Blogging Options: CBOE Mid-day Update 1.27.2014

Volatility as an asset class

Southwest (LUV) is recently down 43c to $20.40 after announcing service to Aruba, Bahamas and Jamaica. February call option implied volatility is at 29, March is at 27, June is at 25; compared to its 26-week average of 25.

Geron (GERN) is recently down $1.01 to $4.61 after disclosing that an investigator-sponsored clinical trial to evaluate imetelstat in patients with myelofibrosis and other myeloid malignancies has been closed to new patient enrollment. February call option implied volatility of 85, March is at 94, June is at 100, September is at 96; compared to its 26-week average of 110.

Shanda Games (GAME) is recently up 74c to $6.39 after its controlling shareholder proposed to acquire the company in a “going private” transaction for $6.90 per American depositary share. February call option implied volatility is at 38, March is at 55, June is at 44; compared to its 26-week average of 72.

Active options @ CBOE: AAPL C TWTR TSLA GOOG VOD NFLX MRK BAC

Options with increasing volume @ CBOE: TWX NTE CRIS PHH TUR NKTR MET SVU GAME

CBOE DJIA Volatility Index (VXD) is recently down 46c to 17.90, compared to its 10-day moving average of 13.37. cboe.com/VXD

CBOE DJIA BuyWrite Index (BXD) is recently down 94c to 249.38 above its 50-day moving average of 252.70. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently up 49c to 18.63. VIX February 15, 16, 17, 18, 19, 22 & 25 calls are active at CBOE on 592K contracts. VIX 20-year average is approximately 20.50. cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) are recently up 2.59 to 47.28.

S&P 100 Options (OEX) is recently down $4.60 to $791.74 on a decline in new home sales last month.

 

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