Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Williams-Sonoma (WSM) is up $3.54 to $41.70 in the premarket after reporting Q2 revenue of $874.3M, consensus $864.1M. Overall option implied volatility of 35 is above its 26-week average of 33.
 
Dell (DELL) is down 72c to $11.62 in the premarket after the company lowered FY13 EPS guidance to at least $1.70, compared to consensus $1.91. Overall option implied volatility of 37 is above its 26-week average of 34.
 
Intuit (INTU) is down 6c to $58.89 following the release of Q4 adjusted EPS 3c, compared to consensus 6c. Overall option implied volatility of 28 is near its 26-week average of 27.
 
 
CBOE Volatility Index-VIX closed at 15.02, 10-day moving average is 14.53, 50-day moving average is 17.51.
 
Puts with increasing volume at CBOE;
 
SPY 8/24/2012 141 32K contracts
 
GDX 9/22/2012 43 28K
 
GRPN 9/22/2012 3.5 19K
 
QQQ 10/20/2012 68
 
JCP 11/17/2012 17 14K
 
HD 9/22/2012 55 12K

U.S. stocks are lower, treasuries rally. Renewed global economic uncertainty. Rumblings in Europe again as Greece and German comments push very light trading stocks lower. FOMC Minutes this afternoon – not much new expected.

Aug VIX settlement this morning. Russell Rhoads will post as soon as we have final.