Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
JPMorgan (JPM) is up 26c to $34.30 in the premarket after reporting Q2 EPS with items $1.21, consensus 72c. Overall option implied volatility of 35 is near its 26-week average of 34.
 
Wells Fargo (WFC) is down 0.10 to $32.75 in the premarket after reporting Q2 EPS 82c, consensus 81c. Overall option implied volatility of 27 compares to its 26-week average of 29.
 
Lexmark (LXK) is off $3.31 to $21.00 in the premarket after cutting its Q2 outlook. Overall option implied volatility of 42 is above its 26-week average of 36.
 
Costco (COST) closed at $94.02, near its record high. Overall option implied volatility of 19 is near its 26-week average of 19.
 

Active puts at CBOE:
 
SPY 7/21/2012 133 18K contracts
 
AAPL 7/13/2012 600 18K
 
AMRN 1/19/2013 25 13K
 
IWM 7/21/2012 78 9K

WFC 7/21/2012 34 9K

CBOE Volatility Index-VIX closed at 18.32, 10-day moving average is 17.78, 50-day moving average is 20.60.

U.S. and Asian stocks are bid after China GDP data met expectations. Thursday was the sixth straight down day for the market. PPI rose 0.1% (a rise of 0.5% was expected) despite a drop in fuel prices. Core Rate up 0.2%. Paul Foster tells us that Darden bid for Yardhouse USA for $585m this morning.
 

No Comments
CBOE

cboe.com

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.