Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Dell (DELL) is recently up 10c to $13.88 on the company being taken over by Michael Dell and Silver Lake valued for $24.4B or $13.65 per share. March and April call option implied volatility of 12 is below its 26-week average of 34.

CSC (CSC) is recently up $4.31 to $46.22 after the tech-product distributor reported better than expected Q3 EPS and boosted guidance. February call option implied volatility is at 26, March is at 21, June is at 25; compared to its 26-week average of 32.

McGraw-Hill (MHP) is recently down $2.73 to $47.58 after U.S. Attorney General Eric Holder said the government could seek more than $5B from Standard & Poor’s Rating Service as part of Justice Departments civil lawsuit against the rating firm. February put option implied volatility is at 54, May is at 41; above its 26-week average of 25.

MasterCard (MA) is recently up $3.55 to $517.77 after the card process transaction company authorized an additional $2B for the repurchase of Class A shares and doubled its quarterly dividend. March call and April call option implied volatility of 20 is below its 26-week average of 25.

CBOE Volatility Index (VIX) is recently down 92c to 13.75. VIX February 16 and May 25 calls are active on total option volume of 122K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 0.9% to $680.14 at midday, gaining most if not all of Monday’s losses.