Blogging Options: CBOE Mid-day Update 12.9.13

Volatility as an asset class

Sysco Corporation (SYY) is recently up $4.36 to $28.60 after announcing the purchase of US Foods. December call option implied volatility of 30, January is at 22, February is at 22; compared to its 26-week average of 17.

OSI Systems (OSIS) is recently down $22.74 to $42.43 after announcing that its security division, Rapiscan Systems, provided an update on the delivery order recently terminated by the U.S. Transportation Security Administration.  December call option implied volatility is at 138, January is at 94, April is at 71; compared to its 26-week average of 38.

Apple (AAPL) is recently up $8.84 to $568.82 after The Wall Street Journal reported China Mobile (CHL) will take iPhone orders starting this week. AAPL 12/13/13 call option implied volatility is at 25, December is at 23, January is at 24, February is at 28; compared to its 26-week average of 28.

VIX methodology for Apple (VXAPL) is recently down 1.23 to 26.80, above its 10-day moving average of 25.53 and below its 50-day moving average of 27.77.  www.cboe.com/VXAPL

Options with increasing volume @ CBOE:  TWTR CTIC OSIS MGM LVS BMY

CBOE DJIA BuyWrite Index (BXD) is recently up 16c to 251.25 above its 50-day moving average of 246.28: www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently up 28c to 14.07. VIX December 14, 15, 16, 17, 18 & 20 calls are active on 127K contracts at CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 48c to 44.65.

S&P 100 Options (OEX) is recently up $1.82 to $807.60 following Friday’s rally in the U.S. and after strong export data from China.