Blogging Options: CBOE Morning Update 7.8.14

US futures drift lower pre market, Asian and European shares in the red as well. VIX gained 1 point yesterday.  Jolts report released at 9am. 10-year yield drops to 2.58%.  Near perfect growing conditions in midwest as there’s lots of rain and now some heat and humidity.  Nov Beans near $11.20, Dec Corn near contract low.  All eyes on Q2 earnings.  Volatility as an asset class

Shire (SHPG) is higher by $2.54 to $240 in the premarket on AbbVie (ABBV) announcing that it has increased its proposal to GBP 22.44 in cash and 0.8568 ordinary shares of new AbbVie for each Shire share. This proposal is an approximately 11% increase from AbbVie’s prior proposal.  Overall option implied volatility of 49 is above its 26-week average of 34.

Groupon (GRPN) is up 32c to $6.77 on B. Riley upgraded its rating to Buy from Neutral saying the company is entering a period of easier year-over-year comparisons while operational improvements should drive organic growth and margin expansion. The firm raised its price target for shares to $9.50 from $6. Overall option implied volatility of 60 is near its 26-week average of 61.

CA Technologies (CA) closed at $29.39 after the IT management solutions company into lowered FY15 EPS view to $2.42-$2.49 from $2.45-$2.52. Overall option implied volatility of 20 is near its 26-week average of 21.

Options expected to be active @ CBOE: CA GRPN GPRO AA TSLA SHPG ABBV

CBOE S&P 500 BuyWrite Index (BXM) at 1085.34, compared to its 10-day moving average of 1080.56 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 269.18, compared to its 50-day moving average of 268.97 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.47, compared to its 10-day moving average of 10.49. 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 8c to 27.85

CBOE Volatility Index (VIX) closed at 11.33, compared to its 10-day moving average of 11.27 and its 50-day moving average of 12.06. cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.35

CBOE Nasdaq-100 Volatility Index (VXN) @ 12.44, 50-day MA 14.43 stks.co/f0TCX

SPDR S&P 500 ETF Trust (SPY) is recently down 21c to $197.30 on concerns global growth is slowing.

No Comments
CBOE

cboe.com

Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and creator of listed options, continues to set the bar for options trading through product innovation, trading technology and investor education.