Blogging Options: CBOE Morning Update

Volatility as an asset class (ACOM) is up $3.37 to $26 in the premarket on the company weighing a sale, seeking buyers, Bloomberg reports. Overall option implied volatility of 55 is near its 26-week average of 54.

Home Depot (HD) traded as high as $49.40 in the premarket following the company backing FY12 EPS $2.90, consensus $2.92. Overall option implied volatility of 26 is near its 26-week average.

Tempur-Pedic (TPX) is down $17.22 to $26.40 in the premarket into the company seeing FY12 EPS $2.70, consensus $3.93. Overall option implied volatility of 59 is above its 26-week average of 50.

Active put @ CBOE

C 8/18/2012 25 30K contracts
X 1/18/2014 5 7K
FB 7/21/2012 22 6K
BAC 1/19/2013 12.5 5K
JPM 1/19/2013 32 4K
AAPL 6/8/2012 560 3K
ARIA 11/17/2012 10 3K
GLD 6/16/2012 157 3K

CBOE Volatility Index-VIX closed at 24.68, 10-day moving average is 22.48, 50-day moving average is 19.44.

U.S. equities are higher in the premarket as stocks rally from oversold conditions. Productivity dropped but unit cost rose less than expected. In Europe, Mr Draghi said no rate cuts, no plan to fix anything but market tensions and unemployment could weigh on the economy. S&P futures only up 7.50 after his comments.