Blogging Options: CBOE Morning Update 1.12.15

US stocks higher, oil lower by 3%  in early trade, a repeat of what we’ve seen for the last several weeks.  Alcoa starts off the quarterly earnings reports after the close, Jolts report tomorrow could be an interesting read. If you’re not a believer in Social Media, over 750 K tweets in 15 minutes after Dez Bryant catch/non-catch in Dallas / Green Bay game yesterday.  Volatility as an asset class

NPS Pharmaceuticals (NPSP) is up $3.57 to $45.48 in the premarket on Shire (SHPG) acquiring for $46 per share or $5.2B. January call option implied volatility is at 80, February is at 72, May is at 54; compared to its 26-week average of 64.

MWI Veterinary Supply (MWIV) is up $13.75 to $189.40  on AmerisourceBergen (ABC) acquiring for $190 per share, representing a $2.5B fully diluted equity value.  Overall option implied volatility of 30 compares to its 26-week average of 31.

Tiffany (TIF) is down $9.95 to $93.50 in the premarket after cutting its FY14 net EPS view to $4.15-$4.20 from $4.20-$4.30.  January call option implied volatility is at 55, February is at 30, May is at 28; compared to its 26-week average of 26.

Options expected to be active at CBOE:  SHPG NPSP AA WFC JPM CCL TKMR TIF HAL TKMR

CBOE Equity Options Volume; calls 1,023,253, puts 654,819, total 1,678,072 cboe.com

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 6.38 www.cboe.com/vxtyn
CBOE Crude Oil Volatility Index (OVX) at 50.07, compared to its 50-day moving average of 41.88, WTI Crude oil trades near $48. cboe.com/OVX

CBOE S&P 500 Skew Index (SKEW) at 121.69, compares to its 50-day moving average of 129.85. 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 1080.06 compared to its 10-day moving average of 1078.08 cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 264.91 compared to its 50-day moving average of 262.43 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 18.39 compared to its 50-day moving average of 16.90.

CBOE 3-Month Volatility Index (VXV) at 19.30, compared to its 50-day moving average of 17.44 cboe.com/VXV

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.20, compared to its 10-day moving average of 16.19 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 43.17; compared to its 10-day moving average of 42.10.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 2c to 32.

CBOE Volatility Index (VIX) at 17.55, compared to its 50-day moving average of 15.39 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 38c to $204.63 as European stocks gains as oil pulls back.

Calls with increasing volume at CBOE:

GLD 3/20/2015  120  24K contracts
SPY  1/17/2015  205  22K
AAPL  1/9/2015  112  20K

Puts with increasing volume at CBOE:

SPY      1/9/2015  204 39K contracts
AAPL   1/9/2015  112 20K
QQQ 3/20/2015  103 10K