Blogging Options: CBOE Morning Update

Volatility as an asset class;
 
General Mills (GIS) is up $0.62 to $39.97 in the premarket after reporting Q1 EPS 66c, compared to consensus 63c. Overall option implied volatility of 15 is above its 26-week average of 14.

AutoZone (AZO) is down $3.84 to $354 after reporting Q4 revenue of $2.76B, compared to consensus $2.8B. Overall option implied volatility of 31 is above its 26-week average of 24.
 
Cracker Barrel (CBRL) is up $3.63 to $67.25 in the premarket after reporting Q4 revenue of $700M, compared to consensus $685.35M. Overall option implied volatility of 28 is near its 26-week average.
 

CBOE Volatility Index (VIX) closed at 14.18, below its 10-day moving average of 15.35 and its 50-day MA of 16.30.

Calls with increasing volume at CBOE;
 
SPY 10/20/2012 150 23K contracts
 
GLD 11/17/2012 190 20K
 
UUP 10/20/2012 22 14K
 
IWM 10/20/2012 91 13K
 
AAPL 9/22/2012 700 12K

Stock futures are mixed to higher in the US and Europe. BOJ eased last night. UBS downgraded several of the “Rails”, UNP off $1.25, CSX off $0.20. Could make DOW Theory bulls nervous, Transports have not confirmed bull market – yet.

August Housing Starts dissapointed with a print of 750k, street looking for 766k to 770k July revised lower – from 746k to 733k. Permits not followed by many.

Sep VIX Settlement published here by Russell Rhoads as soon as we get it.

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