Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
McDonald’s (MCD) is down $2.58 to $90 after reporting Q2 EPS $1.32, below consensus estimates of $1.38. Overall option implied of 18 is near its 26-week average.
 
Halliburton (HAL) is slightly lower after reporting Q2 EPS 80c, compared to consensus 75c. Overall option implied volatility of 35 is near its 26-week average.
 
Hasbro (HAS) is up $1.00 to $34.84 after reporting Q2 EPS 33c, compared to consensus 23c. Overall option implied volatility of 32 is above its 26-week average of 29.
 
Eaton (ETN), after retreating in the pre-market, is up $1.25 to $40.31 after reporting Q2 revenue of $4.07B, compared to consensus $4.24B. Overall option implied volatility of 29 is near its 26-week average.
 
 
Active calls at CBOE:
 
SPY 7/21/2012 137 50K contracts
 
AAPL 7/21/2012 610 21K
 
GE 7/21/2012 20 20K
 
QQQ 7/21/2012 65 14K

CBOE Volatility Index-VIX closed at 16.27, 10-day moving average is 17.11, 50-day moving average is 20.33. VIX is now trading at 20.18 up 3.91%. This is the largest one-day gain for VIX in almost seven months.

U.S. and European stocks are sharply lower. DJIA and SPX off 1.75%. In addition to MCD missing big on earnings, Spanish 10-year bonds hit 7.5%. and several Spanish regions (states) are now saying they’re in trouble. Spain joining Italy in a short-selling ban disrupting European markets also.