Volatility as an asset class:
Navistar (NAV) overall option implied volatility of 71 is above its 26-week average of 53. The U.S. EPA revised penalties for the truck maker’s engines that do not meet 2010 pollution standards. NAV up $0.65 in pre market after losing $1 yesterday.
SAIC (SIA) overall option implied volatility of 40 is above its 26-week average of 27 into the company announcing plans to separate into two public companies.
Ironwood Pharmaceuticals (IRWD) overall option implied volatility of 60 is below a level of 96 on August 29 following the FDA approval of Linaclotide.
$VIX @17.83, above its 10-day moving average of 15.64. www.cboe.com/VIX
Calls with increasing volume at CBOE;
WFT 11/17/2012 15 25K contracts
SPY 9/28/2012 143 22K
AAPL 8/31/2012 670 14K
BAC 8/31/2012 8 9K
U.S. stocks (and European shares) are higher in the premarket into Bernanke’s Jackson Hole speech and next week’s European Central Bank meetings. Aug Chicago Purchasing Managers data (8:45am) and U of M Sentiment (8:55am) to be released before Mr Bernanke’s 9am Chicago time speech. Factory Orders as he begins talking.
Long weekend might have trade slow after Mr Bernanke finished.
Make my day – have a nice weekend.