Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Spectrum (SPPI) is recently down $4.34 to $8.08 after the company announced disappointing sales forecasts for its colon-cancer drug. April call option implied volatility is at 67, May is at 61, August is at 60; compared to its 26-week average of 55.

VMware (VMW) is recently up $5.97 to $81.32 after the cloud infrastructure solutions company confirmed plans for Pivotal spin-off and affirmed a 15-20% growth story. April call option implied volatility is at 30, May is at 34; below its 26-week average of 38.

Netflix (NFLX) is recently up $11.31 to $193.40 after the company announced that its U.S. members can integrate the service with their Facebook (FB) accounts. April call option implied volatility is at 48, May is at 60, June is at 55; compared to its 26-week average of 55.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up $2.05 to 1264.35, above its 50-day moving average of 1224.63.

Active options at CBOE: AAPL NFLX C WFR BAC BIDU X VMW CLF GOOG

CBOE Volatility Index (VIX) is recently down 5c to 12.22. VIX March 14 and 15 calls are active on total option volume of 201K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 86c to $699.20 after February retail sales were better than expected in the face of higher payroll taxes.