Volatility as an asset class
Darden Restaurants (DRI) is down $1.44 to $48.94 in the premarket following the company seeing FY13 business environment similar to FY12. Overall option implied volatility of 30 is near its 26-week average of 29.
Ryder (R) is off $3.70 to $37.05 in the premarket following the company lowering financial view as result of lower than expected FMS business. Overall option implied volatility of 34 is near its 26-week average.
Apple (AAPL) share price has remained steady after yesterday’s sharp market selloff. July put option implied volatility is at 27, August and September is at 34; compared to its 26-week average of 31.
CBOE S&P 500 2% OTM BuyWrite Index (BXY) 1015.25; between 10-day MA of 1114.04 & 50-day MA of 1113.79. www.cboe.com/BXY
CBOE Volatility Index-VIX closed at 20.07, 10-day moving average is 20.79, 50-day moving average is 20.48.
Calls with increasing volume at CBOE.
QQQ 9/28/2012 71 55K contracts
SPY 7/21/2012 140 17K
KBE 7/21/2012 21 17K
BAC 6/22/2012 8 14K
SPY 6/22/2012 134 13K
VXX 7/21/2012 18 11K 296
XLF 7/21/2012 15 10K
U.S. equities are mixed to higher a day after stocks sold off on concerns global manufacturing activity growth is slowing. Ratings cuts to 15 major banks after the close yesterday telegraphed ahead, so no major impact… for now. Watch the VIX.