Blogging Options: CBOE Mid-day Update 4.23.13

Volatility as an asset class

Illumina (ILMN) is recently up $7.82 to $62.83 after the gene-sequencing company reported double-digit revenue growth. May, June and September call option implied volatility of 36 is near its 26-week average of 35.

Delta (DAL) is recently up $1.27 to $16.41 after the air carrier reported better than expected Q1 earnings.  May call option implied volatility is at 37, June is at 35, September is at 39; below its 26-week average of 41.

Coach (COH) is recently up $5.80 to $56.38 after the luxury accessory retailer reported earnings of 84c compared to consensus of 81c and gave positive guidance on the second half of the year.  May call option implied volatility is at 28, June is at 26, August is at 28; compared to its 26-week average of 34.
VIX methodology for Apple (VXAPL) -0.2% to 42.64, above 50-day moving average of 33.24 into Q2

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up 8.20 to 1284.80, above its 10-day moving average of 1279.83 and its 50-day moving average of 1259.42.

Options active into quarterly reports: MMM CVX AMZN BA LLY PX EMC PG QCOM YUM AAPL

CBOE Volatility Index (VIX) is recently down 88c to 13.51. VIX May 13 and 15 puts are active on total option volume of 417K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 7.62 to $712.08 on strong corporate earnings.