Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Sherwin-Williams (SHW) is up $8.72 to $149.57 following its agreement to buy privately held Comex for $2.34B to gain a bigger presence in Mexico. December call option implied volatility is at 25, January is at 24; compared to its 26-week average of 25.

Gilead (GILD) is up $6.90 to $71.92 after announcing positive interim data from an ongoing study for a next-generation treatment for hepatitis C, a deadly liver disease. December and January call option implied volatility of 29 is near its 26-week average of 31.

Celgene (CELG) is up $4.00 to $75.54 after announcing that Abraxane in first-line metastatic pancreatic cancer met its primary endpoint of overall survival in a IMPACT study. December and January call option implied volatility of 27 is below its 26-week average of 31.

CBOE Volatility Index (VIX) is recently down 8.8% to 16.98. VIX November 18 and 19 calls are active on total option volume of 359K contacts at the CBOE.

S&P 100 Options (OEX) is up 2 to $632.04 following last week’s largest sell off.