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.

No Comments

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.