Blogging Options: CBOE Morning Update

Volatility as an asset class

Chipotle Mexican Grill (CMG) is down $34.93 to $251 in the premarket as the company’s 20% rise in profit in Q3 didn’t meet analyst expectations. Overall option implied volatility of 59 is above its 26-week average of 33.

Riverbed (RVBD) is up $2.17 to $22.86 in the premarket after reporting Q3 double growth on stronger than expected sales. Overall option implied volatility of 67 is above its 26-week average of 57.

Marvel (MRVL) is down $1.10 to $7.73 in the premarket after lowering Q3 revenue
weakness in the global economy. Overall option implied volatility of 41 is near its 26-week average of 42.

Capital One (COF) is higher by $2.70 to $60 in the premarket on Q3 earnings rising 44%. Overall option implied volatility of 31 is above its 26-week average of 28.

CBOE Volatility Index (VIX) closed at 15.03, below its 10-day moving average of 15.44 and 50-day MA of 15.36.

Calls with increasing volume at CBOE;

SPY 10/20/2012 146 20K contracts
VALE 11/17/2012 21 18K
AAPL 10/20/2012 640 12K
BAC 10/20/2012 9.5 11K
XLF 10/20/2012 16 11K
TLT 11/17/2012 125 10K

U.S. stocks are mixed to lower on concerns about European bank union plans (or lack of). Earnings season in full swing. MCD is off $2.50 with a profit miss, HON beat expectations but talked of a challenging 2013 – it’s off slightly before the opening. GE also lower. GOOG Conference call after the close calmed investors, it regained $7 of it’s huge loss yesterday.

October Options Expiration today. 25th Anniversary of ’87 crash today.

 

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