Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Walt Disney (DIS) is up 26c to $44.56 in the premarket after reporting Q2 EPS ex-items 58c on revenue of $9.63B. Overall option implied volatility of 25 is below its 26-week average of 29.

Macy’s (M) is down $1.57 to $37.94 following the affirmed view of FY12 EPS $3.25-$3.30, consensus $3.41. Overall option implied volatility of 34 is near its 26-week average of 35.

SodaStream (SODA) is recently up $5.11 to $34.34 after a Q1 beat and raised outlook. Overall option implied volatility of 86 is above its 26-week average of 63.
 
 
Stocks with significant call strike volume increases;
 
SPY 6/16/2012 140 16K contracts
MS 6/16/2012 18 14K
AVP 7/21/2012 20 10K
ARNA 5/19/2012 3.5 9K

CBOE Volatility Index-VIX closed at 19.04, 10-day moving average is 17.46, 50-day moving average is 17.13.

U.S. equities are lower on European capital uncertainty. S&P 500 approaching fairly critical support levels.

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