Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Herbalife (HLF) is up $1.31 to $39.66 on Daniel Loeb’s Third Point LLC reporting a 8.2% passive stack in the nutritional-supplement maker. January call option implied volatility is at 100, February is at 90; above its 26-week average of 49.

Danaher (DHR) is up $1.88 to $59.55 after the maker of testing and medical equipment expects to exceed its Q4 profit and revenue outlook. January call option implied volatility is at 16, February is at 17, March is at 16; compared to its 26-week average of 20.

J.C. Penney (JCP) is down $0.47 to $18.52 after the stock was downgraded earlier this morning at research firm Macquarie to Neutral from Outperform. January put option implied volatility is at 59, February is at 67, May is at 69; compared to its 26-week average of 58.

CBOE Volatility Index (VIX) is recently up 0.3% to 13.65. VIX March 25 and 30 calls are active on total option volume of 698K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 0.3% to $663.14 at midday as traders respond to Alcoa’s (AA) results and outlook.

SPX volume mid-day was 408k, VIX traded over 377k contracts. CBOE volume over 2 million contracts.