Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Gannett (GCI) is recently down $1.04 to $18.80 on profit taking after the media company reported a modest Q4 beat. February, March and April call option implied of 31 is below its 26-week average of 34.

Acme Packet (APKT) is recently up $5.25 to $29.18 after Oracle (ORCL) announced the acquisition of the company for $29.25 per share or $1.7B. February, March and May call option implied volatility of 7 is below its 26-week average of 57.

Financial Select Sector (XLF) is recently down 16c to $17.45, near its 50-month high of $17.66. February call option implied volatility is at 15, March is at 14, April is at 15; below its 26-week average of 20.

CBOE Euro Currency Volatility Index (EVZ) is recently up 8.5% to 9.23; above its 50-day moving average of 8.03.

CBOE Volatility Index (VIX) is recently up 12.2% to 14.48. VIX February 16 and 18 calls are active on total option volume of 257K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 1% to $675.16 at midday, giving back most or all of Friday’s gains.