Blogging Options: CBOE Mid-day Update 7.30.13

Volatility as an asset class

Merck (MRK) is recently down 31c to $48.03 after the drug maker reported a 49% decline in Q2 profit. August call option implied volatility is at 15, September and October is at 14; below its 26-week average of 18.

Coach (COH) is recently down $4.01 to $53.41 after the leather goods company reported Q4 profit fell 12%.  September call option implied volatility is at 20, November is at 25; compared to its 26-week average of 33.

Potash (POT) is recently down $7.77 to $30.14 after Russian potash producer Uralkali ended its cooperation with Belarus’ Belaruskali.  Potash August call option implied volatility is at 55, September is at 41, December is at 36; above its 26-week average of 23 according to Track Data, suggests large price movement.

Actives:  AAPL POT MOS FB TSLA HPQ GOOF X BP

VIX methodology for Apple (VXAPL) down 1.7% to 24.01; above its 50-day moving average of 28.15.

CBOE Volatility Index (VIX) is recently up 31c to 13.70. VIX August 15, 17, 28 and October 25 calls are active on total option volume of 140K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) down 1.1% to 15.53, August 15 and 16 puts are active on total option volume of 37K contracts at CBOE.

S&P 100 Options (OEX) is recently up $1 to $757.60 at midday as a report on rising home prices along with some better than expected earnings reports supported the market.