Blogging Options: CBOE Mid-day Update

Research in Motion (RIMM) July call option implied volatility is at 50, below a level of 65 from June 16 and above its 26-week average of 42, suggesting decreasing price movement after shares have sold off 21% on disappointing guidance. July 30 and 31 strike calls are active on total option volume of 201Kcontracts on the CBOE.

Financial Select Sector-XLF overall volatility at 25 is above its 26-week average of 23 into the FOMC rate and policy statement on June 22.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1c to $25.73. VXX July put option implied volatility is at 84, August is at 83; above its six-month average of 65, suggesting traders are pricing in larger price movement. June and July 26 strike calls are active as traders roll June positions into July prior to today’s June expiration.