Volatility as an asset class
Walgreen (WAG) is recently down 40c to $33.45 in the premarket after reporting March SSS down 6.8%. Overall option implied volatility of 24 is below its 26-week average of 31.
Monsanto (MON) is recently up 50c to $82.30 in the premarket after reporting reports Q2 EPS $2.28, consensus $2.12. Overall option implied volatility of 27 is below its 26-week average of 32.
SanDisk (SNDK) is recently down $3.75 to $46.35 in the premarket on the company seeing lower than expected Q1 revenue. Overall option implied volatility of 38 is below its 26-week average of 43.
CBOE Volatility Index-VIX closed at 15.66, 10-day moving average is 15.31, 50-day moving average is 17.37.
Stocks with significant put volume increases;
MPEL 7/21/2012 12 12K contracts
IVN 6/16/2012 15 11K 906
ACI 5/19/2012 10 9K
MCK 5/19/2012 85 9K
AAPL 4/5/2012 620 7K
CSCO 6/16/2012 20 5K
U.S. equities are lower on weak demand at Spain’s bond auction and slowing economy in Germany.
ADP reported a monthly gain of 209k jobs, in line with the consensus number due Friday. DJIA futures off 110 points, S&P futures lower by 12 points.