Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Priceline.com (PCLN) is down $102.55 to $577 in the premarket on slower European growth guidance. August weekly call option implied volatility is at 107, August traditionals at 61, September at 39, October at 35; compared to its 26-week average of 38.
 
 
Dean Foods (DF) is up $3.68 to $16.08 in the premarket after reporting Q2 adjusted EPS of 36c, compared to consensus 31c. August call option implied volatility is at 48, September is at 40, December is at 44; compared to its 26-week average of 43.
 
Rackspace (RAX) is up $6.48 to $55.78 in the premarket after the data center provider reported Q2 profit rose 43%. Overall option implied volatility of 54 is above its 26-week average of 45.
 

CBOE Volatility Index-VIX closed at 15.98, below its 10-day moving average of 17.46 and its 50-day moving average is 19.31.

Calls with increasing volume at CBOE
 
PFE 9/22/2012 25 66K contracts
 
PSX 1/19/2013 48 57K
 
WFR 8/18/2012 2 19K
 
SPY 9/22/2012 145 15K
 
BAC 8/18/2012 8 13K
 
AAPL 8/10/2012 625 10K
 
WMB 9/22/2012 33 8K

U.S. stocks are mixed to lower on renewed European economic concerns. 2Q Productivity up 1.6%, Q1 revised up slightly to a drop of 0.5%. McDonald’s (MCD) reported that July same-store sales dropped slightly, disappointing those looking for a +2% gain. MCD is off $3 in pre-market trading.