Blogging Options: CBOE Mid-day Update 7.18.13

Volatility as an asset class

Verizon (VZ) is recently down $1.06 to $49.68 on Q2 earnings up 23% on wireless revenue strength. August, September and January call option implied volatility of 16 is at its 26-week average of 16.

UnitedHealth (UNH) is recently up $3.34 to $69.57 on Q2 earnings rising 7.4% on better than expected membership revenue.  August and September call option implied volatility of 16 is a below its 26-week average of 23.

Morgan Stanley (MS) is recently up $1.33 to $27.87 on Q2 net income rising 66%.  August and September call option implied volatility of 26 is below its 26-week average of 33.

Cypress Semiconductor (CY) is recently up 71c to $12.63 after the chip maker reported better than expected Q2 revenue of $193.4M. August call option implied volatility is at 32, September is at 30, December is at 33; compared to its 26-week average of 37.

Fairchild Semiconductor (FCS) is recently down $1.62 to $12.70 after the chip maker revenue fell on higher costs. August call option implied volatility is at 36, November is at 37; compared to its 26-week average of 38.

Actives:  AAPL C PBR BAC RAD TSLA DELL INTC CSCO LNG

CBOE Volatility Index (VIX) is recently down 43c to 13.35. VIX August 20 and 24 calls are active on total option volume of 230K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $4.84 to $758.92 on jobless claims dropping to their lowest level in four-months.