Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Angie’s List (ANGI) is recently up 25% to $11.40 after the online review site reported better than expected results. November and December call option implied volatility of 44 is below its 26-week average of 50.

Ameriprise (AMP) is recently up 5.6% to $60.25 as the financial-services provider authorized an additional $2B share repurchase. November and December call option implied volatility of 21 is below its 26-week average of 27.

Dunkin’ Brands (DNKN) is recently up 2% to $31.43 on a rise in Q3 profits. November and December call option implied volatility of 26 is below its 26-week average of 32.

Crocs (CROX) is recently down 19% to $13.02 as the shoe maker provided less than expected less than expected guidance. November and December call option implied volatility of 40 is below its 26-week average of 52.

CBOE Volatility Index (VIX) is recently down 8c to 18.25. VIX November 21 and 35 calls are active on total option volume of 573K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 1.04 to $646.82 as Treasury’s trade lower on U.S. Home Data and corporate results.