Blogging Options: CBOE Mid-day Update

Volatility as an asset class

SanDisk (SNDK) is recently is recently up $1.75 to $49.90 after the chip maker reported Q4 EPS of $1.05, compared to consensus 76c. February and March call option implied volatility of 30 is below its 26-week average of 38.

Bristol-Myers (BMY) is recently up 86c to $35.77 after the company got a boost from tax benefits related to last year’s $2.5B purchase of hepatitis C drug developer Inhibitex. February call option implied volatility is at 10, March is at 11; compared to its 26-week average of 16.

Altera (ALTR) is recently down $1.76 to $33.46 after Q4 earnings decreased 17% as the chip manufacturer said sales for mature products were soft. February, March and June call option implied volatility of 23 is below 26-week average of 32.

VIX methodology for Apple (VXAPL) is recently down 12.92 to 30.89; below 50-day moving average of 38.09.

CBOE Volatility Index (VIX) is recently up 45c to 12.91. VIX February 16 and 26 calls are active on total option volume of 534K contacts at the CBOE.

S&P 100 Options (OEX) is recently down $1.18 to $674.58 at midday following a disappointment from the biggest name in technology, Apple (AAPL).