Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Apple (AAPL) is trading up $56.43 to $616.71 in the premarket on better than expected results and outlook. Unit sales and margins much better than expected. Overall option implied volatility of 36 is above its 26-week average of 32.

Caterpillar (CAT) is down 40c to $108 in the premarket after reporting Q1 EPS $2.37, consensus $2.13. Overall option implied volatility of 31 is below its 26-week average of 35.

Boeing (BA) is recently up $1.90 to $75.10 in the premarket after reporting Q1 EPS $1.22, consensus 94c. Q1 revenue of $19.3B was above consensus of $18.3B. Overall option implied volatility of 25 is below its 26-week average of 33.

Corning (GLW) is recently up $1.05 to $14.05 after reporting Q1 EPS 30c, consensus 28c. Overall option implied volatility of 32 is below its 26-week average of 38.
 
CBOE Volatility Index-VIX closed at 18.10, 10-day moving average is 18.62, 50-day moving average is 17.34.
 

Stocks with significant put strike volume increases;
 
COP 5/19/2012 70 11K contracts
 
T 7/21/2012 26 10K
 
BBY 5/19/2012 18 7K
 
CSCO 5/19/2012 18 6K

HAL 5/19/2012 30 6K

ROSE 6/16/2012 35 6K

 

On the economic front, Durable Goods were reported as down 4.2% (down 1.9% was expected). The Core Rate (excluding the Transportation sector) was expected to be announced as a rise of 0.5%, but came in with a drop of 1.1%.

U.S. equities are higher in the premarket as Apple rallies into the FOMC, ignoring the Durables report. The VIX starts the day at 18.10.

 

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