Blogging Options: CBOE Morning Update

Volatility as an asset class
Illumina (ILMN) is recently at $52.50 in the pre-market after receiving a hostile $44.50 per share takeover bid from Roche’s (RHHBY) $44.50. Overall option implied volatility of 62 is above its 26-week average of 58.
Fusion-io (FIO) is recently down $2.94 to $27.40 in the pre-market into lower 2012 gross margin guidance. February call option implied volatility is at 97, March is at 88; above to its 26-week average of 77.
Apple (AAPL) is recently up $32.58 to $453.10 in the premarket following better than expected results and outlook. Overall option implied volatility of 33 is near its 26-week average of 32.
CBOE significant call volume increases;

BAC 2/18/2012 8 7K contracts

YHOO 1/27/2012 16 6K

T 1/19/2013 32 6K

AAPL 1/27/2012 430 6K

CSCO 2/18/2012 21 5K

YHOO 2/18/2012 16 5K

GLD 2/18/2012 175 5K

BAC 2/18/2012 7 5K

KOG 2/18/2012 7.5 5K
U.S. equities are mixed to lower into today’s Federal Reserve meeting policy results.
CBOE Volatility Index-VIX closed at 18.91, 10-day moving average is 20.19, 50-day moving average is 25.70.