Blogging Options: CBOE Mid-day Update 3.27.14

Volatility as an asset class

Baxter International (BAX) is recently up $3.75 to $73.82 after announcing plans to create two separate, independent global healthcare companies — one focused on developing and marketing innovative biopharmaceuticals and the other on life-saving medical products. April call option implied volatility is at 18, May is at 17, November is at 16; compared to its 26-week average of 18.

Paychex (PAYX) is recently up 56c to $42.50 after the provider of payroll and human resources solutions reported Q3 earnings that beat on the top and bottom lines. April call option implied volatility is at 17, June and September is at 16; compared to its 26-week average of 17.

Accenture (ACN) is recently down $5.67 to $77.29 after the consulting company said it faced pricing pressures and higher payroll costs and lower margins on a few large contracts. April weekly call option implied volatility is at 23, May is at 16, August is at 19; compared to its 26-week average of 20.

Actives @ CBOE:  SIRI C CNQ AAPL PBR FB GOOG NFLX TWTR AMZN

Options with increasing volume @ CBOE: CL CNQ CRM DSW END SGYP

CBOE S&P 500 Short-Term Volatility Index (VXST) up 40c to 15.93, compared to its 10-day moving average of 15.53. VXST is a market-based gauge of expectations of 9-day volatility cboe.com/vxst

CBOE DJIA BuyWrite Index (BXD) down 12c to 256.63, compared to its 50-day moving average of 254.57. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 26c to 15.19. VIX April 16, 17 & 18 call are active at CBOE on 163K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) recently down 25c to 44.35.

S&P 100 Options (OEX) recently down 1.94 to $818.78 as number of tech giants trended lower as the government’s estimate for GDP growth in the Q4 having been revised upward, as well as encouraging data about unemployment claims.

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