Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Diamond Foods (DMND) is recently down $1.36 to $13.46 after the snack food company reported Q4 adjusted EPS 5c, consensus 3c. December call option implied volatility is at 76, January is at 55; compared to its 26-week average of 58.

Nexen (NXY) is recently up $3.33 to $26.95 after Canadian government approved the company’s takeover by CNOOC (CEO). NXY January call option implied volatility of 23 is below its 26-week average of 36.

Honeywell (HON) is recently down 16c to $61.82 after announcing the acquisition of Intermec (IN) for $600M. December and January put option implied volatility of 21 is near its 26-week average of 20.

CBOE Volatility Index (VIX) is recently up 28c to 16.18. VIX January 14, 15 and 16 puts are active on total option volume of 222K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 64c to $646.42 in mid-day as some encouraging data from China offset increased worries about Europe fueled by the surprise resignation announcement from Italy’s prime minister.