Blogging Options: CBOE Mid-day Update 12.11.13

Volatility as an asset class

Pandora (P) is recently down $1.73 to $27.51 after Spotify announced Spotify Free for tablets. December weekly call option implied volatility is at 72, December is at 53, January and March is at 59 compared to its 26-week average of 62.

H&R Block (HRB) is recently down $1.30 to $27.53 after reporting Q2 revenue $134M, compared to consensus $137M. December call option implied volatility is at 30, January is at 24, April is at 28; compared to its 26-week average of 29.

Scripps Networks (SNI) is recently up $5.48 to $80.75 on Discovery (DISCA) considering a bid, Variety says. Overall option implied volatility of 22 is near its 26-week average of 23. Discovery overall option implied volatility of 23 is at its 26-week average.

Options with increasing volume @ CBOE:  JOY DIS TWTR MRK TSLA NRF AVP SHLD P MU HD

CBOE DJIA BuyWrite Index (BXD) is recently down $1.07 to 249.83 above its 50-day moving average of 246.65: www.cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently up $1.13 to 15.04. VIX December 13, 14 and 15 puts are active on 382K contracts at CBOE.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 1.73 to 46.71.

S&P 100 Options (OEX) is recently down $5.96 to $798.54 on concerns of Federal Reserve tapering after Washington budget deal.