Blogging Options: CBOE Morning Update

Volatility as an asset class;

ConAgra (CAG) is up $1.30 to $26.95 in the premarket after reporting Q1 adjusted EPS 44c, compared to consensus 36c. Overall option implied volatility of 17 is near its 26-week average.

Bed Bath and Beyond (BBBY) is down $3.37 to $65.42 in the premarket after reporting Q2 EPS 98c, compared to consensus $1.02. Overall option implied volatility of 40 is above its 26-week average of 30.

Adobe (ADBE) is up 39c to $33.50 in the premarket on seeing Q4 adjusted EPS 53c-58c, compared to consensus 67c. Overall option implied volatility of 47 is above its 26-week average of 34.
 

CBOE Volatility Index (VIX) closed at 13.88, below its 10-day moving average of 14.96 and its 50-day MA of 16.20.

Calls with increasing volume at CBOE;

SPY 9/22/2012 146 27K contracts

EEM 9/22/2012 42 25K

F 9/22/2012 10.5 13K
GLD 12/22/2012 190 11K

EMC 1/19/2013 28 10K

AAPL 9/22/2012 700 9K

U.S. stocks are lower on renewed global economic concerns. August Leading Indicators off 0.1%, Weekly Claims weak. SPX off 8.50, DJIA lower by 50 points.
 

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