Blogging Options: CBOE Morning Update

Volatility as an asset class

Cummins (CMI) is down $4.34 to $85.50 in the premarket after reducing 2012 guidance. Overall option implied volatility of 34 is near its 26-week average.

Yum! Brands (YUM) is up $3.38 to $69.08 in the premarket after reporting Q3 EPS ex-items 99c, consensus 97c. Overall option implied volatility of 27 is above its 26-week average of 25.

Alcoa (AA) is down $0.10 to $9.02 in the premarket after reporting Q3 adjusted EPS 3c, compared to consensus 0c. Overall option implied volatility of 40 is above its 26-week average of 37.

FedEx (FDX) is up $2.07 to $87.65 in the premarket on the company backing FY13 EPS of $6.20-$6.60, consensus $6.45. Overall option implied volatility of 23 is below its 26-week average of 27.

CBOE Volatility Index (VIX) closed at 16.37, up from Monday’s levels, above its 10-day moving average of 15.51 and 50-day of 15.55.
 

Calls with increasing volume at CBOE;

C 3/16/2013 40 16K contracts

FB 11/17/2012 24K 12K

BAC 10/12/2012 9.5 11K

APC 1/19/2013 80 10K

AAPL 10/12/2012 640 9K

WFC 10/12/2012 37 9K

QQQ 10/20/2012 67 8K

SBUX 1/18/2014 45 8K

FXI 12/22/2012 35 8K

U.S. stocks are mixed on China economic growth concerns. Costco with a positive earnings surprise. BAE / EADS merger not going to happen.

No Comments
CBOE

cboe.com

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.