Blogging Options: CBOE Mid-day Update 12.4.13

Volatility as an asset class

Pandora (P) is recently up $1.43 to $29.69 after reporting November listening hours rose 18% from a year earlier. December weekly call option implied volatility is at 59, December and January is at 47, March is at 55; compared to its 26-week average of 62.

Bob Evans (BOBE) is recently down $2.73 to $52.38 after the full service restaurant operator reported Q2 results and fiscal 2014 profit outlook trailed analysts’ consensus estimates. December option implied volatility is at 24, January and March is at 25; below its 26-week average of 27.

Deere & Company (DE) is recently up $3.21 to $85.97 after its board of directors authorized the repurchase of up to $8B of additional common stock. December weekly call option implied volatility is at 26, December is at 19, January and March is at 18; compared to its 26-week average of 22.

Options with increasing volume @ CBOE:  EXH NDAQ GES TITN TRNX PBR SHLD ESS

CBOE DJIA BuyWrite Index (BXD) is recently down 23c to 249.62 above its 50-day moving average of 245.82: www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently up 5c to 14.60. VIX December 13, 14 and 15 puts are active at CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 51c to 47.36.

S&P 100 Options (OEX) is recently down $1.22 to $800.46 on better than expected jobs hiring statistics, suggesting the labor market is improving enough to reduce stimulus.