Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Cree (CREE) is recently up $7.27 to $52 after announcing new low-cost LED bulb and raising guidance. April call option implied volatility is at 37, June is at 41; near its 26-week average.

Whirlpool (WHR) is recently up $1.54 to $118.95 after reiterating FY13 EPS $9.25-$9.75, compared to consensus $9.52. March and April call option implied volatility is at 26, June is at 29; compared to its 26-week average of 33.

J.C. Penney (JCP) is recently down $1.54 to $15.18 volatility elevated following Vornado (VNO) selling 10M shares of the company.  March put option implied volatility is at 79, April is at 74, May is at 80; above its 26-week average of 60.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up 10.70 to 1252.70, above its 50-day moving average of 1213.87. www.cboe.com/BXY

Active options at CBOE: AAPL C GOOG STZ NFLX GNW DELL JCP HPQ BAC.

CBOE Volatility Index (VIX) is recently down 72c to 13.29. VIX March 14 and May 13 puts are active on total option volume of 152K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $7.50 to $694.02 on signs the economic recovery has taken hold.