Blogging Options: CBOE Morning Update

Volatility as an asset class;

Family Dollar (FDO) is up $1 to $67 in the premarket on Q4 net rising 1.4%. Overall option implied volatility of 29 is above its 26-week average of 27.

Sarepta Therapeutics (SRPT) is up $20.21 to $35.60 in the premarket on eteplirsen (muscular dystrophy treatment) meeting its efficacy endpoint. Overall option implied volatility of 186 is above its nine-week average of 132.

Best Buy (BBY) is up 65c to $17.62 in the premarket as founder Richard Schulze and private equity firms examine the books of the retailer, reports Reuters. Overall option implied volatility of 55 is above its 26-week average of 49.
 

CBOE Volatility Index (VIX) closed at 15.71, above its 10-day moving average of 15.09 and below its 50-day MA of 15.88.
 
Calls with increasing volume at CBOE;

XLP 1/19/2013 38 25K contracts

MSFT 1/19/2013 29 95K

BAC 2/16/2013 10 30K

TEVA 10/20/2012 42.5 16K

SPY 10/5/2012 145

KBE 12/22/2012 23 8K

U.S. stocks are mixed to slightly higher (S&P up 2.00) going into Friday’s September U.S. employment report. ADP reported this morning that 162k jobs were added in September, higher than expected. They revised lower their July (-17k) and August estimate (-12k to 189k). 4k manufacturing jobs in Sep ADP numbers. Grains lower on good weather in So. America. Debate tonight.