Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Roper Industries (ROP) is up $2.69 to $101.28 after reporting Q2 EPS $1.15, compared to consensus $1.15. Overall option implied volatility of 27 is near its 26-week average of 25.
 
Compass Minerals (CMP) closed at $74.14 into reporting Q2 adjusted EPS 31c, consensus 26c. Overall option implied volatility of 29 is near its 26-week average.
 
Cal-Maine Foods (CALM) is up $2.58 to $39.05 in the premarket after reporting Q4 EPs $1.56, consensus 45c. Overall option implied volatility of 39 is above its 26-week average of 32.
 
 CB&I buys Shaw Group for $3 billion.

 
CBOE Volatility Index (VIX) closed at 16.70. VIX closed below its 100-day moving average of 18.76 and its 200-day MA of 21.73.
 
Calls with increasing volume at CBOE
 
SPY 7/27/2012 139 28K contracts
 
AAPL 7/27/2012 580 19K
 
FB 7/27/2012 24 18K

U.S. stocks are mixed to lower into this week’s FOMC meeting, Consumer Confidence tomorrow and Jobless data on Friday. Throw in the ECB meeting Thursday and ADP Jobless, lots for traqders and speculators to talk about this week. For a more complete list of expected data this week, loook to Price Headly’s weekly roundup, posted here in the next hour.