The Chicago Board Options Exchange (CBOE) announced that for the first time it will apply its CBOE Volatility Index (VIX) methodology to options on individual stocks when it begins publishing volatility values on five highly active equities on Friday, Jan. 7.

CBOE will calculate values for Apple (ticker symbol: VXAPL), Amazon (ticker symbol: VXAZN), IBM (ticker symbol: VXIBM), Google (ticker symbol: VXGOG), and Goldman Sachs (ticker symbol: VXGS).

Options Update is by Stock Specialist Paul Foster of theflyonthewall.com.

Put volume surged on CBOE Holdings (CBOE) Tuesday, with nearly 7,200 of these bearishly oriented options crossing the tape. This flurry of activity represented about seven times the stock's expected daily put volume. Meanwhile, fewer than 1,700 calls were exchanged during the course of Tuesday's trading.

The day's most popular strike, by far, was CBOE's July 30 put. No fewer than 6,443 contracts traded at this strike, with 83% changing hands at the ask price -- indicating they were most likely purchased. Implied volatility rose 7.2 percentage points by the close, and open interest at this strike swelled overnight by 3,175 contracts. In other words, it's a safe bet that new bearish positions were added at the July 30 put on Tuesday.

The CBOE Board of Directors approved plans to pursue an underwritten initial public offering (IPO) of common stock of CBOE Holdings Inc. According to their statement, "It is the intent of the Board that CBOE's demutualization and IPO take place concurrently. It is the Board's judgment that combining the timing of the demutualization and IPO would be in the best interest of CBOE owners. Subject to a member vote in favor of demutualization, our goal is to complete both the demutualization and the IPO by the end of the second quarter of 2010."

Cemex (CX) closed at $11.08. Cemex announced on Dec. 10 the raising of $1.75 billion through a bond and note offering. December option implied volatility is at 53; January is at 51; below its 26-week average of 58, according to Track Data, suggesting decreasing price movement.

Options Update is provided by Stock Specialist Paul Foster of theflyonthewall.com.

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