Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Cisco (CSCO) September and November put option implied volatility of 42 is above its 26-week average of 32 as the CEO and CFO make presentations into today’s annual financial analyst conference in San Jose.
Cummins (CMI) is recently up 6.6% to $92.80 following the company raising its annual sales growth guidance. September call option implied volatility is at 60, October and December is at 54; above its six-month average of 39.

Deutsche Bank (DB) is recently up 7.7% to $32.21 as shares rally off of 28-month lows. September put option implied volatility is at 112, October is at 88, January is at 81; above its 26-week average of 41.

CBOE Volatility Index (VIX) September 30 and 45 calls are active as call spreaders roll positions into October. Put spreaders are rolling September 30 and 32 puts into October 30 into September 21 expiration.