Blogging Options: CBOE Mid-day Update 1.28.14

Volatility as an asset class

Cliffs Natural (CLF) is recently up $1.46 to $20.85 on Casablanca Capital, the owner of approximately 5.2%, urging the company to spin off its international assets, double the annual dividend to shareholders, convert its U.S. assets to an MLP and significantly cut costs. February call option implied volatility is at 66, March is at 61, July is at 51; compared to its 26-week average of 48.

Pfizer (PFE) is recently up 74c to $30.39 on solid EPS, sales and good guidance. February and call option implied volatility is at 18, April and May is at 16; compared to its 26-week average of 17.

Ford (F) is recently up 3c to $15.74 on a Q4 profit increase of 90%. February call option implied volatility is at 23, March and June is at 22; compared to its 26-week average of 26.

VIX methodology for Apple $VXAPL -21.6% to 25.23, below its 10-day MA 27.85 as AAPL sells off $41.50 to $509.54. cboe.com/VXAPL

Active options @ CBOE: AAPL C TWTR CLF BAC X NFLX STX TSLA

Options with increasing volume @ CBOE: AOL KBH SYMC HLF CNW DG AMZN STX X AAL

CBOE DJIA Volatility Index (VXD) is recently down $1.00 to 15.65, compared to its 10-day moving average of 13.55. cboe.com/VXD

CBOE DJIA BuyWrite Index (BXD) is recently down 1.29 to 251.04 below its 50-day moving average of 252.76. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently down 1.30 to 16.12. VIX February 16, 20 & 25 calls are active at CBOE on 321K contracts.

iPath S&P 500 VIX Short-Term Futures (VXX) are recently down 1.43 to 43.97.

S&P 100 Options (OEX) is recently up $2.56 to $795.08 on U.S., durable goods orders dropping 4.3% in December from a revised November figure and the S&P/Case-Shiller 20-city composite home-price index showed prices rose 13.7% from the prior year in November, which was roughly in-line with economists’ forecast.

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