Volatility as an asset class
Lennar (LEN) is recently up $1.10 to $27.10 in the premarket after reporting : Lennar reports Q1 EPS 8c, consensus 4c Overall option implied volatility of 40 is below its 26-week average of 46.
Walgreen (WAG) is recently up 69c to $35.05 in the premarket after reporting Q2 EPS 78c, consensus 77c. April and July call option implied volatility of 27 is below its 26-week average of 31.
Apollo Group (APOL) is recently down $2.45 to $40.75 after reporting Q2 revenue $969.6M, consensus $932.82M. April put option implied volatility is at 43, May is at 37; compared to its 26-week average of 40.
CBOE Volatility Index (VIX) closed at 14.26, 10-day moving average is 15.03, 50-day moving average is 17.91.
Stocks with significant call volume increases;
BAC 3/30/2012 10 12K contracts
AAPL 3/30/2012 600 11K
JPM 1/19/2013 50 6K
GLD 4/21/2012 175 5K
KERX 4/21/2012 6 5K
U.S. equities are flat to higher as stocks are poised to have their best quarter since 2009.