Blogging Options: CBOE Mid-Day Update 7.24.13

Volatility as an asset class

Broadcom (BRCM) is down $4.85 to $27 after reporting slightly better than forecast earnings but cutting its Q3 revenue view. August call option implied volatility is at 30, November and January is at 29; compared to its 26-week average of 30.

Caterpillar (CAT) is down $1.87 to $83.61 after an earnings miss and a guidance cut. August, September, October and November call option implied volatility is at 18; compared to its 26-week average of 24.

Delta Air Lines (DAL) is up $0.55 to $21 after reporting Q2 adjusted EPS 98c, compared to consensus 85c. August call option implied volatility is at 35, September is at 37, December is at 38; compared to its 26-week average of 38.

Ford (F) is higher by $0.57 to $17.52 after reporting Q2 adjusted EPS 45c, consensus 37c.  August, September and October call option implied volatility is below its 26-week average of 25.

Boeing (BA) is lower by $1.09 to $106.70 after reporting Q2 adjusted EPS $1.67, compared to consensus $1.58. September and November call option implied volatility of 21 is below its 26-week average of 24.

VIX methodology for Apple (VXAPL) is recently down 7.16 to 23.07, below its 50-day moving average of 28.57

Actives:  AAPL C ELN DELL WLT NFLX STX MRK GOOG F

CBOE Volatility Index (VIX) is up 0.59 to 13.25. VIX September 27, 30 and  30 calls are active on total option volume of 114K contacts at the CBOE.

S&P 100 Options (OEX) has moved lower by 1.22 to $757.46 on profit taking after stocks had rallied into solid earning reports.  Mid-day option volume light overall.