Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Costco (COST) is up 89c to $98 in the premarket on August comparable sales store sales were up 6%. Overall option implied volatility of 17 is near its 26-week average of 18.
 
Macy’s (M) is up 33c to $40.80 in the premarket after reporting August SSS were up 5.1%. Overall option implied volatility of 30 is below its 26-week average of 33.
 
Gap (GPS) is up 33c to $35.50 in the premarket after reporting August SSS were up 9%. Overall option implied volatility of 35 is near its 26-week average.
 
 
Calls with increasing volume at CBOE;
 
IWM 9/22/2012 85 11K contracts
 
GE 9/22/2012 21 10K
 
HTZ 1/19/2013 15 10K
 
 DAL 1/19/2013 10 9K
 
IWM 9/22/2012 87 9K
 
AAPL 8/31/2012 675 8K
 
SPY 8/31/2012 142 7K

U.S. stocks are lower in the premarket into Bernanke’s Jackson Hole speech tomorrow and next week’s European Central Bank meetings.

The range of the SPX over the last 3 1/2 weeks is the lowest in over 5 years. 22 of the last 23 trading days the market has closed within a 1% range. But the VIX has been drifting higher. The CBOE Volatility Index-VIX closed at 17.04, above its 10-day moving average of 15.29 and its 50-day moving average of 16.92. 

The Chicago Tribune reports that the State of Illinois had its bond rating lowered from A+ to A last night.