Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Winnebago (WGO) closed at $8.90 prior to reporting Q2 EPS of (3c) on revenue of $131.6M, consensus $120.07M. Overall option implied volatility of 64 is near its 26-week average of 65.
 
Guess (GES) is recently down $4.30 to $32.40 after announces it sees Q1 EPS 25c-28c, consensus 48c. Overall option implied volatility of 51 is below its 26-week average of 54.

Cisco (CSCO) is recently down 22c to $19.97 in the premarket on the purchase of NDS Group for $5B. Overall option implied volatility of 26 is below its 26-week average of 32.
 
CBOE Volatility Index-VIX closed at 15.31, 10-day moving average is 17.33, 50-day moving average is 18.92.

 
Stocks with significant call volume increases;

ORCL 6/16/2012 25 15K contracts (editors note: this volume was reported incorrectly, see comments below)

AAPL 3/17/2012 580 14K

GLD 3/17/2012 160 11K

 
U.S. equities are mixed to slightly higher. PPI +0.4%, Core +0.2%, both in line. Initial Jobless Claims 351K, 4-week moving average 355.7k. Philly FED later this morning. Today is last day to trade March SPX options, Triple Witch tomorrow. Get your NCAA picks in, tourney starts in 3-hours.