Blogging Options: CBOE Mid-day Update

Volatility as an asset class
 
Lorillard (LO) is recently up $10.64 to $123.98 after reporting Q4 revenue $1.62B vs. consensus $1.08B. March call option implied volatility is at 27, June is at 20; compared to its 26-week average of 33.
 
Philip Morris (PM) is recently up $2.48 to $80.34 after guiding 2012 EPS to $5.25-$5.35 vs. consensus $5.19. March put option implied volatility of 16 is below its 26-week average of 24.

Whole Foods (WFM) is recently up 3.4% to $80.57 after raising FY12 sales growth view to 13.5%-15% from prior 13%-15. March call option implied volatility of 28 is below its 26-week average of 40.