Blogging Options: CBOE Mid-day Update

Volatility as an asset class
 
Diamond Foods (DMND) is recently down 81c to $22.34 on the company securing $225M investment from Oaktree Capital Management. June call option implied volatility is at 71, July is at 55; compared to its 26-week average of 62, suggesting larger near term price movement.
 
Viacom (VIA) is recently down 27c to $46.41 following the raising of its quarterly dividend 10% to 27.5c from 25c per share. Overall option implied volatility of 27 is below its 26-week average of 30.
 
CBOE NASDAQ-100 Volatility Index (VXN) is recently up 63c to 25.15. VXN allows investors to trade volatility in premier technology-weighted index. http://www.cboe.com/micro/vxn/
 
CBOE Volatility Index (VIX) up 1.06 to 23.54 ; S&P 500 recently down 1.2%.

U.S. equities are sharply lower amid increased fears that Greece could leave EMU and low expectations into today’s informal EU summit.