Blogging Options: CBOE Morning Update 11.11.13

Volatility as an asset class

ViroPharma (VPHM) is up $10.06 to $49.44 in the premarket after Shire (SHPG) announced the acquisition of the rare disease company for $50 per share in cash, for a total consideration of approximately $4.2B. Overall option implied volatility of 45 is above its 26-week average of 40.

Shire is up $5.28 to $139.58. Overall option implied volatility of 26 is at its 26-week average.

Best Buy (BBY) is up $0.92 to $43.83 on its price target raised to $52 from $40 at Jefferies, an upgrade to buy from Neutral at UBS and the retailer opening at 6:00pm nationwide. Overall option implied volatility of 43 is near its 26-week of 42.
Options expected to be active @ CBOE; M WMT CTB JCP BBY SHLD KSS

CBOE S&P 500 BuyWrite Index (BXM) closed at $992.94, above its 50-day moving average of 970.11.

CBOE DJIA BuyWrite Index (BXD) closed at 248.11, above its 50-day moving average of 244.02.

CBOE S&P 500 PutWrite Index (PUT) closed at 1340, above 10-day MA of 1337.61

CBOE S&P 500 95-110 Collar Index (CLL) closed at $593.95

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 11.97. VXST is a new market-based gauge of expectations of 9-day volatility.

CBOE Volatility Index (VIX) closed at 12.90, below its 10-day moving average of 13.30 and below its 50-day moving average of 14.88.

SPDR S&P 500 ETF Trust (SPY) is lower by $0.04 to $177.24 as oil trades near five-month lows.

Calls with increasing volume at CBOE:

WFC 1/18/2014 44 104K contracts
SPY 11/16/2013 179 81K
BAC 11/16/2013 14 15
NBL 1/18/2014 80 14K
TSO 1/18/2014 50 12K

Option Expiration Week.  Immunogen outlook lowered, 10-year 2.74% but US bond markets closed for Veterans Day.  Happy belated birthday to all former USMC veterans, USMC founded 11.10.75 (that’s 1775).