Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Affymax (AFFY) is recently down $14.12 to $2.40 after the company announced a voluntary recall of all lots of its Omontys because of severe allergic reactions in some kidney –disease patients. April 4 call option implied volatility is at 155, July is at 115, October is at 106; above its 26-week average of 65.

Barnes & Noble (BKS) is recently up $1.56 to $15.07 after Chairman Leonard Riggio disclosed that he notified the company’s board that he plans to propose to purchase all of the assets of the retail business of the company. March option implied volatility is at 76, April is at 59, July is at 52; above its 26-week average of 49.

Hertz Global (HTZ) is recently up $1.07 to $19.03 after the company sees FY13 adjusted EPS $1.82-$1.92, compared to consensus $1.78. March, April and June call option implied volatility of 32 is below its 26-week average of 35.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) -1.60 to 1230.75, above 50-day moving average of 1207.01 www.cboe.com/BXY
 
Active options on CBOE: AAPL SD ZNGA NFLX GOOG HPQ BP BAC KMB

CBOE Volatility Index (VIX) is recently up 98c to 15.15. VIX March 18 and April 35 calls are active on total option volume of 226K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 64c to $682.92 as worries about Italy’s election pulled down European markets.