Blogging Options: CBOE Morning Update

Volatility as an asset class
Apple (AAPL) is recently up to ~$600 in the premarket into Tim Cook, Apple’s CEO, and Peter Oppenheimer, Apple’s CFO, hosting a 9AM conference call. They are expected to announce a dividend of $2.65 per quarter and a stock-buy back of up to $10B. Overall option implied volatility of 35 is above its 26-week average of 31.

Dunkin Brands (DNKN) is recently is recently down 61c to $31.30 in the premarket after filing to sell 22M shares of common stock for holders. Overall option implied volatility of 32 is below its 26-week average of 38 according to Track Data.

CBOE Volatility Index-VIX closed at 15.42, 10-day moving average is 16.89, 50-day moving average is 18.62.

Stocks with significant put volume increases;

AAPL 3/17/2012 585 17K contracts
BAC 4/21/2012 9 12K
MMR 3/17/2012 13 6K
CSCO 3/17/2012 20 5K

U.S. equities were up after the AAPL news, but are mixed to lower going into the bell on slowing growth concerns in emerging markets. If you read Russell’s weekend review you saw the Options Action group Friday talking about a bearish play on AAPL, which isn’t working out well so far (up almost 2%),