Blogging Options: CBOE Morning Update 9.22.14

Stocks open weaker,  YHOO downgraded by two analysts, off $1.50, despite BABA stake.  BABA lower by $3 on heavy volume.  BABA options tentatively listed next Monday. Existing Home Sales in August drop 1.1% (higher by 0.9% expected) weighing on market.  Volatility as an asset clas:s

Dresser-Rand (DRC) is up $2.00 to $81.91 in early trading,  on Siemens (SIEGY) acquiring the oils equipment maker $7.6B for $83 per share in cash. Overall option implied volatility of 31 is at its 26-week average.

Sigma-Aldrich Corporation (SIAL) is up $34.63 to $137 on the life sciences company being purchased by Merck KGaA (MKGAY) for $17B ($140 per share in cash).  Overall option implied volatility of 14 is at its 26-week average.

EMC (EMC) is higher by $0.35 to $29.88 on The WSJ reporting the company is considering options that could include merging with a rival. September weekly call option implied volatility is at 25, October is at 22, November is at 21, April is at 20; compared to its 26-week average of 21.

CBOE Gold Volatility Index (GVZ) is up $0.45 at 17.35, above its 50-day moving average of 14.50 as gold near 4-year low. cboe.com/GVZ

Options expected to be active @ CBOE: YHOO DRC SIEGY MKGAY SIAL EMC CLX

CBOE S&P 500 BuyWrite Index (BXM) is off 2.92 to 1100, compared to its 10-day moving average of 1106.89 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) is lower by $0.35 at 269.23 compared to its 50-day moving average of 268.86 cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 13.80; compared to its 50-day moving average of 14.08.

CBOE S&P 500 Short-Term Volatility Index (VXST) has moved higher in the first 40-minutes of trading, up 2.55 to 12.96, compared to its 10-day moving average of 12.52. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) is up 0.47 to 27.50.

CBOE Volatility Index (VIX) has moved higher with the market lower, now up 1.30 to 13.41,  compared to its 10-day moving average of 12.87 and its 50-day moving average of 13.04 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 1.00 to $199.70 as on weak international markets.

Calls with increasing volume at CBOE Friday included:

PFE     9/20/2014   31   134K contracts
VXX     1/17/2015   30   44K
SPY   10/18/2014  202  44K
DIA   10/18/2014  173  31K
EBAY 11/22/2014   55  22K
AAPL   9/20/2014  102 20K
QQQ   9/20/2014  100 14K
YHOO 9/20/2014    43 14K