Blogging Options: CBOE Mid-day Update 4.22.13

Volatility as an asset class

Microsoft (MSFT) is recently up $1.17 to $30.94 on expectations activist hedge fund Valueact  will reveal it has taken a $2B stake in the company. May, June and July call option implied volatility of 18, June and September is at 13; compared to its 26-week average of 24.

Six Flags Entertainment Corp (SIX) is recently up $3.74 to $74.99 after the theme-park operator reported a 41% increase in Q1 attendance. May, June and September call option implied volatility of 21 is below its 26-week average of 28.

Biogen (BIIB) is recently up $9.89 to $213.17 on the launch of its new multiple sclerosis drug Tecfidera. May call option implied volatility is at 29, June and July is at 27; compared to  its 26-week average of 27.

Options to watch: NFLX COH AMZN F

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 CLFC MSFT ABX INTC BAC GE GOOG

CBOE Volatility Index (VIX) is recently down 19c to 14.78. VIX May 14 and 16 puts are active on total option volume of 174K contacts at the CBOE.

S&P 100 Options (OEX) is recently up 2.18 to $703 on mixed corporate earnings. www.cboe.com/OEX