Blogging Options: CBOE Morning Update

Volatility as an asset class:

Zynga (ZNGA) is down $1.97 to $3.09 in the premarket on Q2 results below forecasts on slower growth. August call option implied volatility is at 105, September is at 89; above its 26-week average 77.
 
Whole Foods Markets (WFM) is up $9.57 to $94.10 after the company reported slightly higher than expected EPS and raised its FY12 EPS guidance. Overall option implied volatility of 39 is above its 26-week average of 35.

3M Company (MMM) is up 30c to $89.50 after the company reported Q2 revenue $7.53B, consensus $7.79B. Currency conversions hurt. Overall option implied volatility of 24 is above its 26-week average of 20.
 

CBOE Volatility Index-VIX closed at 19.34, 10-day moving average is 17.49, 50-day moving average is 20.29.
 
 
Active calls at CBOE:
 
SPY 10/20/2012 145 13K contracts
 
AAPL 7/27/2012 580 13K
 
S 8/18/2012 4 12K
 
IWM 9/22/2012 82 10K

U.S. stocks are higher as European Bank President Mario Draghi said policy makers will do “everything in their mandate to ensure the survival of the euro”. Was this timed to coincide with Mick Jagger’s birthday? Weekly Jobless drop to 353k, Durable Goods surprisingly up 1.6%, Ex-Autos down 1.1% which was lower than expected.