Blogging Options: CBOE Mid-day Update 7.28.14

Volatility as an asset class

Trulia (TRLA) is recently up $6.75 to $63.12 on Zillow (Z) acquiring for $70.53 per share. August call option implied volatility is at 57, September is at 55, December is at 43; compared to its 26-week average of 56.

Zillow August call option implied volatility is at 55, September is at 53, November is at 51; compared to its 26-week average of 56.

Tyson (TSN) is recently up $1.67 to $41.20 after the a food production company specializing in chicken and other proteins reported better than expected Q3 revenues and the sale of Mexican and Brazilian assets. August call option implied is at 28, September is at 25, January is at 23; compared to its 26-week average of 27.

Cal-Maine (CALM) is recently down $4.49 to $74.80 after the egg provider said it was “cautiously optimistic” about having a good start to full-year 2015. August call option implied volatility is at 28, November is at 27; compared to its 26-week average of 32.

Actives at CBOE:  AAPL FB NQ TWTR AMZN LNG BIDU NFLX AVP

Stocks with increasing volume @ CBOE:  CVLT TRP DLTR RFMD SWFT AVP INFN ACRX GALT KN

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.01 to 11.85; compared to its 10-day moving average of 12.05. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 29c to 270.04, compared to its 50-day moving average of 267.85 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 39c to 13.08. VIX August 17 and 21 calls are active on 147K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 19c to 29.03.

CBOE DJIA Volatility Index (VXD) up 43c to 12.47; compared to its 10-day moving average of 11.70.

CBOE Nasdaq-100 Volatility Index (VXN) up 78c to 14.14; compared to its 50-day moving average of 13.46.

S&P 100 Options (OEX) recently is recently down $2.06 to $877.80 following the lower than expected pending home sales report.