Blogging Options: CBOE Mid-day Update

Mead Johnson (MJN) is recently up $2.85 to $71.85 following public health investigators concluding that Mead Johnson’s products don’t contain Cronobacter bacteria. January call option implied volatility of 33 is below a level of 40 from last week and near its 26-week average of 32.
Bank of America (BAC) is recently up 4.9% to $5.83 after losing 58% of its value in 2011. January call option implied volatility is at 62, March is at 47; compared to its 26-week average of 58.
Groupon (GRPN) is recently down $1.54 to $19.10 after N IPO opening of $28 on November 4, 2011. January call option implied volatility is at 67, puts at 111. Put volatility is higher than calls because shares are difficult to borrow and traders taking positions for additional downside price movement.

Stocks are higher at mid-day, after manufacturing data from the U.S., China and India all beat expectations.
CBOE Volatility Index-VIX is recently down 31c to $23.09, below its 50-day moving average of 28.44.