Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Shutterfly (SFLY) is recently up $3.84 to $30.80 in the premarket following the purchase of certain assets of Kodak Gallery on-line photo services business. Overall option implied volatility of 57 is below its 26-week average of 63.

Foot Locker (FL) is recently down 52c to $29 in the premarket following Q4 EPS 55c, consensus 51c. Overall option implied volatility of 35 is below its 26-week average of 44.

Big Lots (BIG) is recently down $1.08 to $43.41 in the premarket after reporting Q4 adjusted EPS $1.83, consensus $1.73 on Q4 revenue $1.67B. Overall option implied volatility of 33 is near its 26-week average of 34.
 
CBOE Volatility Index-VIX closed at 17.26, 10-day moving average is 17.93, 50-day moving average is 19.86.

Stocks with significant put volume increases;

SLE 4/21/2012 19 13K contracts

AAPL 3/2/2012 540 9K

BAC 4/21/2012 6 8K

JBL 3/17/2012 25 8K

SNV 5/19/2012 2 6Klly.

RIMM 3/9/2012 14 5K

TRIP 4/21/2012 30 5K

U.S. equities are mixed to lower on profit taking. Two DJIA components lower to a neutral rating by analysts. Yelp IPO out at $15, higher than the $12.50 to $14 range anticipated. If YELP options listed, earliest expected approximately March 14th. VIX starts day at 17.26.

 

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