Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Dendreon (DNDN) is recently up 75c to $5.83 after being upgraded to Outperform from Market Perform at Bernstein based on favorable urologists feedback that indicates increasing Provenge use at Bernstein. February call option implied volatility is 76, May is at 80; below its 26-week average of 84.

Apple (AAPL) is recently down $2.50 to $521 as traders prepare for the expected release of Q1 results on January 23. January call option implied volatility is at 27, February is at 44; compared to its 26-week average of 32. January 525 and 530 weekly calls are active on total option volume of 382K contracts at the CBOE.

Infosys (INFY) is recently up $7.86 to $51.81 after the consulting services company reported results and guidance that topped expectations. February call option implied volatility is at 24; April is at 27; below its 26-week average of 36.

CBOE S&P 500 BuyWrite Index (BXM) is recently at 916.44, above its 50-day MA of 904.58. www.cboe.com/BXM

CBOE Volatility Index (VIX) is recently up 0.2% to 13.52. VIX March 25 & 35 calls are active on total option volume of 1.2M contacts at the CBOE.

SPDR S&P 500 ETF Trust (SPY) is recently down 0.1% to $146.87 at midday on a tight trading range.