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.

 

 

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