Blogging Options: CBOE Mid-day Update 11.27.13

Volatility as an asset class

Analog Devices (ADI) is recently down $2.87 to $47.05 after reporting Q4 earnings rose 13%, offsetting the chip makers lower than expected revenue. December, January and March call option implied volatility is at 19; compared to its 26-week average of 22.

US Airways Group (LCC) is recently up 6c to $23.86 after The U.S. Bankruptcy Court for the Southern District of New York approved the settlement of the lawsuit reached with the U.S. Department of Justice and certain states relating to the merger of AMR Corporation (AAMRQ). December call option implied volatility is at 33, January is at 31, February is at 34; compared to its 26-week average of 38.

Active options at @ CBOE:  AAPL HPQ TSLA AA C GOOG NFLX VLO AMZN

CBOE DJIA BuyWrite Index (BXD) is recently up 0.1% to 251.11 above its 50-day moving average of 245.40: www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently down 8c to 12.73. VIX December 14, 17, 19 & 24 calls are active on 237K contracts at CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 2c to 44.82.

S&P 100 Options (OEX) is recently up $1.78 to $805.90 following economic data, some of which was accelerated to be reported today due to markets being closed tomorrow.