Blogging Options: CBOE Mid-day Update

Volatility as an asset class:

Amylin (AMLN) is recently $2.28 to $14.45 following the FDA approval for Bydureon, its once-weekly treatment for type 2 diabetes, which it jointly developed with Alkermes (ALKS). AMLN February and March option implied volatility of 60 is below its 26-week average of 74.
 
Alkermes (ALKS) is recently up 16c to $19.26. February and March option implied volatility of 44 is below its 26-week average of 49.
 
PharMerica (PMC) is recently down $1.75 to $12.55, after the FTC blocked Omnicare’s (OCR) bid to purchase the company. PMC February put option implied volatility is at 44, March is at 57, September is at 65; compared to its 26-week average of 48.

VIX methodology for Apple (VXAPL) up 29c to 21.53; near its historic low; as share near record high.

VIX methodology for Amazon (VXAZN) + 11.8% to 50.41 into Q4 results after the market close on January 31.

Markets staging rally but still off on the day.