Blogging Options: CBOE Morning Update 12.8.14

US stock futures weak on economic news out of Japan (GDP), Chinese trade data, S&P downgraded Italian debt… and there’s Oil.  Morgan Stanley is said to have cut their oil price base forecast from $98 to $70, and said oil could hit $53 bbl in 2015.  Bond yields off fractionally. European shares lower.  LUV & EBAY upgraded before the opening.  Volatility as an asset class

Cubist Pharmaceuticals (CBST) is up $26.74 to $101.10 in the premarket on Merck (MRK) acquiring for $102 per share in cash.   Overall option implied volatility of 45 is above its 26-week average of 42.

Merck (MRK) is up 16c to $61.65. Overall option implied volatility of 15 compares to its 26-week average of 17.

McDonald’s (MCD) is recently down $2.81 to $93.69 in the premarket after reporting November global comparable sales decreased 2.2%. Overall call option implied volatility of 15 is at its 26-week average of 15.

Options expected to be active @ CBOE: MRK CBST DMND AAPL SDRL MCD

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 4.85, 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Crude Oil Volatility Index (OVX) at 34.20, compared to its 50-day moving average of 30.06, WTI Crude oil trades below $65. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 131.41, compares to its 50-day moving average of 127.55. 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 1072.18 compared to its 10-day moving average of 1068.12 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 263.85 compared to its 50-day moving average of 261.93 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.37; compared to its 50-day moving average of 17.47.

CBOE 3-Month Volatility Index (VXV) at 15.55, compared to its 50-day moving average of 17.18 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.70, compared to its 10-day moving average of 11.84 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 35.22; compared to its 50-day moving average of 41.74.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently at 26.48.

CBOE Volatility Index (VIX) at 11.82, compared to its 50-day moving average of 15.62. cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 52c to $207.48 on global growth concerns as oil trades at five-year low.

Calls with increasing volume at CBOE:

AMAT   4/17/2015  25    48K contracts
T         12/20/2014  34    30K
IYR        1/2/2015  77.50 20K
BAC    1/17/2015   17    16K
AAPL  12/5/2014  116   14K
ACHN 12/20/2014  10   10K