Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Big Lots (BIG) is recently up $3.07 to $31.09 following the retailer reporting better than expected results and guidance. December put option implied volatility is at 31, January is at 33, April is at 37; compared to its 26-week average of 36.

Baxter International (BAX) is recently down 90c to $64.91 after announcing the acquisition of Gambro, a privately held dialysis product company based in Lund, Sweden, for approximately $4B at current exchange rates. December call option implied volatility is at 19, January is at 18, February is at 22; compared to its 26-week average of 22.

Darden (DRI) is recently down $5.41 to $47.01 after the restaurant chain operator sees Q2 EPS 25c-26c, compared to consensus 47c. December call option implied volatility is at 32, January is at 27, April is at 25; compared to its 26-week average of 26.

CBOE Volatility Index (VIX) is recently up 48c to 17.12. VIX December 16 calls and puts are active on total option volume of 153K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 1.38 to $642.04 after President Obama says their is ‘potential’ for fiscal cliff deal.