Blogging Options: CBOE Afternoon Update

Eli Lilly (LLY) is up $1.20 to $43.60. LLY said primary endpoints were not met in two trials for its Alzheimer’s drug, solanezumab, but the secondary analysis of pooled data showed statistically significant slowing of for the cognitive decline among some patients. September call option implied volatility is at 13, October is at 21, January is at 17, below its 26-week average of 23.
 
Panera Bread (PNRA) is up $1.60 to $154.01, as the board authorizing up to a $600M share repurchase. September call option implied volatility is at 21, November is at 27; below its 26-week average of 31.
 
Brinker (EAT) is up 84c to $34.69 after the company approved the repurchase of an additional $500M in stocks and boosted its dividend. October call option implied volatility is at 28, January is at 27; below its 26-week average of 30.

CBOE Volatility Index (VIX) is recently down .55 to 15.43.
 
SPXpm electronically-traded S&P 500 Index options (SPXpm) is up 8.35 to 1410.43 on a report citing European Central Bank sources said the ECB was considering setting target bands for bond yields in its new bond-buying program.

U.S. stocks are mixed to higher, as Mr Bernanke’s comments about ECB turned market higher. Most indices still lower for the week. Option volume picked up as market turned North.