Blogging Options: CBOE Mid-day Update 4.11.2013

Volatility as an asset class

Hewlett-Packard (HPQ) is recently down on after IDC issued a report indicating weakening PC sales.  April call option implied volatility is at 31, May is at 33, June is at 36; compared to its 26-week average of 36.

ACADIA (ACAD) is recently up $41.12 to $12.09 after its Parkinson’s disease candidate was approved for NDA filing by the FDA. April call option implied volatility is at 86, May is at 75, June is at 66; compared to its 26-week average of 81.

Fortinet (FTNT) is recently down $3.31 to $18.64 after the network security company issued a profit warning. April call option implied volatility is at 42, May is at 58, June is at 48; compared to its 26-week average of 44.

Ross Stores (ROST) is recently up $4.43 to $64.64 after the discount retailer reported March same-store sales were up 2% and updated Q1 guidance. April call option implied volatility is at 22, May and August is at 23; compared to its 26-week average of 27.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up 3.15 to 1296.25 above its 10-day moving average of 1279.27 and its 50-day moving average of 1251.41. www.cboe.com/BXY

Active options at CBOE: AAPL NE HPQ PBR NFLX MSFT CTIC

CBOE Volatility Index (VIX) is recently up 19c to 12.55. VIX May 15 calls and 21 calls are active on total option volume of 226K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 2.14 to $716.84 with the Dow Jones and the S&P 500 climbing to fresh all-time intraday highs after data showed jobless claims dropped more than expected.