Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Express Scripts (ESRX) is recently up $1.73 to $55.93 on the company given the green light from the FTC to complete its $29.1B acquisition of Medco Health Solutions (MHS). ESRX May put option implied volatility is at 31, August is at 30; below its 26-week average of 38.

CBOE Crude Oil ETF Volatility Index security futures (OVX) are recently down 56c to $28.44 on the CFE.
OVX Index products, based on listed options prices of the United States Oil Fund, LP (USO) — the ninth most-actively-traded ETF options contract in the U.S. last year, allows traders to hedge volatility risk associated with crude oil futures prices.
The OVX Index calculation is derived from applying CBOE’s VIX® methodology to the prices of CBOE-listed options on USO.

United States Oil Fund (USO) April put implied volatility is at 26, May is at 28, June is at 29; below its 26-week average of 33 according to Track Data, suggesting decreasing near term price movement as oil trades recently trades up 1.56% to $104.36.

CBOE VIX futures April down 25c to 16.55, September flat at 24.70, December down 20c to 25.40.