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Options in Motion: VIX Gains

The volatility gauge rises 3.4% to 14.26.
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Hurricane Rita is injecting more fear into the option market than has been seen in a very long time.

The CBOE Market Volatility Index (VIX), which is based on the implied volatility of the

S&P 500

options and is used as a gauge for fear in the market, was recently up 3.4% to 14.26. The CBOE Nasdaq Volatility Index (VXN), which measures the implied volatility of the Nasdaq 100, was recently up 1.9% to 16.16.

Meanwhile, technology options were active ahead of



earnings. Oracle saw limited option action so far. The October 14 calls have traded 2,900 times. The stock was down 3 cents, or 0.23%, to $13.26.



had sellers of calls as the stock traded lower. The October 25 calls have traded 17,200 times and the January 2007 27 calls have traded 34,300 times. The stock was down 21 cents, or 0.82%, to $25.28.

Hewlett Packard


saw a seller of the January 2007 25 calls more than 21,000 times. The calls were trading lower by 30 cents. HP was off 41 cents, or 1.46%, to $27.68.



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saw its October 25 calls traded almost 13,000 times. The stock was up 5 cents, or 0.2%, to $24.55.

After an active day yesterday, drug maker



continued to see a surge in activity on news that it and



expect to complete their safety review of Tysabri in the coming weeks. The October 10 calls have traded 21,400 times and the October 12.5 calls have traded 20,600 times. The stock was down 19 cents, or 2.38%, to $7.79.



saw its calls trade lower and puts trade higher as traders anticipated the financial impact Hurricane Rita could have on the insurer. The October 50 calls have traded 2,000 contracts and the January 2006 60 calls have traded 9,900 times. Allstate was down $1.37, or 2.64%, to $50.46.

Among financial stocks,

American Express


had a seller of the January 2007 60 calls 17,000 times, which is a little more than half the open interest for that strike. The stock was lower by 57 cents, or 1%, to $56.43.

To view Mike Marino's video take on today's option action, click here.