Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
General Mills (GIS) is recently down 20c to $37.95 in the premarket after reporting Q4 adjusted EPS 60c, consensus 59c. July put option implied volatility is at 17, October is at 16; compared to its 26-week average of 16.
 
Monsanto (MON) is recently up $1.13 to $79 after reporting Q3 EPS $1.63, consensus $1.60.
Overall option implied volatility of 29 compares to its 26-week average of 31.
 
O’Reilly Automotive (ORLY) is recently down $13.45 to $82.99 in the premarket after the company lowered Q2 guidance on weak June same-store sales. Overall option implied volatility of 29 is above its 26-week average of 26.
 

 
Calls with increasing volume at CBOE.
 
SPY 6/29/2012 135 21K contracts

QQQ 6/29/2012 63 12K

JCP 1/18/2014 30 10K

MBI 8/18/2012 10K

IWM 8/18/2012 82 10K

RIMM 8/18/2012 10 7K

CBOE Volatility Index-VIX closed at 19.71, 10-day moving average is 19.92, 50-day moving average is 20.51.

U.S. equities are mixed on expectations China will announce an economic stimulus. May Durable Goods up 1.1% (slightly better than expected), Core Rate up 0.4% (slight miss from expected 0.6% rise). European stocks with modest gains.

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