Blogging Options: CBOE Mid-day Update 7.23.13

Volatility as an asset class

Lexmark (LXK) is recently up $3.59 to $38.16 after the ink jet cartridge and printer manufacturer beat Q2 EPS by 7 cents per share. August call option implied volatility is at 31, September and October is at 29; compared to its 26-week average of 38.

Polaris (PII) is recently up $3.90 to $107.38 as earnings rose 15% on higher utility vehicle prices contributing to stronger than expected sales growth.  August call option implied volatility is at 23, September is at 22, December is at 23; compared to its 26-week average of 27.

Penn National (PENN) is recently down $3.78 to $50.20 after the gaming company lowered its financial outlook for the year. August call option implied volatility is at 23, September is at 22, January is at 25; compared to its 26-week average of 24.

Wendy’s (WEN) is recently up 72c to $7.41 gaps up after reporting Q2 results of 8 cents per share versus consensus of 6 cents. August call option implied volatility is at 32, September is at 29, November is at 28, February is at 24; compared to its 26-week average of 29.

VIX methodology for Apple (VXAPL) is recently down 74c to 29.15, above its 50-day moving average of 28.62 into the expected release of Q3 results today after the market close.

Actives:  AAPL C DELL BAC GOOG NFLX TXN PBR ABX TSLA BAC

CBOE Volatility Index (VIX) is recently up 35c to 12.65. VIX August 20 and September 21 calls are active on total option volume of 196K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 42c to $758.94 after strong earnings from blue-chips.