Blogging Options: CBOE Morning Update

Volatility as an asset class
 Gap (GPS) in pre-market was up 64c to $26.95, but is now at $25.60, down $0.70 after reporting Q1 EPS 47c, consensus 46c. Overall option implied volatility of 50 is above it 26-week average of 35.

Applied Materials (AMAT) is down 3c to $10.45 in the premarket after reporting Q2 adjusted EPS 27c, consensus 24c. Overall option implied volatility of 37 is above its 26-week average of 32. (CRM) was up $8.90 to $142.70 in the premarket following the release of Q1 adjusted EPS 37c, consensus 34c. CRM now up 13 points. Overall option implied volatility of 70 is above its 26-week average of 49.
Puts with volume increases at CBOE;
BAC 5/19/2012 7 13K contracts

AAPL 5/19/2012 535 11K

RDN 1/19/2013 2 5K

SYY 5/19/2012 28 5K

TWO 6/16/2012 9 4K

CBOE Volatility Index-VIX is off 1.07 at 23.42, after closing at 24.49. Its 10-day moving average is 20.65 and its 50-day moving average of 17.54.

SPX traded 1.773 million contracts yesterday, VIX with over 432k and SPXpm with 22,123.

U.S. equities opened higher but have moved to unchanged. Fitch lowering Greece to CCC and Moody’s lowering 16 Spanish banks in background as Facebook opens for trading in the next hour.

G-8 meeting this weekend. Chicago Nato meeting (streets are empty of workers this morning) and Cubs – White Sox in local news.