Blogging Options: CBOE Mid-day Update

Volatility as an asset class:
 
Toll Brothers (TOL) is recently up 98c to $32.79 after reporting net Q3 rose 46% on revenue of $554M, compared to consensus $508M. Overall option implied volatility of 36 is near its 26-week average.
 
American Eagle (AEO) is recently up $1.63 to $22.48 as Q2 comparable-store sales rise 9%. September call option implied volatility is at 30, November is at 33 below its 26-week average of 38.
 
Sunrise Senior Living (SRZ) is recently up $5.28 to $14.21 after entering into a definitive merger agreement under which Health Care REIT (HCN) will acquire all of the outstanding common shares for $14.50 per share in an all-cash. October call option implied volatility is at 14, below its 26-week average of 56.

S&P 100 Options- $OEX -0.2% to 648.04; above its 50-day moving average of 627.65 as U.S. Treasuries rally on renewed global economic uncertainty.
 
CBOE Volatility Index (VIX) is recently up 7.8%. September 19 and 23 calls are active on total option volume of 454 contracts at the CBOE.