Blogging Options: CBOE Morning Update

Volatility as an asset class
Whole Foods Markets (WFM) is up $3.21 to $87.52 in the premarket after raising FY12 sales growth outlook to 14.8%-15.6% from 13.5%-15%. May put option implied volatility is at 38, June is at 33; compared to its 26-week average of 37.

Weight Watchers (WTW) is off $12.03 to $63.98 in the premarket on a Q1 profit decrease of 26% on flat revenue growth. Overall option implied volatility of 54 is above its 26-week average of 44.
Green Mountain Coffee (GMCR) is sharply lower in the pre-market, down $20 to $29.50, on weaker than expected Q2 sales and margins. The company also lowered its full-year guidance and projected Q3 adjusted earnings. Overall option implied volatility of 85 is above its 26-week average of 70.
CBOE Volatility Index-VIX closed at 16.87, 10-day moving average is 17.28, 50-day moving average is 17.04.

Stocks with significant call strike volume increases;
VALE 6/16/2012 24 20K contracts

AET 6/16/2012 49 11K

WFT 5/19/2012 17 8K

LVS 6/16/2012 57.5 7K

U.S. equities are flat to fractionally higher, European stocks are off, but Weekly Claims were better than expected. Productivity dropped 0.5%, but Q4 was revised slightly higher. So we now await tomorrow’s unemployment report.