Blogging Options: CBOE Morning Update

Volatility as an asset class
Ciena (CIEN) is recently up 91c to $14.35 in the premarket after reporting better than expected Q1 revenue expectations.
Overall option implied volatility of 63 is near its 26-week average.
Pandora (P) is recently down $3.43 to $10.82 in the premarket following less than expected Q4 results and guidance. Overall option implied volatility of 73 is near its 26-week average.
American Eagle (AEO) is recently up 38c to $15 in the premarket after reporting Q4 adjusted EPS 35c, consensus 35c. March call option implied volatility is at 56, April is at 42, May is at 39; compared to its 26-week average of 44.

Stocks with significant put volume increases;
BAC 5/19/2012 7 11K contracts
RIMM 3/9/2012 13 10K
C 3/17/2012 33 8K
HPQ 4/21/2012 23 7K
AAPL 3/9/2012 525 6K
SNV 4/21/2012 2 6K
C 5/19/2012 32 5K

CBOE Volatility Index-VIX closed at 20.87, 10-day moving average is 18.03, 50-day moving average is 19.59.

U.S. equities are higher after the S&P 500 index posted its largest decline this year. The ADP Employment Report hit the consensus estimate of a 216k gain. Non-Farm Productivity rose but unit labor cost did as well. Apple expected to announce new ipad this afternoon.



No Comments

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.