Blogging Options: CBOE Morning Update 12.2.14

Biogen (BIIB) getting the attention of traders this morning, as positive early results of a new alzheimer’s drug (BIIB 37) announced at a DB conference have pushed shares higher by $28. FDX upgraded, AAPL downgraded, off $1 in early trading after falling yesterday. Oil stabilizes overnight.  Volatility as an asset class:

Energy stocks and ETF option implied volatility increases as oil prices stabilize.

United States Natural Gas Fund (UNG) overall option implied volatility of 49 compares to its 26-week average of 32.

Oil Services Holders Trust (OIH) overall option implied volatility of 41 compares to its 26-week average of 22.

EOG Resources (EOG) overall option implied volatility of 41 compares to its 26-week average of 29.

Apache (APA) overall option implied volatility of 44 compares to its 26-week average of 25.

Cypress Semiconductor (CY) is recently up $1.49 to $11.92 in the premarket after announcing a merger with Spansion (CODE) in an all-stock, tax-free transaction valued at approximately $4B. Overall option implied volatility of 30 is near its 26-week average of 32.

Spansion (CODE) is recently up $4.65 to $27.59 in the premarket. Overall option implied volatility of 57 is near its 26-week average of 55.

Options expected to be active @ CBOE:  BIIB SDRL CY CODE AVNR AEO ANF SCVL RCL CLR BP XOM EOG CVX RDS.A RIG FDX VIX

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.49; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 37.49, compared to its 50-day moving average of 29.68, WTI Crude oil trades below $69. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 127.95, compares to its 50-day moving average of 127.86. 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 1062.93 compared to its 10-day moving average of 1068.27 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 261.67 compared to its 50-day moving average of 262.26 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.57; compared to its 50-day moving average of 17.58.

CBOE 3-Month Volatility Index (VXV) at 16.73, compared to its 50-day moving average of 17.19 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.63, compared to its 10-day moving average of 11.63 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 38.61; compared to its 50-day moving average of 42.01.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 28.35.

CBOE Volatility Index (VIX) at 14.29, compared to its 50-day moving average of 15.78. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 50c to $206.26 as European and energy shares rebound into ECB meeting.

Calls with increasing volume at CBOE yesterday:

COP 12/20/2014   70    22K contracts
A         2/20/2015   45   20K
SPY     12/5/2014 210   12K
CVX   12/20/2014 115   11K
SDRL   1/15/2016   25     8K
AAPL 12/5/2014 120 8K
TWX 12/12/2014 86 8K