Blogging Options: CBOE Morning Update

Volatility as an asset class:
 
Intel (INTC) is down 20c to $25.20 in the premarket into cutting its FY12 revenue view to up 3%-5%. Overall option implied volatility of 27 compares to its 26-week average of 25.

Yahoo (YHOO) shares are unchanged at $15.59 in the preopen after reporting Q2 revenue ex-tac $1.08B, consensus $1.1B. Overall option implied volatility of 29 is below its 26-week average of 33.
 
Vivus (VVUS) is up $4.29 to $30.79 in the premarket on the FDA announcing approval of the company’s weight loss drug, Qnexa. Overall option implied volatility of 145 is above its 26-week average of 125.
 
 
CBOE Volatility Index-VIX closed at 16.47, 10-day moving average is 17.45, 50-day moving average is 20.53.
Active calls at CBOE:
 
QQQ 7/21/2012 64 44K contracts
 
SPY 7/21/2012 136 27K
 
BAC 7/21/2012 8 19K
 
AAPL 7/21/2012 610 13K
 
INTC 7/21/2012 26 12K
 
KBE 8/18/2012 22 12K
 
NAV 8/18/2012 30 12K
 
YHOO 7/21/2012 16 11K

U.S. stocks are mixed to lower into the Fed’s beige book release. Bank of America and U.S. Bank Corp trade mixed on Q2 results. Housing Starts rose more than expected Permits lower. But inventory of homes on the market reportedly grew. Spanish 10-year yields back near 7% – let’s not forget Europe.

VIX July Settlement numbers will be posted as soon as they are released.