Volatility as an asset class
Procter & Gamble (PG) is down $1.22 to $60.99 in the premarket after lowering its Q4 guidance and keeping savings targets. Overall option implied volatility of 15 is near its 26-week average.
Morningstar (MORN) is hosting its 24th Annual Investment Conference in Chicago on June 20-22. Overall option implied volatility of 15 is below its 26-week week average of 23.
Adobe (ADBE) is off $1.89 to $31.00 in the premarket after reporting Q2 EPS 60c, consensus 59c. July call option implied volatility is at 37, August is at 35; compared to its 26-week average of 38.
Calls with increasing volume at CBOE.
IWM 7/21/2012 81 23K contracts
SPY 6/29/2012 135 13K
BAC 6/22/2012 8 10K
EEM 7/21/2012 41 9K
QQQ 7/21/2012 64 9K
IWM 7/21/2012 77 8K
MET 8/18/2012 33 8K
U.S. equities are mixed into expectations The Federal Reserve will prolong its Operation Twist program. Watch the tape at 11:30 CDT for news.
CBOE Volatility Index-VIX closed at 18.37 after dipping to a 17 handle mid-day, 10-day moving average is 21.45, 50-day moving average is 20.54.