Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Chevron (CVX) is recently down $2.82 to $108.63 after reporting earnings and revenue that missed consensus estimates. December and January call option implied volatility of 19 is below its 26-week average of 22.

Ralph Lauren (RL) is recently up $4.05 to $163.09 after reporting Q2 EPS $2.29, compared to consensus $2.15. December and January call option implied volatility of 28 is below its 26-week average of 34.

Thomson Reuters (TRI) is recently down 32c to $28.20 on Q3 adjusted EPS of 54c, compared to consensus 48c. December and April call option implied volatility of 19 is below its 26-week average of 22.
 
CBOE Volatility Index (VIX) is recently down 7c to 16.62. VIX November 26 and December 24 calls are active on total option volume of 359K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 1.26 to $652 at midday despite payrolls in the U.S. climbing more than forecast in October.