Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Wright Medical (WMGI) is recently down 47c to $19.54 after striking a deal to purchase medical device maker BioMimetic Therapeutics (BMTI) for about $190M. WMGI December and January call option implied volatility of 32 is below its 26-week average of 36.

UPS (UPS) is recently up $1.19 to $71.22 on the package delivery company expecting to deliver 527M packages during holidays, up from 480M last year. Overall option implied volatility of 20 is above its 26-week average of 18.
Intel (INTC) is recently down 4c to $20.15 after reporting retirement of its CEO, Paul Otellini. December call option implied volatility is at 22, January is at 25; compared to its 26-week average of 25.

CBOE Volatility Index (VIX) is recently down 5.1% to 15.57. VIX November 22, December 22 calls and January 17 puts are active on total option volume of 853K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 10.70 to $629.74 at midday as sales of existing homes rose in October and a gauge of homebuilder sentiment climbed to a six-year high in November.