Blogging Options: CBOE Mid-Day Update 6.18.14

Volatility as an asset class

Shire (SHPG) is recently up $5.14 to $192.06 on SunTrust believes that Allergan (AGN) will soon bid for Shire. Shire June call option implied volatility is at 56, July is at 42, October is at 37, January is at 31; compared to its 26-week average of 33.

Endocyte (ECYT) is recently down $1.24 to $6.48 after announcing that Merck (MRK) will no longer pursue development of its cancer treatment vintafolide. July call option implied volatility is at 74, October is at 90, January is at 85; compared to its 26-week average of 100.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently down 36c to $62.70 into the Federal Reserve monetary policy meeting decision and Janet Yellen discussion of economic conditions. June call option implied volatility is at 24, July and September is at 19; compared to its 26-week average of 22.

Amazon.com (AMZN) June 330 & 335 calls are active on total volume of 49K contracts @ CBOE into today’s launch event

VIX methodology for Amazon $VXAZN +1.5% to 29.63, below 50-day MA 33.53.

CBOE Interest Rate 5 Year Note (FVX) is recently down 33c to 17.20 into the Federal Reserve monetary policy decision.

Actives at CBOE:  AAPL TSLA TWTR AMZN FB BAC TSLA SUNE

Stocks with increasing volume @ CBOE:  HTZ NOK SCTY AMAT CCE CALL SMH MCRS FURX CUDA WPG HTZ CAG

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 13c to 12.55; compared to its 10-day moving average of 11.11. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 267.85, compared to its 50-day moving average of 263.71 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 1.1% to 12.40. VIX June 13, 14 and 15 calls are active on 248K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 67c to 31.10.

CBOE DJIA Volatility Index (VXD) down 2.7% to 11.73; compared to its 50-day moving average of 12.87.

CBOE Nasdaq-100 Volatility Index (VXN) up 3c to 13.54; compared to its 50-day moving average of 16.19

S&P 100 Options (OEX) recently down 56c to $857.58 into today’s FOMC policy meeting results.

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