Blogging Options: CBOE Morning Update

Volatility as an asset class

Peabody Energy (BTU) is recently up 28c to $28.74 in the premarket after reporting Q1 EPS 67c on revenue of $2.04B, compared to consensus $2.09B. Overall option implied volatility of 50 is near its 26-week average of 52.
 
Freeport McMoRan (FCX) is recently up 37c to $38.66 in the premarket after reporting Q1 EPS with items 80c, consensus 86c. Overall option implied volatility of 39 is below its 26-week of 44.
 
Verizon (VZ) is recently up 54c to $38.18 in the premarket after reporting Q1 EPS 59c, consensus 58c. Overall option implied volatility of 17 is below its 26-week average of 19.
 
DuPont (DD) is recently up 13c to $53.40 in the premarket after reporting Q1 adjusted EPS $1.61 on revenue of $11.2B compared to consensus $11.23B. Overall option implied volatility of 24 is below its 26-week average of 27.
 
Bank of America (BAC) is recently up 33c to $9.25 after reporting Q1 adjusted EPS 31c, consensus 12c. Overall option implied volatility of 46 is below its 26-week average of 58.
 
CBOE Volatility Index-VIX closed at 18.64, 10-day moving average is 18.57, 50-day moving average is 17.39.
 
U.S. equities are higher in the premarket on better than expected corporate results.
 

Stocks with significant call volume increases;
 
BAC 4/21/2012 9 19K contracts

MSFT 4/21/2012 30 17K 178

AAPL 4/21/2012 610 16K 546

EBAY 7/21/2012 40 13K 002

INTC 4/21/2012 28 12K

CHK 5/19/2012 20 9K

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