Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Red Hat (RHT) is down $6.00 to $50.50 in the premarket after the company reported lower than expected May quarter billings growth. Overall option implied volatility of 50 is above its 26-week average of 38.
 
Philip Morris (PM) is off $1.32 to $87.19 in the premarket after lowering its 2012 EPS outlook to $5.10-5.20 from $5.20-$5.30. Overall option implied volatility of 17 is near its 26-week average.
 
Celgene (CELG) is lower by $7.16 to $60.00 in the premarket after withdrawing its FDA submission for Revlimid. Overall option implied volatility of 32 is above its 26-week average of 29.
 
 
Calls with increasing volume at CBOE.
 
EFA 7/21/2012 51 53K contracts

SPY 6/22/2012 138 23K

EEM 7/21/2012 39.5 13K

IWM 6/22/2012 80 10K

CBOE Volatility Index-VIX closed at 17.23; below its 10-day moving average of 20.95 and its 50-day moving average of 20.48.

U.S. equities are mixed to lower on reports indicating Chinese manufacturing activity growth is slowing. Home Sales and Philly Fed on tap later this morning.

Weekly claims “fell by 2,000”, but last weeks numbers were revised higher by 3,000. The street was looking for a lower number, 380k-383k, not 387k. This is the 7th time in a row the number was missed. It is also the highest 4 week average since December.
 

 

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