Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Wal-Mart (WMT) is up $1.97 to $61.20 in the premarket after reporting Q1 EPS of $1.09, compared to consensus $1.04. Q1 revenue was $112.3B, consensus $110.54B. Overall option implied volatility of 19 is near its 26-week average of 19.
 
Sears Holdings (SHLD) is higher by $5.13 to $56 in the premarket after reporting Q1 adjusted EPS (31c), consensus (67c). Overall option implied volatility of 69 is above its 26-week average of 53.

Dollar Tree (DLTR) is down $5.15 to $96.15 in the premarket after reporting Q1 EPS $1.00, consensus 98c. Overall option implied volatility of 36 is above its 26-week average of 28.
 
 
Calls with volume increases at CBOE;
 
C 9/22/2012 33 35K contracts

VALE 6/16/2012 20 25K

AAPL 5/19/2012 555 10K 264

ETFC 7/21/2012 10 10K
 
GLD 9/22/2012 180 9K 845

CSCO 6/16/2012 17 6K
 

Puts with volume increases at CBOE;

FCX 5/19/2012 34 26K contracts
 
MSFT 5/19/2012 32 21K
 
AAPL 5/19/2012 550 11K

U.S. equities are lower on concerns about Greece and a story about bank withdrawels by customers in Spain. Weekly jobless in line.
 
CBOE Volatility Index-VIX closed at 22.27, 10-day moving average is 19.95, 50-day moving average is 17.43.

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