Blogging Options: CBOE Morning Update

Options as a volatility class:

H&R Block (HRB) closed at $16.23 and reported revenue $96M, compared to consensus $101.15M. Overall option implied volatility of 32 is near its 26-week average of 31.

Men’s Wearhouse (MW) is up $2.73 to $34.52 in the premarket on the company seeing Q3 EPS 95c-98c, compared to consensus 96c. Overall option implied volatility of 57 is above its 26-week average of 34.

General Mills (GIS), $38.99, reaffirmed FY13 sales and earnings targets.Overall option implied volatility of 14 is near its 26-week average.

CBOE Volatility Index (VIX) closed at 17.74. VIX closed above its 10-day moving average of 16.71.

Active calls at CBOE:

VXX 1/19/2013 11 30K contracts

INTC 11/17/2012 27 25K

PFE 1/19/2013 24 22K

S 10/20/2012 5.5 13K

F 9/22/2012 10 12K

XLY 12/22/2012 47 10K

SPY 9/7/2012 142 9K

AAPL 9/7/2012 675 8K

U.S. stock futures are higher into the August employment report on Tomorrow, September 7, ECB leaves rates unchanged, webcast within the hour.

ADP reported Aug. private sector jobs gain at 201k – higher than 140k expected. Mfg. jobs up 3k. July jobs revised higher to +173.