Blogging Options: CBOE Mid-day Update 11.12.13

Volatility as an asset class

Dean Foods (DF) is recently down $1.58 to $18.13 after the milk distributor announced weak guidance, a dividend increase and buyback announcement. November call option implied volatility is at 37, December is at 27, January is at 26; compared to its 26-week average of 36.

D.R. Horton (DHI) is recently up 19c to $18.25 after announcing a sales order backlog of homes under contract at September 30 increased 13% from the year ago to 8,205 homes. The value of the backlog increased 33% to $2.2B at September 30. November call option implied volatility is at 42, December is at 40, January is at 38; compared to its 26-week average of 43.

Sarepta Therapeutics (SRPT) is recently down $22.61 to $13.97 after the FDA called a new drug application for eteplirsen premature.   November call option implied volatility is at 163, December is at 110, January is at 98; compared to its 26-week average of 77.

Active options at @ CBOE: WMB GOOG PBR WMT NQ LNKD AAPL CTB AMGN GILD

Options with increasing volume: LCC NQ SRPT BBRY APC CTB BMY GERN MW FDX

CBOE S&P 500 BuyWrite Index (BXM) is recently down 46c to $993.22, above its 50-day moving average of 971.92. www.cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) is recently down 11c to 248.18, above its 50-day moving average of 248.18. http://www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently up 41c to 12.94. VIX November 15 and 16 puts are active on 361K contracts at the CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 1c to 48.53.

S&P 100 Options (OEX) is recently down $2.68 to $788.58 on solid U.S. Treasury auction.