Blogging Options: CBOE Morning Update 7.7.14

Good morning.  We hope you enjoyed the long weekend.  Overseas markets slightly lower on weak German economic number, as are commodities – gold and oils.  10-year yield off slightly to 2.63%.  Q2 Earnings start Tuesday with Alcoa.  US market pauses after nice run-up last Thursday.  Volatility as an asset class

BioDelivery Sciences (BDSI) is up $1.63 to $13.69 in the premarket after announcing with Endo Pharmaceuticals, a subsidiary of Endo International (ENDP) positive top-line results from its pivotal Phase III efficacy study of BEMA buprenorphine in opioid-experienced patients. The trial successfully met its primary efficacy endpoint in demonstrating that BEMA buprenorphine resulted in significantly improved chronic pain relief compared to placebo. Overall option implied volatility of 103 is above its 26-week average of 98.

Endo International (ENDP) closed at $69.26. Overall option implied volatility of 31 is below its 26-week average of 39.

Options expected to be active @ CBOE: GPRO INFY KING TSM GTAT BDSI VZ NQ BHP KING RAD ADTN AA

CBOE S&P 500 BuyWrite Index (BXM) at 1086.44, compared to its 10-day moving average of 1079.88 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 269.18, compared to its 50-day moving average of 265.59 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 8.54, compared to its 10-day moving average of 10.48. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 23c to 27.40

CBOE Volatility Index (VIX) closed at 10.32, compared to its 10-day moving average of 11.23 and its 50-day moving average of 12.10. cboe.com/VIX

CBOE Nasdaq-100 Volatility Index (VXN) @ 11.36, 50-day MA 14.53 stks.co/f0TCX

SPDR S&P 500 ETF Trust (SPY) is down 53c to $197.67 on statements by IMF head Christine Lagarde that were seen as hints that the organization will cut its world GDP forecast.

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