Blogging Options: CBOE Morning Update

Volatility as an asset class
FedEx (FDX) is down $1.56 to $86.95 following the company reporting Q4 adjusted EPS $1.99, consensus $1.92. Problem wasn’t earnings, but guidance. July and October put option implied volatility of 34 is above its 26-week average of 28.
Microsoft (MSFT) is up 15c to $29.99 following the introduction of family of tablets called Surface. Overall option implied volatility of 25 is near its 26-week average.
Walgreen (WAG) is up 4c to $32 into acquiring a 45% stake (and option for more) in Alliance Boots for $6.7B in cash, stock. Overall option implied volatility of 26 is below its 26-week average of 28.

Calls with increasing volume at CBOE.
BAC 7/21/2012 8 20K contracts

IWM 6/29/2012 80 16K

SPY 7/21/2012 140 14K 472

VXX 9/22/2012 17 10K

U.S. equities are mixed to higher into the first day of the Fed meeting. CBOE Volatility Index (VIX) closed at 18.32 below its 10-day moving average of 22.86, 200-day is 24.36.

 Housing Starts fell an unexpected 12k, but Permits rose to a 3 1/2 year high.

Last day to trade VIX Futures for June, settlement tomorrow.

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