Blogging Options: CBOE Mid-day Update 9.11.13

Volatility as an asset class

Microsoft (MSFT) is recently up 65c to $35.35 after announcing reorganization intended to simplify its organization. July call option implied volatility is a 27, August is at 20, October is at 19; compared to its 26-week average of 21.

Celgene (CELG) is recently up $8.61 to $133.69 on Phase III study of REVLIMID meeting primary endpoint.  August call option implied volatility is at 28, October is at 27; below its 26-week average of 33.

Disney (DIS) is recently up $1.46 to $66.37 after JPMorgan wrote that the company’s favorable long-term outlook remains bright. August call option implied volatility is at 21, October is at 20; compared to its 26-week average of 22.

Actives:  AAPL BAC TSLA C HPQ GOOG MCP CELG CLF VXX

CBOE Energy Sector ETF Volatility Index (VXXLE) is recently down 2% to 17.73, below its 50-day moving average of 20.26; WTI crude oil is recently down 1.56% to 104.86; XLE is recently up 0.3% to $81.07. www.cboe.com/VXXLE

CBOE Volatility Index (VIX) is recently down 26c to 13.95. VIX July 14 and 15 puts are active on total option volume of 312K contacts at the CBOE.

S&P 100 Options (OEX) is recently up $7.30 to $748.84 after Federal Reserve Chairman Ben Bernanke gave a speech in Massachusetts yesterday afternoon.