Blogging Options: CBOE Mid-day Update 9.30.13

Volatility as an asset class

Petrobras (PBR) is recently up 29c to $15.69 following the Brazilian oil producer’s CEO saying Q3 operating results are “very good” reports Bloomberg. Overall option implied volatility of 36 is near its 26-week average of 35.

Achillion (ACHN) is recently down $4.18 to $3.05 on disappointing ACH-3102 data, the company’s experimental hepatitis C treatment. October call option implied volatility is 115, November is at 91, December is at 87; above its 26-week average of 74.

Tesla Motors (TSLA) is recently up $2.25 to $193.16 as shares traded up to a record high of $194. October weekly call option implied volatility is at 55, October is at 50, November is at 52, December is at 59; compared to its 26-week average of 57.

CBOE S&P 500 BuyWrite Index (BXM) is recently down $4.58 to $953.84, above its 50-day moving average of 959.78. www.cboe.com/BXMS

Active options at CBOE:  SD AAPL C FB TSLA ACHN BAC ARNA BP

CBOE Volatility Index (VIX) is recently up 1.23 to 16.69. VIX October 20, 25 and 30 calls are active on total option volume of 568K contacts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 50c to 14.70.

S&P 100 Options (OEX) is recently down $4.56 to $748.92 as U.S. politicians try to resolve a budget deal to avert a government shutdown.