Blogging Options: CBOE Mid-day Update

Volatility as an asset class
Chesapeake Energy (CHK) is recently up $1.40 to $19.84 on Chesapeake board revealing it will search for a new Chairman and Chief Executive Aubrey K. McClendon agreeing to early termination of well contracts. May call option implied volatility is at 55, June is at 52; above its 26-week average of 44.
P.F. Chang’s (PFCB) is recently down $11.81 to $51.50 after agreeing to be acquired by Centerbridge Partners for $1.1B. June call option implied volatility is at 7, July is at 8; below its 26-week average of 39, suggesting confidence of the deal being completed this summer.

Sears Holdings (SHLD) is recently up $10 to $63.77 on positive Q1 guidance. up about 21%. June call option implied volatility is at 57, September is at 50; compared to its 26-week average of 54.
U.S. equities are higher following positive manufacturing reports in the U.S. and China.

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