Blogging Options: CBOE Morning Update

Volatility as an asset class:

SPDR S&P 500 ETF (SPY) is down 89c to $133.27 in the premarket. Overall option implied volatility of 19 is below its 26-week average of 21 into BofA/Merrill lowering its 2012 S&P 500 EPS forecast to $102 from $103.50 and 2013 to $109 from $110.50. SPY 100-day moving average is 136.15, 200-day is 130.81.
 
Infosys (INFY) is down $3.62 to $40.00 in the premarket after reporting a 33% profit increase, and lowered its 2013 outlook. Overall option implied volatility of 48.

SAP (SAP) is up $2.07 to $58.80 in the premarket as Q2 sales beat expectations. Overall option implied volatility of 30 is near its 26-week average.
 
 
Active puts at CBOE:
 
ITUB 12/22/2012 9 41K contracts
 
SPY 7/21/2012 131 29K
 
XLF 1/19/2013 13 15K
 
USB 9/22/2012 25 13K
 
JPM 9/22/2012 25 12K

CBOE Volatility Index-VIX closed at 17.95, 10-day moving average is 17.89, 50-day moving average is 20.56.

U.S. equities are lower in the premarket on global growth concerns. US 10-year yield at 1.49%, German 2-year at -0.021%. Swiss 2-year at -0.38 (that’s right, -0.021% and -0.38%). Jobless Claims dropped but it was the July 4th week.