Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Travelers (TRV) is recently down $1.73 to $58.57 as Q4 net income fell 31% to $618M. February call option implied volatility is at 16, April is at 17; below its 26-week average of 31.
 
VMWare (VMW) is recently up $6.84 to $92.85 on bookings growth of 29%. February and March call option implied volatility of 33 is below its 26-week average of 46.
 
Coach (COH) is recently up $4.17 to $68.42 after reporting Q2 gross profit increased 14%. February option implied volatility is at 31, March is at 29; below its 26-week average of 44.
 
EMC (EMC) is recently up $1.36 to $24.80 on the company seeing 2012 revenue of $22B. February and April call option implied volatility of 22 is below its 26-week average of 32.
 
Brinker (EAT) is recently down $2.22 to $25.39 after reporting Q2 net decreased 4.8%. March and April call option implied volatility of 33 is below its 26-week average of 42.