Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Research in Motion (RIMM) is recently down $1.09 to $14.57 after launching its newest operating system, BlackBerry 10. February weekly call option implied volatility is at 125, February is at 87, March is at 86; above its 26-week average of 68.

Freescale (FSL) is recently up $2.11 to $14.50 after the chip maker forecast sales above estimates. February call option implied volatility is at 44, March is at 38, June is at 43; below its 26-week average of 53.

Dolby Laboratories (DLB) is recently up $1.16 to $32.91 after the audio company’s Q1 results beat expectations. February call option implied volatility is at 35, March is at 25, June is at 28; compared to its 26-week average of 36.

CBOE Interest Rate 10-year T-Note (TNX) is recently up 1.4% to $20.15; above its 50-day moving average of $17.63 into FOMC meeting results.

CBOE Volatility Index (VIX) is recently up 4.7% to 13.93. VIX February 17 and 24 calls are active on total option volume of 225K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 0.2% to $678.68 at midday into the FOMC policy statement