Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Caribou Coffee (CBOU) is recently up $3.70 to $16.02 after agreeing to be acquired by Germany’s Joh. A. Benckiser for $16.00 per share in cash, or $340M. January call option implied volatility is at 18, February is at 19; below its 26-week average of 48.

Con-way (CNW) is recently down 68c to $27.39 after the transportation, logistics and supply-chain company was downgraded to Underweight from Hold at BB&T. Overall option implied volatility of 36 is near its 26-week average of 37.

Apple (AAPL) is recently up $6.18 to $516 after the company was downgraded to Neutral from Buy at Citigroup. December and January put option implied volatility is at 43, February is at 45; above its 26-week average of 32.

CBOE Volatility Index (VIX) is recently down 27c to 16.73. VIX December 17 call and puts are active on total option volume of 182K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $6 to $648.44 at midday on hopes for additional fiscal cliff proposals from House Speaker Boehner.