Blogging Options: CBOE Morning Update

Volatility as an asset class:
 

The first Thursday of the month is traditionally when we see how stores are doing.

Walgreen (WAG) is down 51c to $29.10 in the premarket after reporting June Same Store Sales (SSS) were down 10%. Overall option implied volatility of 24 is below its 26-week average of 27.
 
TJX (TJX) is up 55c to $43.05 after reporting June SSS rose 7%. Overall option implied volatility of 24 is near its 26-week average.
 
Gap (GPS) reported June SSS rose 1%. Overall option implied volatility of 31 is below its 26-week average of 33.
 
Target (TGT) is down $1.17 to $56.61 in the premarket after reporting June SSS rose 2%. Overall option implied volatility of 20 is near its 26-week average.
 
Macy’s (M) is down 17c to $33.21 in the premarket after reporting June SSS rose 1%. Overall option implied volatility of 20 is near its 26-week average.
 
Costco (COST) is down $1.00 to $93.52 in the premarket following June SSS rose 3%. Overall option implied volatility of 17 is below its 26-week average of 19.
 
 
Calls with increasing volume at CBOE
 
SPY 8/18/2012 136 23K contracts
 
EWZ 9/22/2012 57 13K
 
IWM 8/18/2012 86 10K

U.S. equities are mixed following easing news from both the ECB (down 0.25% to a record low 0.75%) and the People’s Bank of China (down 0.25%). ADP employment report slightly better than expected (+176k versus +120K expected). ISM at 9:00am CDT. The longer Mr Draghi’s press conference goes on in Europe, the more US futures slide.
 
CBOE Volatility Index-VIX closed at 16.67, 10-day moving average is 18.52, 50-day moving average is 20.47.