Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Campbell Soup (CPB) is up $1.66 to $36.80 in the premarket after reporting Q4 adjusted EPS 41c, consensus 38c. Street says…. “ummm, ummm, good”. Overall option implied volatility of 18 is above its 26-week average of 16.
 
Medicis Pharmaceutical (MRX) will be acquired by Valeant (VRX) $2.6B cash ($44 per share in cash). Overall option implied volatility of 32 is near its 26-week average.

Facebook (FB) is up 15c to $18.20 in the premarket after closing at a record low into the company’s lead IPO investment banker lower its price target to $32 from $38. Overall option implied volatility of 53 is below its 26-week average of 57.
 

CBOE Volatility Index-VIX closed at 17.46, 10-day moving average is 16.04, 50-day moving average is 16.88.
 
Calls with increasing volume at CBOE;
 
SPY 8/31/2012 141 38K contracts
 
AAPL 8/31/2012 665 25K
 
GLD 9/28/2012 170 17K
 
QQQ 8/31/2012 68 13K
 
INTC 10/20/2012 28 10K

U.S. stocks are mixed into European Central Bank meetings. Chrysler sales up 14%, slightly above estimates.

Coverage of CBOE Risk Management Europe conference starts this afternoon.