Blogging Options: CBOE Mid-day Update

Volatility as an asset class

General Electric (GE) is recently down 21c to $23.58 after being downgraded to Neutral from Buy at Nomura. April, May and June put option implied volatility of 19 is near its 26-week average.

Genworth Financial (GNW) is recently up 61c to $10.45 after Barron’s said the shares were undervalued and Scotia Capital upgraded the stock to Outperform. April call option implied volatility is at 40, June and September is at 43; compared to its 26-week average of 50.

Dell (DELL) is recently up 18c to $14.34 after Icahn Enterprises (IEP), which is led by activist investor Carl Icahn, announced it has entered into a confidentiality agreement with the PC maker. April call option implied volatility is at 13, May is at 16, August is at 15; compared to its four-week average of 16.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up $1.10 to 1261.35, above its 50-day moving average of 1220.55. www.cboe.com/BXY

Active options at CBOE: AAPL C VLO GNW VLO ZNGA TJX DELL NFLX GOOG STZ

CBOE Volatility Index (VIX) is recently down 67c to 11.90. VIX March 13 puts and March 15 and18 calls are active on total option volume of 331K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 54c to $698.82 as investors ignored signs of Chinese economic weakness.