Blogging Options: CBOE Mid-day Update 1.13.2014

Volatility as an asset class

EnPro Industries (NPO) is recently up $14.81 to $74.05 after the US Bankruptcy Court for the Western District of North Carolina announced a $125M penalty against GST for current/future mesothelioma claims. January call option implied volatility is at 59, February is at 35, March is at 38, June is at 34; compared to its 26-week average of 36.

Wendy’s (WEN) is recently up 57c to $9 after issuing strong FY14 guidance. January call option implied volatility is at 31, February is at 28, May is at 34; compared to its 26-week average of 38.

Juniper (JNPR) is recently up $1.94 to $25.48 after activist Elliott Management disclosed a 6.2% stake and publicly laid out a “three-pronged” proposal it would like the company to pursue. January call option implied volatility is at 42, February is at 44, April is at 34; compared to its 26-week average of 36.

Active options at CBOE: AAPL TWTR MRK NFLX VZ GOOG C CELG.

Option with increasing volume at CBOE: BYD XOMA GME AA DOW JNPR LULU ANR.

CBOE DJIA Volatility Index (VXD) down 15c to 11.70, near its 10-day moving average of 12.48. cboe.com/VXD

CBOE Volatility Index (VIX) is recently down 2c to 12.12. VIX January 13, 17 & 22 calls are active at CBOE on 642K contracts.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 13c to 40.72.

S&P 100 Options (OEX) is recently down 2.30 to $815.66 as investors anxiously wait the latest earnings season.