Blogging Options: CBOE Mid-day Update

Volatility as an asset class
 
McDermott (MDR) is recently $1.37 to $11.26 on better than expected Q1 results, margins and bookings outlook. June call option implied volatility is at 55, August is at 54, November is at 49; below its 26-week average of 59.
 
Nordstrom (JWN) is recently down $2.40 to $51.13 after backing FY12 EPS $3.30-$3.45, consensus $3.48. June call option implied volatility is at 25, July is at 23, October is at 27; below its 26-week average of 33.
 
Nuance (NUAN) is recently up 18c to $23.27 after selling off to $21.71 as Q2 profits fell 49% on greater expenses and higher tax provisions. June call option implied volatility is at 41, July is at 38; below its 26-week average of 45.
 
U.S. equities are near their high of the day after opening lower on a JPMorgan (JPM) $2B credit derivative loss.
 
CBOE Volatility Index (VIX) up 6c to 19.89. VIX May and June 24 calls are active on 222K
contracts.