Blogging Options: CBOE Morning Update 2.11.14

Ms Yellen releases prepared remarks before the opening, will be questioned later today at Humphrey-Hawking hearing.   Futures gave up half of their pre-market gains, but SPX up 5.50 and DJIA up $59 in the first 20 minutes of trading.  Asia & Europe higher.   RIP Shirley Temple.

Volatility as an asset class

Regeneron (REGN) is up $2.60 to $306.60 after the drug maker reported reports Q4 revenue of $610.41M, compared to consensus $580.47M on strong US sales of Eylea vision-loss treatment. Overall option implied volatility of 55 is above its 26-week average of 45.

CVS Caremark (CVS) is up $1.75 to $68.74 after reporting Q4 adjusted EPS $1.12, compared to consensus $1.11. Overall option implied volatility of 21 is above its 26-week average of 24.  WAG follows CVS shares higher.

Sprint (S) is recently up $0.50 to $8.19after reporting Q4 EPS 9.14B, compared to consensus $8.99B. Overall option implied volatility of 65 is above its 26-week average of 43.

Options expected to be active @ CBOE: CADX RAX BLOX GRPN TSLA INSM DF CSCO FEYE

CBOE S&P 500 BuyWrite Index (BXM) is higher by $3.00 to 1016.21, compared to its 50-day moving average of 1010.05. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 249.62, compared to its 50-day moving average of 252.24. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) is lower by 0.44 to 13.78, compared to its 10-day moving average of 18.69 VXST is a market-based gauge of expectations of 9-day volatility.  cboe.com/vxst

iPath S&P 500 VIX Short-Term Futures (VXX) is down 0.62 to 44.91 in the premarket.

CBOE Volatility Index (VIX) is off 0.24 to 15.02, compared to its 10-day moving average of 17.71 and its 50-day moving average of 14.64. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $0.56 to $180.60 as global equities were higher as investors awaited Janet Yellen’s first Congressional appearance since becoming Fed Chair earlier this month.

Calls with increasing volume at CBOE:

PKW 3/22/2014 44 20K
SPY 3/22/2014 185 14K
CSCO 3/22/2014 23 9K
IRM 4/19/2014 32.50 7K
BWP 9/20/2014 12.50 6K
HD 3/22/2014 75 6K