Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Ancestry.com (ACOM) is recently up $2.30 t0 $31.48 after confirming it will be acquired by Permira for $1.6B. November option implied volatility is at 12 below its 26-week average of 51.

Advanced Auto Parts (AAP) is recently down $3.89 to $64.58 after preannouncing Q3 results and guidance below expectations. November put option implied volatility is at 33, December is at 31; compared to its 26-week average of 30.
 
Nielsen Holdings (NLSN) is recently trading down $2.33 to $29.33 after reporting less than expected Q3 revenue of $1.42B, compared to consensus $1.44B. November and December put option implied volatility of 24 is below its 26-week average of 31.
 
CBOE Volatility Index (VIX) is recently up 55c to 17.61. November 20 call volatility is at 114, December is at 102, January is at 113. VIX November 22 and 25 calls are active on total option volume of 180K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 3.26 to $653.88 on a tight trading range.