Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Wells Fargo (WFC) is recently up 55c to $34.91 on its asset management unit making s strategic investment in Rock Creek Group, a Washington, D.C.-based fund of hedge funds firm with approximately $7B in assets under management. January and April call option implied volatility is at 20; below its 26-week average of 25.

Nielsen (NLSN) is recently up 76c to $30.38 the company announced it will spend about $1.26B in cash to acquire, radio data provider, Arbitron (ARB) for $48 per share in cash. January call option implied volatility is at 19, February is at 22; below its 26-week average of 28.

Proshares Ultra Short 20 Year Treasury ETF (TBT) is recently up 86c to $64.08 as interest rate increase on hopes for a fiscal breakthrough via “Plan A or B.” January put option implied volatility is at 25, March and June is at 26; compared to its 26-week average of 31.

CBOE Volatility Index (VIX) is recently down 27c to 16.73. VIX December 15 and 16 puts are active on total option volume of 481K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $5.42 to $655.56 at midday as optimism builds for additional fiscal cliff negotiating progress.