Blogging Options: CBOE Mid-day Update 8.26.

Volatility as an asset class

Amgen (AMGN) is recently up $9.39 to $114.99 after acquiring Onyx Pharmaceuticals (ONXX) a cancer drug maker for $10B. September call option implied volatility is at 25, January is at 24; compared to its 26-week average of 27.

3D Systems (DDD) is recently up $4.18 to $52.64 after the 3D-printer maker was upgraded to Buy after being initiated with a Buy at Citigroup.  August weekly call option implied volatility is at 52, September is at 42, November is at 45, January is at 42; compared to its 26-week average of 51.

Tyson Foods (TSN) is recently down $2 to $29.48 after the meat processor was downgraded at BofA/Merrill. The firm downgraded shares citing data than indicates increased industry production and lower chicken prices. Overall option implied volatility of 21 is below its 26-week average of 24.

Anadarko (APC) is recently up $1.84 to $91.61 after announcing a deal to sell a 10% stake in a natural-gas field off of Mozambique for $2.6B.

CBOE Interest Rate 5 Year Note (FVX) is recently down 2.4% to 15.93 as Treasury rates pullback from a two-year high.

CBOE S&P 500 2% OTM BuyWrite (BXY) is recently up 0.2% to 1288.90, below its 50-day moving average of 1289.81.


CBOE Volatility Index (VIX) is recently up 3c to 14.01. VIX September 15, 16 and 30 calls are active on total option volume of 135K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.4% to 14.60.

S&P 100 Options (OEX) is recently up $2.02 to $746.06 despite orders for durable goods suffering their biggest drop in nearly a year in July.