Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Dick’s Sporting (DKS) is trading up $2.26 to $49.50 after reporting Q1 EPS 45c, consensus 38c. Revenue was better than expected at $1.3B, consensus $1.23B. Overall option implied volatility of 50 is above its 26-week average of 34.
 
Groupon (GRPN) higher by $2.99 to $14.71 in the premarket on better than expected results and guidance. Overall option implied volatility of 92 is above its 24-week average of 57.

SPDR Gold Trust (GLD) June put option implied volatility is at 18, July is at 19, below its 26-week average of 21 as gold trades near a four-month low of $1,560.
 
CBOE Gold ETF Volatility Index (GVZ) closed at 20.05, a two-month high: www.cboe.com/GVZ
 
CBOE Volatility Index-VIX closed at 21.87, 10-day moving average is 18.88, 50-day moving average is 17.32.
 
 
 
Puts with volume increases;
 
GLD 5/19/2012 143 20K contracts
 
CHK 6/16/2012 17 20K

NRG 1/18/2014 10 6K

SFI 1/18/2014 5 5K

JPM 5/19/2012 36 5K

AAPL 5/19/2012 560 5K

DF 1/19/2013 5 4K

U.S. equities positive on higher German economic growth and no bad news in Europe. oil falls to a five-month low.

Economic numbers in line this morning. CPI unchanged, Core up 0.2%. Retail Sales up 0.1%