Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Yahoo! (YHOO) is up 30c to $15.49 in the premarket after announcing that the Board of Directors has named Fred Amoroso as Chairman of the Board of Directors and Ross Levinsohn as interim Chief Executive Officer, effective immediately. Overall option implied volatility of 33 is below its 26-week average of 39.

Chesapeake (CHK) is recenlty up 67c to $15.50 on activist investor Carl Icahn will soon disclose that he has taken a significant stake in the troubled natural gas company, sources say, the Wall Street Journal reports. Overall option implied volatility of 93 is above its 26-week average of 46.
 
IShares Barclay 20+ YR Treasury ETF (TLT) is higher by $1.36 to $120.91 in the premarket as investor purchase treasuries as a safe haven to global uncertainty. Overall option implied volatility of 14 is below its 26-week average of 18.
 

Puts with volume increases;
 
SPY 5/11/2012 136 32K contracts
 
BAC 5/19/2012 7 17K
 
AAPL 5/11/2012 570 13K

CBOE Volatility Index-VIX closed at 19.89, 10-day moving average is 18.41, 50-day moving average is 17.23.
 
U.S. equities are lower on Greece’s attempt to form a government. China lowering bank reserves last night helped Asain stocks slightly. Res Cap bankrupcy not helping US markets.

Traders talking about NATO summit starting in Chicago next weekend. Will Graham Nash’s “Please Come to Chicago” be the theme song?