Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Lions Gate (LGF) is down 36c to $12.49 in the premarket following Q4 results being impacted by theatrical marketing costs associated with Hunger Games. Overall option implied volatility of 54 is near its 26-week average.
 
TiVo (TIVO) is off 41c to $8.55 following a Q2 loss of $28-$30M. Overall option implied volatility of 57 is above its 26-week average of 48.
 
IShares Barclay 20+ YR Treasury ETF (TLT) is up 75c to $126.78 as U.S. Treasury’s trade at record highs. June put option implied volatility is at 19, July is at 20, August is at 21; above its 26-week average of 18.
 

 
Puts with increasing volume at CBOE.
 
AAPL 6/1/2012 570 6K contracts

HAL 7/21/2012 28 5K

KMI 6/16/2012 45 5K

INTC 7/21/2012 26 4K

BAC 1/19/2013 7.5 4K

 

CBOE Volatility Index-VIX closed at 24.14, 10-day moving average is 22.71, 50-day moving average is 18.63.

U.S. equities are mixed to slightly higher in the premarket. Asian stocks fell and European stocks mixed on concerns Europe debt crisis will spread. Weekly Jobless Claims grew 10k, 1 Q GDP grew at a 1.9% rate (revised lower from a 2.2% estimate last month). ADP said 133k new jobs added in May, less than the 150k to 165k expected in jobs report tomorrow.
 

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