Blogging Options: CBOE Mid-day Update

Volatility as an asset class

Gilead (GILD) is recently up 70c to $57.17 after its marketing authorization application for its new hepatitis C drug had been validated by the European Medicines Agency.  May weekly call option implied volatility is at 35, June is at 32, August is at 30; compared to its 26-week average of 29.

Pfizer (PFE) is recently up 80c to $29.59 on plans to split off its remaining interest in its former animal-medicine unit Zoetis (ZTS) through a voluntary exchange offer with its shareholders. June call option implied volatility is at 14, July is at 13, August and September is at 14; compared to its 26-week average of 17.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up $1.76 to $66.15 after Fed Chairman Ben Bernanke told Congress that prematurely ending the central bank”s stimulus program could endanger an economic recovery.  June call option implied volatility is at 27, July, September and December is at 26 compared to its 26-week average of 27.

CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up 3.50 to online casino 1313.70, above its 10-day moving average of 1304.99 and its 50-day moving average of 1284.38. www.cboe.com/BXY

Actives:  AAPL C MNKD MRK BMY ABX HPQ HD PFE

CBOE Volatility Index (VIX) is recently up 13c to 13.50. VIX May 19, 22, 23 and 28 calls are active on total option volume of 532K contacts at the CBOE into May expiration.

S&P 100 Options (OEX) is recently up 4.50 to $753.42 after Fed Chairman Ben Bernanke told Congress that prematurely ending the central bank”s stimulus program could endanger the still fragile economic recovery.