Blogging Options: CBOE Mid-day Update

Volatility as an asset class:
 
Shaw Group (SHAW) is recently up $14.31 to $41.03 after CB&I (CBI) announced an acquisition of $46 per share in cash and stock for the company. SHAW September call option implied volatility is at 41, , October is at 23; compared to its 26-week average of 40. CBI is recently down $6.10 to $34.60.
 
Teucrium Corn Fund (CORN) is recently up $1.14 to $51.20 as the 2012 corn-belt heat wave continues. Overall option implied volatility of 37 is above its 26-week average of 32.
 
Diebold (DBD) is recently down $3 to $33.31 after lowering its FY12 revenue growth guidance to 6%-8% from 7%-10%. August call option implied volatility is at 35, September is at 31, November is at 33; compared to its 26-week average of 32.
 
S&P 500 Index Options (SPXpm) is recently down 0.1% to 1384.05 on the uncertainty of policy changes for Europe’s debt crisis.

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