Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Par Pharmaceutical (PRX) is being acquired by TPG for $50 per share or $1.9B. Overall option implied volatility of 30 is below its 26-week average of 35.
 
Citigroup (C) is trading up 49c to $27.15 in the premarket after the company reported Q2 adjusted EPS $1.00, consensus 89c. Overall option implied volatility of 39 is near its 26-week average of 41.
 
Visa (V) is up $4.31 to $128.40 following merchants reaching a $7.25B settlement with the company, MasterCard (MA) and major U.S. banks. Overall option implied volatility of 26 is near its 26-week average of 28.

 
CBOE Volatility Index-VIX closed at 16.72, 10-day moving average is 17.48, 50-day moving average is 20.60.

Active puts at CBOE:

AAPL 7/13/2012 605 26K contracts
 
BAC 7/21/2012 8 20K contracts
 
SPY 7/13/2012 136 20K contracts
 
AGNC 8/18/2012 40 10K
 
JPM 7/13/2012 36 9K
 
KGC 8/18/2012 9 9K

U.S. stocks are lower. Investors disappointed in drop in Ratail Sales of 0.5% (+0.1 expected), ex-autos off 0.4%. Third drop in a row, last streak since 2008. Citi with better results. Empire State slightly better than forcast. 10-year one tick off record low yield.