Blogging Options: CBOE Mid-day Update

Volatility as an asset class
Vertex (VRTX) is recently up $17.95 to $55.26 after the company reported better than expected data from the Phase II trial of KALYDECO + VX-809 in cystic fibrosis patients. June call option implied volatility is at 48, July is at 54; compared to its 26-week average of 52.
Sysco (SYY) is recently up 50c to $28.39 after reporting Q3 adjusted EPS 49c on revenue $10.5B. Overall option implied volatility of 24 is near its 26-week average.

Cognizant (CTSH) is recently down $11.34 to $58.35 after lowering 2012 guidance. June and July call option implied volatility of 32 is below its 26-week average of 35.

CBOE Volatility Index-VIX is recently down 65c to 18.51; as stocks are trading near their highs of the day after selling off on the open following election results in France, Germany and France.