Blogging Options: CBOE Mid-Day Update

Volatility as an asset class
 
The three Dow components have lower option implied volatility after reporting results.
 
Procter & Gamble (PG) is recently down 3.9% after reporting Q3 core EPS 94c, consensus 93c. June call option implied volatility is at 13, July is at 17; compared to its 26-week average of 16.
 
Chevron (CVX) is recently trading at $106.07 after reporting Q1 EPS $3.27, consensus $3.26. June call option implied volatility is 15, September is at 17 is below its 26-week average of 25.
 
Merck (MRK) is recently trading at $38.51 after reporting Q1 EPS 99c, consensus 98c. June call option implied volatility is at 14, October is at 16; below its 26-week average of 19.
 
Amazon.com (AMZN) May 230 calls and puts are active on total call volume of 109K contracts as shares have recently rallied $32.03 to $228.02 after reporting better than expected Q1 results and outlook. June call option implied volatility is at 32; below its 26-week average of 38.
 
U.S. equities are near their highs of the day on solid corporate results.