Blogging Options: CBOE Morning Update 7.14.14

Polar Vortex returns to Chicago, 65 degrees tomorrow.  “Knee high by the 4th of July” – Corn in southern Wisconsin this weekend was 6′ to 8′ high in some sections.  European shares higher, Gold & Silver off 2%. Q2 earnings reports start arriving this week.  Volatility as an asset class

Citigroup (C) is up $1.87 to $48.82 in the premarket after the global money center reported Q2 EPS $1.24 ex-items, consensus $1.05, (special $700m gain from loan loss reserve only reason EPS beat), but big reason shares higher is settling DOJ, FDIC claims for $7B. July call option implied volatility is at 28, September and December is at 19; compared to its 26-week average of 23.

Kodiak Oil & Gas (KOG) is higher by 37c to $14.60 on Whiting (WLL) acquiring the oil producer in an all-stock transaction valued at $6B. Overall option implied volatility of 42 is at its 26-week average.

URS (URS) is up $4.11 to $56.13 on AECOM Technology (ACM) acquiring all outstanding shares of the engineering and construction company for a combination of cash and stock valued at approximately $4B or $56.31 per URS share. Overall option implied volatility of 49 is above its 26-week average of 29.

Options expected to be active @ CBOE: C GS JPM URS ACM WLL KOG

CBOE S&P 500 BuyWrite Index (BXM) at 1084.70, compared to its 10-day moving average of 1083.20 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 268.68, compared to its 50-day moving average of 266.27 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.15, compared to its 10-day moving average of 10.56. 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 down 59c to 27.71

CBOE Volatility Index (VIX) closed at 12.08, compared to its 10-day moving average of 11.47 and its 50-day moving average of 11.92. cboe.com/VIX

CBOE Nasdaq-100 Volatility Index (VXN) at 13.66, 50-day MA 14.06 stks.co/f0TCX

SPDR S&P 500 ETF Trust (SPY) is up 95c to $197.55 into Federal Reserve Chairwoman Janet Yellen’s semi-annual monetary testimony before the Senate Banking Committee on Tuesday and before the House Financial Services Committee on Wednesday.

Calls with increasing volume at CBOE Friday included:
FB        9/20/2014  70    38K contracts
GDX  12/20/2014   30   24K
AAPL 10/18/2014   95   24K
SPY      7/11/2014  196.50 13K