Blogging Options: CBOE Mid-day Update 4.19.13

Volatility as an asset class

McDonald’s (MCD) is recently down $1.91 to $100 after the company’s Q1 earnings missed expectations by a penny. May call option implied volatility is at 15, June and September is at 13; compared to its 26-week average of 16.

Vertex Pharma (VRTX) is recently up $30.73 to $83.57 after data from a Phase 2 study of VX-661 showed statistically significant improvements in lung function among adults with cystic fibrosis. May call option implied volatility is at 45 July is at 43, October is at 41. Compared to its 26-week average of 50.

Capital One (COF) is recently up $3.27 to $56.06 after the money center reported Q1 better than expected results. May and September call option implied volatility of 21 is below its 26-week average of 26.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is at 1263.75, below its 10-day moving average of 1260.74 and above its 50-day moving average of 1256.75. www.cboe.com/BXY

Options active at CBOE: AAPL NFLX HPQ C MSFT DELL GOOG

CBOE Volatility Index (VIX) is recently down 2.09 to 15.47. VIX May 17 and 20 calls are active on total option volume of 169K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 4.30 to $699.40 on better than expected corporate earnings.

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