Volatility as an asset class:
Yahoo (YHOO) is recently down 8c to $15.56 into the expected release of Q2 results today after the market close and Google’s (GOOG) Marissa Mayer named president, CEO. July call option implied volatility is at 45, August is at 30; compared to its 26-week average of 33.
New Oriental Education (EDU) is recently down $6.64 to $15.64 following the disclosure of an SEC investigation. August put option implied volatility is at 95, October is at 87; above its 26-week average of 52.
Vivus (VVUS) July 34, 35 calls and July 12 puts are active 19K contracts at the CBOE as shares recently trade up 12c to $28.91 into today’s Qnexa PDUFA. July 29 straddle is priced at $6.85, August is at $9.05.
U.S. stocks are mixed to higher after Bernanke testimony on positive results from Coca-Cola (KO) and Goldman Sachs (GS).
CBOE Volatility Index (VIX) is recently down 57c to 16.54. VIX August 22, 24 and 28 calls are active on total CBOE volume of 478K contacts at the CBOE.