Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Safeway (SWY) is recently up $2.41 to $22.54 after reporting Q4 EPS 94c ex-items, compared to consensus 76c. March call option implied volatility is at 41, April is at 40, June is at 35; compared to its 26-week average of 34.

Rubicon Technology (RBCN) is recently down 84c to $4.93 after the LED-component supplier lowered Q1 guidance. March call option implied volatility is at 84, April is at 67, June is at 62; compared to its 26-week average of 61.

Berry Petroleum (BRY) is recently up $6.59 to $45.18 after LINN Energy (LINE) and LinnCo (LNCO) announced they are acquiring Berry for $4.3B (1.25 common shares for each common share). May call option implied volatility is at 21, August is at 19; below its 26-week average of 45.

CBOE S&P 500 BuyWrite Index (BXM) is recently down $5.30 to $917.08; above its 50-day moving average of 915.22. www.cboe.com/BXM

CBOE Volatility Index (VIX) is recently down $5.32 to 13.15. VIX March 20 and 25 calls are active on total option volume of 373K contacts at the CBOE.

S&P 100 Options (OEX) is recently down $4.80 to $677.18 after number of domestic economic reports.