Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
First Solar (FSLR) is up $2.90 to $17.70 in the premarket after reporting Q2 EPS $1.27, consensus 90c. Overall option implied volatility of 78 is above its 26-week average of 75.
 
Green Mountain Coffee (GMCR) is up $2.44 to $20.35 in the premarket after the company reported Q3 income rose 30%. Overall option implied volatility of 143 is above its 26-week average of 76.
 
Weight Watchers (WTW) is down $5.79 to $43 in the premarket after revising lower FY12 EPS guidance to $4.00 and $4.20, compared to consensus $4.61. Overall option implied volatility of 67 is above its 26-week average of 40.
 

CBOE Volatility Index (VIX) closed at 18.96. VIX closed near its 100-day moving average of 18.78.

Calls with increasing volume at CBOE
 
XLK 9/22/2012 30 59K contracts

SPY 8/3/2012 140 30K
 
TBT 8/18/2012 15 28K

TEVA 8/18/2012 42.5 14K
 
IWM 1/19/2013 87 12K
 
WFR 8/18/2012 2.5 11K
 
AAPL 8/3/2012 610 10K

U.S. stocks are were higher going into the European Central Bank announcement, but Mr Draghi saying they might do something soon sent stocks lower. Spanish and Italian stocks trading down 3% and 4% on non-news. The VIX opened lower