Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Nucor (NUE) rallied to the plus side, after trading lower by 66c in the premarket. Company guidance for Q2 EPS 35c-40c, consensus 55c. Overall option implied volatility of 31 is near its 26-week average .
 
Philip Morris (PM) is recently up 99c to $86 after announcing a new 3-year share repurchase program of $18B. Overall option implied volatility of 18 is near its 26-week average.

Dell (DELL) is up 33c to $12.30 after announcing plans to pay a dividend beginning in Q3. Overall option implied volatility of 36 is near its 26-week average of 31.
 

Calls with increasing volume at CBOE.
 
SLE 7/21/2012 18 50K contracts 000

KBE 6/16/2012 23 29K
 
JNJ 7/21/2012 65 22K
 
SPY 6/16/2012 133 21K
 
KBE 7/21/2012 21 20K 377

JPM 1/19/2013 39 17K

IMAX 6/16/2012 22 17K

CBOE Volatility Index-VIX is up 0.95 to 23.04, after closing at 22.09 yesterday, 10-day moving average is 23.64, 50-day moving average is 20.13.

U.S. equities have rallied to the plus-side. Retail sales were down 0.2% for May and April was revised down 1 tick, the producer price index showed a drop of 1%. 
 

 

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