Volatility as an asset class:
Family Dollar (FDO) is down $2.81 to $66.32 in the first 20 minutes of trading, following the company reporting Q3 EPS $1.06, consensus $1.07 and same-store-sales growth at low end of views Overall option implied volatility of 37 is above its 26-week average of 27.
New Corp. (NWSA) is unchanged at $22.31 following the company confirming the intention to splitting into an entertainment and publishing company. Overall option implied volatility of 28 is below its 26-week average of 30.
AOL (AOL) is recently up 90c to $28.90 on the company commencing a $400M modified Dutch auction tender offer for its common stock. Overall option implied volatility of 38 is near its 26-week average.
CBOE Volatility Index-VIX rose in early trading to 20.72 from yesterday’s close of 19.45, 10-day moving average is 19.44, 50-day moving average is 20.53.
Calls with increasing volume at CBOE.
SPY 6/29/2012 133 15K contracts
SLB 8/18/2012 65 15K
VXX 7/21/2012 19 11K
GME 8/18/2012 22 11K
DJIA off 100 points, S&P down 8, NDX off 22. EU Summit in Geneva today, but all eyes on Washington for ruling from the Supremes..