Blogging Options: CBOE Mid-day Update

Stock Mover’s
 
ConocoPhillips (COP) is recently up $1.93 to $76.33 following the disclosure of plans to separate its refining and production business into two stand-alone, publicly traded corporations. August put option implied volatility of 25 is near its 26-week average.

Volatility as an asset class
 
Citigroup (C) July 39 straddle is priced at $1.34, August is at $3.46. Overall option implied volatility of 33 is above its 26-week average of 32 into the expected release of Q2 results on July 15.
 
Google (GOOG) July 530 straddle is priced at $26.15, August is at $41.40. Overall option implied volatility of 35 is above its 26-week average of 27 into the expected release of Q2 results after the market close today.
 
VIX methodology for Energy Select Sector SPDR (VXXLE) up 9.4% to 27.63 as oil decreases 2% to $96.