Blogging Options: CBOE Morning Update 2.20.14

FB the big news this morning.  WMT missed on it’s numbers.  No excitement with Weekly Claims.

Volatility as an asset class

Facebook (FB) is down $2.20 to $65.86 on the acquisition of WhatsApp for deal price of $19B. Overall option implied volatility of 38 is below its 26-week average of 43.

Tesla Motors (TSLA) is up $21.61 to $215.60 on better than expected Q4 results and guidance supporting a growth story.  February call option implied volatility is at 153, March is at 73, June is at 54; compared to its 26-week average of 56.

MGM Resorts (MGM) is up 25c to $26 in the premarket into the entertainment resort company reporting Q4 revenue of $2.51B, compared to consensus $2.46B. Q4 casino revenue was up 13%, room revenue up 3%. February call option implied volatility is at 60, March is at 41, June is at 33; compared to its 26-week average of 36.

Options expected to be active @ CBOE: TSLA FB SWY BBRY WMT MRVL TWTR

CBOE S&P 500 BuyWrite Index (BXM) at 1030.59, compared to its 50-day moving average of 1013.60. cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 253.84, compared to its 50-day moving average of 252.69. 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 14.37. 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 down 9c to 44.09 in the premarket.

CBOE Volatility Index (VIX) at 15.50, compared to its 10-day moving average of 15.26 and its 50-day moving average of 14.65. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 44c to $182.58 into the release of U.S. Jobless claims report.

Calls with increasing volume at CBOE:

EEM 2/22/2014 39.50 42K contracts
FXI 11/22/2014 42 30K
GDX 3/22/2014 27 25K
SPY 3/22/2014 184 23K
CNQ 9/20/2014 34 16K

Puts with increasing volume at CBOE:

SPY 3/22/2014 177 63K
IWM 3/22/2014 113 26K

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