Volatility as an asset class:
Coca-Cola (KO) is up $1.07 to $77.55 in the premarket after reporting Q2 adjusted EPS $1.22, consensus $1.19. Q2 revenue was $13.085B, above consensus $12.98B. Overall option implied volatility of 15 is below its 26-week average of 17.
Goldman Sachs (GS) is up $2.17 to $99.85 in the premarket after reporting Q2 EPS $1.78, consensus $1.17. Overall option implied volatility of 32 compares to its 26-week average of 35.
Johnson & Johnson (JNJ) is down 65c to $67.80 in the premarket after adjusting FY12 EPS to $5.00-$5.07, consensus $5.14. Overall option implied volatility of 13 is below its 26-week average of 15.
Mosaic (MOS), a phosphates company, is up $1.33 to $56.70 in the premarket, on Q4 revenue of $2.8B, above consensus $2.54B. Overall option implied volatility of 36 is near its 26-week average.
Active calls at CBOE:
SPY 7/21/2012 136 16K contracts
BAC 7/21/2012 8 11K
INTC 7/21/2012 26 11K
AAPL 7/21/2012 610 10K
AEP 1/19/2013 45 8K
POT 9/22/2012 47.5 7K
U.S. stocks are mixed to higher as oil trades near a seven-week high. CPI unchanged, ore Rate up 0.2%. S&P Futures up 5 points, DJIA Futures up 50.
CBOE Volatility Index-VIX closed at 17.11, 10-day moving average is 17.48, 50-day moving average is 20.59.