Blogging Options: CBOE Mid-day Update

Volatility as an asset class

J.C. Penney (JCP) is recently up $1.45 to $16.94 following a positive response to its new Joe Fresh shops. March weekly call option implied volatility is at 70, April is at 54, May is at 61, July and August is at 60; compared to its 26-week average of 60.

Glu Mobile (GLUU) is recently up 31c to $3.64 following the publisher of mobile games was upgraded at Northland Securities. Overall option implied volatility of 78 is near its 26-week average.

Caesar’s Entertainment (CZR) is recently up 74c to $17.67 after announcing a collaboration with New York-based luxury hotel brand Gansevoort Hotel Group and nightlife impresario Victor Drai to launch an urban resort at the location of Bill’s Gamblin’ Hall & Saloon in Las Vegas. April call option implied volatility is at 81, May is at 74, June is at 69, September is at 63; above its 26-week average of 73.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down 0.3% to 1267.55, above its 50-day moving average of 1229.42. www.cboe.com/BXY

Active options at CBOE: AAPL BAC HPQ C GOOG DELL VOD STZ AMZN BIDU.

CBOE Volatility Index (VIX) is recently up 1.45 to 12.75. VIX March 13 and 16 puts are active on total option volume of 365K contacts at the CBOE.

S&P 100 Options (OEX) is recently down $1.86 to $699.92 on Cyprus’s plan to tax bank accounts and renewed concerns about an escalation of euro-zone crisis.