Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Netflix (NFLX) July 285 weekly straddle is price at $28.35, August is at $36.90 into the expected release of Q2 results today after the market close. August put option implied volatility is at 61, December is at 52; compared to its 26-week average of 49.

Research in Motion (RIMM) is recently down 4% following the company saying it will reduce its global workforce by 2,000 employees, and also announced some management restructuring. August call option implied volatility is at 48, September is at 56; suggesting larger September price movement.
CBOE Volatility Index-VIX is recently up 7.9% to 18.90.

Stock Mover’s
Apple (AAPL) is recently trading above $400 with spreaders active in the July 400 straddle at $9.25 and August 400 straddle at $19.55. Overall option implied volatility of 28 is below its 26-week average of 31, suggesting decreasing price movement.