Blogging Options: CBOE Morning Update

Volatility as an asset class

Abercrombie & Fitch Abercrombie & Fitch (ANF) is up $9.00 to $40.23 in the premarket after reporting Q3 EPS 87c, consensus 59c, and raising guidance. Overall option implied volatility of 81 is above its 26-week average of 48.

Cisco (CSCO) is higher by $1.27 to $18.12 in the premarket after the network-equipment maker reported a Q1 profit increaseof18%. Overall option implied volatility of 40 is above its 26-week average of 30.

Mosaic (MOS) is recently down $2.60 to $48.15 after lowering Q2 potash, phosphates demand volume guidance. Overall option implied volatility of 31 is near its 26-week average of 33.

Staples (SPLS) reported a quarterly loss due to restructuring, but excluding that came in a few pennies higher than expected.

CBOE Volatility Index (VIX) closed at 16.63, below its 10-day moving average of 17.83, and above its 50-day moving average of 16.19.

Calls with increasing volume at CBOE;

MSFT 4/20/2013 29 67K contracts

SPY 11/17/2012 139 26K

QQQ 11/17/2012 64 11K

AAPL 11/17/2012 550 8K

SPDR S&P ETF Trust (SPY) is trading up 0.3% in the premarket as stocks are helped by Cisco results. Asian markets mixed, Europe down slightly.

PPI for October was -0.2%, off from Sept. 1.1% gain and +0.2% expected. X-Food & Energy -0.2%.

Oct. Retail Sales -0.3% (first contraction in several months). X-Auto unchanged.