Blogging Options: CBOE Morning Update 7.21.14

Gorgeous weekend in Chicago.  Heat wave mid-week. Overseas markets cooled off overnight, with NIKKEI and DAX off 1%.  Oil and metals up fractionally, 10-year hovers around 2.475%.  Volatility as an asset class

EMC (EMC) is up $1.27 to $28.25 in the premarket on activist investor Elliott Management Corp taking a $1B stake in data storage equipment maker and plans to push the company to spin off its VMware Inc (VMW), the Wall Street Journal reported. Overall option implied volatility of 24 is above its 26-week average of 21.

Monster Beverage (MNST) is down $1.70 to $66.11 on Morgan Stanley downgrade to Equal Weight from Overweight on slowing U.S. trends and balanced valuation.  Overall option implied volatility of 32 is at its 26-week average.

Campbell Soup (CPB) is off $0.23 to $43.72 in the premarket after reaffirming FY14 guidance. Overall option implied volatility of 22 is above its 26-week average of 20.

Options expected to be active @ CBOE: EMC NFLX CMG TXN RAI AAPL

CBOE SKEW INDEX (SKEW) at 141.19, above 50-day MA of 130.26. SKEW measures the purchase of out-of-the-money S&P 500 Index puts that require a very large downside move to profit from long put positions. An increase of this index indicates greater expectations for an extreme down move.

CBOE S&P 500 BuyWrite Index (BXM) at 1094.32, compared to its 10-day moving average of 1086.14 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 271.25, compared to its 50-day moving average of 267.03 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.05, compared to its 10-day moving average of 11.60. 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 21c to 28.10.

CBOE Volatility Index (VIX) closed at 12.06, compared to its 10-day moving average of 12.10 and its 50-day moving average of 11.82. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.54 to $197.16 on growing geopolitical risk.

Calls with increasing volume at CBOE Friday included:

CNQ  9/20/2014    34   30K contracts
SPY    7/19/2014  198  24K
QQQ 8/16/2014     98  21K
PBR   8/16/2014    16  20K
EWJ    7/19/2014    12  17K
YHOO 8/16/2014   41 17K
MSFT 8/16/2014 48 14K

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