Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Mosaic (MOS) is recently up $1.45 to $58.22 after the phosphate company reported Q2 EPS $1.05, compared to consensus 93c. February call option implied volatility is at 21, March is at 23, June is at 24; below its 26-week average of 31.

Eli Lilly (LLY) is recently up $1.88 to $51.60 after backing mid-term guidance through 2014 with at least $20B in revenue. February and April call option implied volatility of 17 is below its 26-week average of 22.

Coinstar (CSTR) is recently down $2.71 to $49.35 after the operator of Redbox-DVD rental kiosks announced its CEO plans to retire in March, levels to watch. February call option implied volatility is at 47, April and July is at 39; compared to its 26-week average of 42.

CBOE Volatility Index (VIX) is recently down 6.3% to 13.65. VIX January 21 calls and February 14 puts are active on total option volume of 299K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 0.2% to $663.58 at midday on a monthly jobs report that was roughly in-line.