Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Illumina (ILMN) is recently down $3.78 to $50.98 after Roche’s (RHHBY) chairman told a Swiss newspaper that his company definitely isn’t interested in acquiring the gene sequencing specialist. January and February put option implied volatility is at 42, March is at 44; near its 26-week average of 42.

Amazon.com (AMZN) is recently up $6.81 to $265.95 as shares trade a new intra-day high. Overall option implied volatility of 31 is below its 26-week average of 36.

Vivus (VVUS) is recently up $1.19 to $14.91 after the company said the number of prescriptions shipped for its obesity drug Osmia increased 67% for the four weeks ended December 21, 2012. January and February call option implied volatility is at 69, March is at 78, June is at 72; compared to its 26-week average of 70.

CBOE Volatility Index (VIX) is recently up 3.4% to 14.30. VIX February 14 and 17 puts are active on total option volume of 793K contacts at the CBOE.

SPDR S&P 500 ETF Trust (SPY) is recently down 0.6% to $145.57 at midday after as the SPY trades off the five-year high it reached Friday.