Blogging Options: CBOE Mid-day Update 3.31.14

Volatility as an asset class

AT&T (T) is recently up 4c to $35.12 after the company’s board of directors authorized the repurchase of up to 300M shares, or about 6% of its common shares outstanding. The company also noted it has 125M shares left under its buyback authorization that was issued in March of last year. April call option implied volatility is at 14, May is at 15, July is at 14; compared to its 26-week average of 16.

Teva (TEVA) is recently up $3.11 to $52.55 after the Supreme Court agreed to hear an appeal by Teva of a court ruling that would enable generic versions of its multiple sclerosis drug, Copaxone, to be sold in May. April call option implied volatility is at 26, May is at 27, June is at 29, September is at 26; compared to its 26-week average of 27.

Actives @ CBOE:  AAPL TSLA MNKD NFLX C AA AMZN FB GILD NFLX

Options with increasing volume @ CBOE: CBRL ATRS TCK TV MNKD WLT TCK COP

CBOE S&P 500 Short-Term Volatility Index (VXST) down 85c to 13.56, compared to its 10-day moving average of 14.60. VXST is a market-based gauge of expectations of 9-day volatility cboe.com/vxst

CBOE DJIA BuyWrite Index (BXD) up 1.63 to 259.20, compared to its 50-day moving average of 254.63. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 77c to 13.64. VIX April 17 & 20 are active at CBOE on 165K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) recently down 89c to 42.66.

S&P 100 Options (OEX) recently up 5.76 to $825.20 after a disappointing Chicago purchasing managers’ report that was offset by dovish comments from Fed Chief Yellen, who said the central bank’s “extraordinary” aid will last for “some time.”