Blogging Options: CBOE Mid-day Update 4.8.2012

Volatility as an asset class

Lufkin Industries (LUFK) is recently up $24.67  to $88 on agreeing to be acquired by GE (GE). Lufkin supplies artificial lift products and other technology, including power transmission products, to energy companies.  Lufkin April call option implied volatility is a6 10, May is at 6, June is at 5; below its 26-week average of 40.

A few of Lufkin’s artificial lift maker peers are rising meaningfully following the acquisition.

Flotek (FTK) is recently up 57c to $16.71 April and May option implied volatility is at 38, September is at 35; below its 26-week average of 46.

Weatherford (WFT) is recently up 48c to $12.43 April option implied volatility is at 35, May at 41, June is at 37; compared to its 26-week average of 43.

Dover Corp. (DOV) is recently up $1 to $72.25 April option implied volatility is at 26, May at 21, June at 19; compared to its 26-week average of 23.

BioCryst (BCRX) is recently up 32c to $2.02 amid reports of new bird flu infections in China. BioCryst is developing peramivir, an investigational anti-viral agent to treat influenza. Overall option implied volatility of 109 is above its 26-week average of 105.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down 1.55 to 1267.20, below its 10-day moving average of 1272.22 and above its 50-day moving average of 1247.13. www.cboe.com/BXY

Active options at CBOE: AAPL STZ GOOG C NFLX JNJ HPQ VOD AA INTC BAC

CBOE Volatility Index (VIX) is recently down 13c to 13.78. VIX April 16 calls and May 15 puts are active on total option volume of 138K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 1.66 to $697.88 on concerns upcoming earnings will not meet expectations.