Blogging Options: CBOE Mid-day Update 7.22.13

Volatility as an asset class

Yahoo (YHOO) is recently down $1.04 to $28.07 after the internet portal announced it would repurchase 40M shares from Third Point at $29.11 per share. August call option implied volatility is at 29, September and October is at 28; compared to its 26-week average of 30.

Gannett Co.’s (GCI) is recently down 17c to $26.21 after Q2 ad revenue decreased 5.3%. August option implied volatility is at 28, September is at 29, October is at 34, January is at 32; compared to its 26-week average of 37.

DreamWorks Animation (DWA) is recently down $1.80 to $23.10 after the entertainment creating company’s “Turbo” film generated a lower than expected revenue.  August call option implied volatility is at 57, September is at 46, December is at 48; compared to its 26-week average of 37.

VIX methodology for Apple (VXAPL) is recently down 16c to 30.04, above its 50-day moving average of 28.56 into the expected release of Q3 results on July 23.

Actives:  AAPL C ABX GOOG NFLX MSFT MCD TSLA BAC MCP

CBOE Volatility Index (VIX) is recently up 25c to 12.79. VIX August 16 and 17 calls are active on total option volume of 131K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $1.92 to $759.94 after less than expected earnings outlook from McDonald’s (MCD).