Blogging Options: CBOE Morning Update

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.

Happy Summer.

No Comments

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.