Blogging Options: CBOE Mid-day Update 5.29.14

Volatility as an asset class

Hillshire Brands (HSH) is recently up $7.31 to $52.15 after Tyson Foods (TSN) offers to acquire the company for $50 per share in cash, topping the $45 per share bid recently made by Pilgrim’s Pride (PPC).  June call option implied volatility is at 30, July is at 23, August is at 20; compared to its 26-week average of 25.

Tyson shares are recently up $2.68 to $43.43 on the news. June call option implied volatility is at 26, July and October is at 23; compared to its 26-week average of 25.

Pilgrim’s Pride shares are recently down 39c to $24.99. June call option implied volatility is at 32, July is at 31, December is at 35; compared to its 26-week average of 43.

VIX methodology for Apple (VXAPL) +2.3% to 22.71 after acquiring Beats Music & Beats Electronics for $3B, several analysts raised price targets on shares. CBOE.com/VXAPL

Apple (AAPL) is recently up June weekly call option implied volatility is at 22, July is at 19, October is at 21; compared to its 26-week average of 22.

Actives at CBOE:  AAPL TSLA NFLX FB TWTR SUNE FB PFE

Stocks with increasing volume @ CBOE: HSH MNKD TSN CLF ANF QSII SIMO PF DPS ZLC SFLY D CRK CXDC UPRO RSH

CBOE S&P 500 Short-Term Volatility Index (VXST) down 0.5% to 10.53; compared to its 10-day moving average of 10.95. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% 266.35, compared to its 50-day moving average of 261.14 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 0.9% to 11.78. VIX June 15 and 16 calls active on 302K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 5c to 33.73.

CBOE DJIA Volatility Index (VXD) down 0.9% to 11.03; compared to its 50-day moving average of 12.75.

CBOE Nasdaq-100 Volatility Index (VXN) up 0.4% to 14.09; compared to its 50-day moving average of 17.28

S&P 100 Options (OEX) recently up $1.88 to $848.28 on signs the economy is rebounding.