Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Coach (COH) is recently down $9.21 to $51.46 on a earnings miss and guidance. February and March call option implied volatility of 28 is below its 26-week average of 32.

Whirlpool (WHR) is recently up $2.54 to $106.46 after Reuters says U.S. approves duties on washers Februry call option implied volatility is at 39, March 34; compared to its 26-week average of 39.

Cree (CREE) is recently up $6.31 to $39.77 after the company reported stronger than expected results. February and March call option implied volatility of 31is below its 26-week average of 44.

VIX methodology for Apple (VXAPL) down 1.4% to 42.32; above 50-day moving average of 38.18 into Q1

CBOE Volatility Index (VIX) is recently down 0.6% to 12.36. VIX February 14 and 16 puts are active on total option volume of 386K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 88c to $674.42 at midday following mixed corporate results.