Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Take-Two (TTWO) is up $1.09 to $12.25 on expectations for of strong revenue growth in 2013 on the release of Grand Auto V. Overall option implied volatility of 57 is above its 26-week average of 41.
 
Dell (DELL) is down $2.08 to $13.00 in the premarket after reporting Q1 adjusted EPS 43c, compared to consensus 46c. Overall option implied volatility of 36 is near its 26-week average.
 
PetSmart (PETM) is higher by $4.58 to $60.20 in the premarket after reporting Q1 EPS 85c, consensus 73c. Oveall option implied volatility of 32 is above its 26-week average of 29.

Puts with volume increases at CBOE;

YHOO 7/21/2012 15 18K contracts
 
HPQ 11/17/2012 17 15K
 
CTL 6/16/2012 38 10K
 
VZ 9/22/2012 41 7K
 
AAPL 5/25/2012 560 7K
 
PCX 5/25/2012 2 6K

CBOE Volatility Index-VIX closed at 22.48, 10-day moving average is 21.89, 50-day moving average is 17.92.
 

U.S. equityfutures are lower by ~1%. Asian stocks fell on increased fears that Greece could leave EMU and low expectations into today’s informal EU summit. European stocks lower by 1.5% to 2.4%.

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