Blogging Options: CBOE Morning Update 2.19.14

Diamonds are a girls…. Zale gets a $21 takeover bid, 40% above last nights close.  Housing Starts in Jan dropped sharply, Permits down modestly.  This news pushed pre-market futures lower.  FED minutes later this afternoon.  10-year 2.685%.  After 18 1/2 days the temps in Chicago went above freezing.

Volatility as an asset class

Chelsea Therapeutics (CHTP) is up $1.70 to $6.65 in the premarket on  Northera, treatment for hypotension,  granted FDA accelerated approval. February call option implied volatility is at 375, March is at 210; above its 26-week average of 158.

Panera Bread (PNRA) is down $1.18 to $172 in the premarket after reporting Q4 revenue of $662M, compared to consensus $663M. February call option implied volatility is at 84, March is at 43, August is at 26, January is at 25; compared to its 26-week average of 26.

Herbalife (HLF) is up $0.79 to $69.72 after reporting Q4 profit and sales that topped estimates. February option implied volatility is at 77, March is at 58, August is at 64; compared to its 26-week average of 55.

Options expected to be active @ CBOE: CHTP HLF PBPB PNRA TSLA WMT PCLN NBR COLM ZLC SIG

CBOE S&P 500 BuyWrite Index (BXM) at 1035.18, compared to its 50-day moving average of 1012.92. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 255.24, compared to its 50-day moving average of 252.60. cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) closed at 12.18, compared to its 10-day moving average of 14.98. 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 recently up 27c to 41.70 in the premarket.

CBOE Volatility Index (VIX) at 13.87, compared to its 10-day moving average of 15.72 and its 50-day moving average of 14.64. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 60c to $183.64 as investors kept an eye on interest rates into the release of FOMC minutes.

Calls with increasing volume at CBOE:

QQQ 2/22/2014 90 32K contracts
EEM 5/17/2014 43 26K
IRM 7/19/2014 32.50 20K
MAT 3/22/2014 36 14K
CNP 5/17/2014 25 10K

Puts with increasing volume at CBOE:

MSFT 3/22/2014 36 17K contracts
SPY 4/19/2014 167 15K
CNP 5/17/2014 22.50 15K
IWM 3/22/2014 103 13K
VXX 6/21/2014 35 12K
NOK 1/17/2015 7 10K
GDX 6/21/2014 20 9K

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