Blogging Options: CBOE Mid-day Update

Volatility as an asset class;

Alaska Air (ALK) is recently up $1.65 to $35.33 after announcing a $250M share repurchase program. October, November and January call option implied volatility of 27 is below its 26-week average of 32.

American Greetings (AM) is recently up $2.46 to $16.80 after the company received a go-private offer from a group led by its CEO and COO, who offered to buy the remaining stake not owned by their family for $17.18 per share. October call option implied volatility is at 26, November is at 23, and January is at 19; below its 26-week average of 34.

Alpha Natural (ANR) is recently up 21c to $6.75 prior to being deleted from the S&P 500 as of 10/1 close, Kraft Foods (KRFTV) will be added. Overall option implied volatility of 77 is near its 26-week average of 73.

CBOE Volatility Index (VIX) is recently up 84c to 16.27. VIX October 25 and 45 calls are active on total option volume of 256K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 2.08 to $682.46 on European economic concerns.