Volatility as an asset class:
Red Robin (RRGB) is recently up $3.80 to $32.48 after reporting Q2 EPS 52c, compared to consensus 50c. August call option implied volatility is at 37, September is at 36, December is at 39; compared to its 26-week average of 45.
Wendy’s (WEN) is recently up 5c to $4.59 after reporting Q2 revenue of $645.9M, compared to consensus $647.4M. September put option implied volatility is at 30, November is at 33; compared to its 26-week average of 34.
Kohl’s (KKS) is recently down 79c to $52.28 after lowering FY12 EPS view to $4.50-$4.65 from $4.75. September put option implied volatility is at 25, October is at 27, January is at 29; compared to its 26-week average of 27.
S&P 100 Options (OEX) is recently up 0.1% as the CBOE Volatility Index (VIX) trades down 1% to $15.47 with U.S. Treasuries selling off for the third day in a row.