Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
UPS (UPS) is down $2.95 to $75 in the premarket after reporting Q2 EPS $1.15, compared to consensus $1.17. Overall option implied volatility of 17 is below its 26-week average of 19.
 
Under Armour (UA) is up $2.87 to $51.25 in the premarket after reporting Q2 EPS 6c on revenue of $369M, compared to consensus $358.50M. Overall option implied volality of 52 is above its 26-week average of 39.
 
AT&T (T) is up 21c to $35.59 in the premarket after reporting Q2 EPS 66c, compared to consensus 63c. Overall option implied volatility of 18 is near its 26-week average of 17.
 
CBOE Volatility Index-VIX closed at 18.62, 10-day moving average is 17.18, 50-day moving average is 20.33.
 
 
Active calls at CBOE:
 
QQQ 8/18/2012 63 16K contracts

PFE 8/18/2012 24 15K

SPY 8/18/2012 140 10K

VXX 8/18/2012 17 8K

U.S. and European stocks are lower as Moody’s Investors Service cut the outlook on Germany’s top credit rating. DD flat after slightly better earnings. Spain 10-year at 7.6%, 2-ywar at 6.6%.
 

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