Blogging Options: CBOE Mid-day Update 3.20.2014

Volatility as an asset class

Walter Energy (WLT) is recently down $1.55 to $7.52 after Bank of America Merrill Lynch cut its estimates for 2014 and 2015 for coal miners and dropped its price target on WLT to $2 from $8.  April call option implied volatility is at 86, May is at 98, June is at 87; compared to its 26-week average of 76.

Market-Vector Russia ETF Trust (RSX) is recently up 14c to $22.82 after President Obama announced “additional sanctions” on Russian individuals and targeting a bank that supports Russian leadership, in an executive order escalating sanctions on key sectors of Russia’s economy if needed. April call option implied volatility is at 44, May is at 35, August is at 33; compared to its 26-week average of 28.

ConAgra (CAG) is recently up 23c to $29.85 after the packaged food company reported higher than anticipated Q3 earnings per share.  April call option implied volatility is at 16, June is at 17, September is at 16; compared to its 26-week average of 28.

Actives @ CBOE:  AAPL C PBR WLT FSLR WLT C BAC NFLX TSLA

Options with increasing volume @ CBOE: MTGE CI GES GTS VOD

CBOE S&P 500 Short-Term Volatility Index (VXST) down 54c to 14.46, compared to its 10-day moving average of 15.12. VXST is a market-based gauge of expectations of 9-day volatility cboe.com/vxst

CBOE DJIA BuyWrite Index (BXD) up 74c to 259.48, compared to its 50-day moving average of 254.49. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 40c to 14.72 VIX April 16 and May 18 calls and April 14 puts are active at CBOE on 215K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) recently up 45c to 43.80.

S&P 100 Options (OEX) recently up $5.88 to $825.86 as the number of Americans filing new claims for unemployment benefits held near a three-month low.