Blogging Options: CBOE Morning Update 6.23.14

Merger Monday.  Oracle bidding $68 cash for Micros. Harbinger bids for all or part of Central Garden & Pet.  Alstom’s Board OK with GE’s latest bid.   The week after Triple Witch traditionally slow (train empty coming in this morning) but lots of economic data on tap.  VIX Futures volume fairly light in pre-market session with 6,800 contracts traded.  VIX closed Friday at 10.85.  Volatility as an asset class:

Integrys Energy (TEG) is up $9.95 to $70.90 in the premarket after announcing Wisconsin Energy (WEC) will acquire it in a transaction valued at $9.1B ($71.47 in cash & stock).   Overall option implied volatility of 15 is near its 26-week average of 16.

Blackberry (BBRY) is up 14c to $9.95 after Evercore upgraded BlackBerry to Equal Weight from Underweight citing progress in management’s turnaround plan and stabilizing cash burn. Price target raised to $10 from $6. July call option implied volatility is at 55, August is at 56; compared to its 26-week average of 56.

Energy Select Sector SPDR (XLE) closed at $100.93 as the price of oil climbs above $107 as the violence in Iraq escalates. Overall option implied volatility of 12 is below its 26-week average of 15.


CBOE S&P 500 BuyWrite Index (BXM) at 1078.56, compared to its 10-day moving average of 1079.36

CBOE DJIA BuyWrite Index (BXD) at 267.52, compared to its 50-day moving average of 264.08

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.33, compared to its 10-day moving average of 10.93. VXST is a market-based gauge of expectations of 9-day

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 10c to 29.46

CBOE Volatility Index (VIX) closed at 10.34, compared to its 10-day moving average of 11.52 and its 50-day moving average of 12.71.

SPDR S&P 500 ETF Trust (SPY) is down 1c to $195.93 after a positive survey on Chinese manufacturing added to global market gains caused by the Fed’s dovish monetary policy.

Calls with increasing volume at CBOE Friday included:

GDX   6/21/2014   25    42K contracts
AAPL  6/21/2014 92.14  22K
SPY    9/20/2014  205  18K
BBRY 6/21/2014  9.50 15K
CHK  7/19/2014   32    15K
XLY   7/19/2014   66    14K

Puts with increasing volume at CBOE:

IWM  9/20/2014 108 40K contracts
VXX   1/17/2015  25  31K
XLF   3/20/2015  18  25K
SPY  7/19/2014 181  21K
IWM 9/20/2014 115 20K