Blogging Options: CBOE Morning Update 10.6.14

US stocks add on to gains in early trade.  Overseas markets higher, catching up to US rally Friday.  10-year 2.43%.  DIS spending over $1B to help European subsidiary, is up $0.40 in early trade.  Volatility as an asset class

HP (HPQ) is up $2.11 to $37.31 in the premarket after announcing plans to separate into two new publicly traded Fortune 50 companies: one comprising HP’s market-leading enterprise technology infrastructure, software and services businesses, which will do business as Hewlett-Packard Enterprise, and one that will comprise HP’s personal systems and printing businesses, which will do business as HP Inc.  October option implied volatility is at 35, November is at 27, December is at 28; compared to its 26-week average of 28.

CareFusion (CFN) is up $11.83 to $58 in the premarket on Becton Dickinson (BDX) purchasing in a $12.2B deal, $58 per share in cash and stock. Overall option implied volatility of 21 compares to its 26-week average of 24.

Options expected to be active @ CBOE:  HPQ EMC VMW IBM GPRO PBR EWZ TLSA MBLY TKMR CFN BDX ADHD

CBOE S&P 500 Skew Index (SKEW) at 122.53, compared to its 50-day moving average of 131.42. 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 1087.10 compared to its 10-day moving average of 1088.21 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 266.69 compared to its 50-day moving average of 268.07 cboe.com/micro/bxd/
‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.54; compared to its 50-day moving average of 14.81.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.86, compared to its 10-day moving average of 15.23. 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 42c to 29.20.

CBOE Volatility Index (VIX) at 14.55, compared to its 10-day moving average of 14.55 and its 50-day moving average of 13.64 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 78c to $197.28 into Wednesday’s release of the Federal Open Market Committee minutes from its September 16-17 meeting.

Calls with increasing volume at CBOE:

AAPL 10/3/2014 100 23K contracts
SPY 10/3/2014 197 17K
PBR 10/10/2014 15 17K
BAC 10/3/2014 17 12K
SLXP 11/22/2014 185 9K