Blogging Options: CBOE Morning Update

Volatility as an asset class

Pentair (PNR) is recently up $6.64 to $46.90 in the premarket on the company saying it will merge with the flow-control business of Tyco International (TYC) via a stock-swap deal. PNR overall option implied volatility of 21 is below its 26-week average of 31.
 
Tyco International overall option implied volatility of 20 is below its 26-week average of 30.

Family Dollar (FDO) is recently up 66c to $58.90 in the premarket after the company reported Q2 EPS $1.15, consensus $1.13. Overall option implied volatility of 22 is below its 26-week average of 28.

 
Stocks with significant call volume increases;
 
INTC 4/21/2012 30 33K
 
AAPL 3/30/2012 615 14K
 
BAC 3/30/2012 10 11K
 
UPS 4/21/2012 80 7K
 
AMZN 3/30/2012 210 7K
 
KGC 1/19/2013 10 7K

U.S. equities and oil remain mixed. Durable Goods were up 2.2% (consensus +3%, Price Headley earlier this week in our community was looking for up 2.5%), Ex-Auto up 1.6% (+1.7% expected).

Quarterly portfolio adjusting going on. Weekly, Quarterly options have been busy, SPXpm volume picking up.