Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Cabela’s (CAB) is recently up $6.34 to $60.24 after the outdoor merchandiser announced the acceleration in its business and that it expects earnings to beat the current consensus estimates. April call option implied volatility is at 29, June is at 32; compared to its 26-week average of 38.

VeriFone (PAY) is recently up $1.16 to $21.16 after the card-payment systems maker announced its executive office is departing. April and July call option implied volatility is at 39; compared to its 26-week average of 43.

Merck (MRK) is recently up $1.44 to $45.10 after an independent data-safety-monitoring board overseeing a trial of cholesterol-lowering drug Vytorin has completed a planned review and recommended the study continue. April call option implied volatility is at 13, May is at 14, July is at 13; compared to its 26-week average of 18.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down $1.90 to 1261.10, above its 50-day moving average of 1222.45.

Active options at CBOE: AAPL MRK C BAC GOOG ZNGA STZ AMZN GG.

CBOE Volatility Index (VIX) is recently up 88c to 12.44. VIX March 15 and April 16 calls are active on total option volume of 341K contacts at the CBOE.

S&P 100 Options (OEX) is recently down $2.71 to $698.12 after the Treasury sold $45B 4-week bills in an auction.