Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Theravance (THRX) is recently down $6.61 to $13.61 after its experimental drug Relovair failed to beat a competing drug in a study. February put option implied volatility of 77 is above its 26-week average of 69.
 
Dendreon (DNDN) is recently up $1.39 to $13.74 following last week’s Q4 update and better than expected Provenge outlook. January 12 and 14 calls are active on total option volume of 65K contracts. January call option implied volatility is at 110, February is at 100; above its 26-week average of 87.

S&P 100® Options with American-style exercise (OEX) is recenlty up .70 to 581.28. January put option implied volatility is at 17, February is at 21; April is at 23, suggesting larger outer month price movement. www.cboe.com/OEX.