Blogging Options: CBOE Morning Update 2.13.14

With the big storm headed for the east coast – coinciding with a long weekend, will this affect stock and option volume this afternoon and tomorrow?  Traders talking about GS trimming their 1Q GDP estimate to below 2%.  NFLX doing well this morning. overseas markets and crude lower.

Volatility as an asset class

Time Warner Cable (TWC) is up $9.35 to $144.66 in early trading on a merger with Comcast (CMCSK) in a $45.2B deal. Overall option implied volatility of 15 is below its 26-week average of 27.

Cisco (CSCO) is down $1.00 to $21.85  after reporting in line Q2 results, but of low quality. February weekly call option implied volatility is at 97, March is at 34, May is at 26, July is at 23; compared to its 26-week average of 26.

Whole Foods (WFM) is down $4.72 to $50.75 after lowering FY14 EPS view to $1.58-$1.65, compared to consensus $1.68. February weekly call option implied volatility is at 80, March is at 34, August is at 26; compared to its 26-week average of 30.

Mondelez (MDLZ) is higher by $0.39 to $33.60 after reporting Q4 adjusted EPS 42c, consensus 44c. February weekly call option implied volatility is at 78, March is at 22, June is at 19; compared to its 26-week average of 23.

Options expected to be active @ CBOE: TWC CMCSA CSCO WFM CHTR CVC

CBOE S&P 500 BuyWrite Index (BXM) is off $0.65 at 1023.29, compared to its 50-day moving average of 1010.94. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) is lower by $0.58 at 252.00, below its 50-day moving average of 252.31. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) is at 13.18, up 0.51, compared to its 10-day moving average of 17.59 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 up 65c to 43.50 in the premarket.

CBOE Volatility Index (VIX) is at 14.53, up 0.23 this morning, compared to its 10-day moving average of 17.27 and its 50-day moving average of 14.68. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 0.30 to $181.77 as stocks in Europe and Asia snapped a six-day rally as corporate results disappointed investors.

Calls with increasing volume at CBOE yesterday:

EEM 2/22/2014 40.50 78K contracts
SPY 2/28/2014 187 21K
VZ 2/22/2014 48 10K
ARCP 1/17/2015 15 10K
VZ 3/22/2014 48 10K
ARCP 1/17/2015 20 10K

Puts with increasing volume at CBOE:

SPY 3/22/2014 172 19K
EEM 6/21/2014 35 13K
IWM 3/22/2014 110 11K
VZ 2/22/2014 47 10K
GDX 6/21/2014 20 10K