likely to remain low into late 2014. European stocks higher, U.S. February Same Store Sales from retailers come in better than expected. Gold flat after 4% loss yesterday. SPX and VIX traded more than 500,000 contracts yesterday.