Blogging Options: CBOE Mid-day Update 4.26.13

Volatility as an asset class

Pfizer (PFE) is recently down 51c to $29.75 after an advisory committee to European regulators recommended against the approval of its new rheumatoid arthritis drug and the expected release of Q1 results on April 30. May call option implied volatility is at 21, June and July is at 16; compared to its 26-week average of 16.

Facebook (FB) is recently up 75c to $26.90 after being upgraded to Buy from Outperform by Raymond James and into the expected release of Q1 results on May 1. May weekly call option implied volatility is at 85, June is at 38; compared to its 26-week average of 48.

J.C. Penney (JCP) is recently up $1.11 to $16.34 after George Soros disclosed a 7.91% passive stake in the retailer.  May call option implied volatility is at 63, June is at 67; compared to its 26-week average of 61.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently down 85c to 1286.30, above its 10-day moving average of 1277.11 and its 50-day moving average of 1262.47. www.cboe.com/BXY

Actives:  AAPL AMZN HPQ LVS BIDU SVU GOOG ABX ZNGA NFLX

CBOE Volatility Index (VIX) is recently up 41c to 14.03. VIX May 16 and 18 puts are active on total option volume of 43K contacts at the CBOE.

S&P 100 Options (OEX) is down 1.12 to $711.14 after economic data showed the pace of economic growth fell short of expectations. www.cboe.com/OEX

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