Blogging Options: CBOE Morning Update 5.15.14

April CPI up 0.3%, Core (X-Food & Energy) up 0.2%.  Slightly higher than expected.   Weekly Jobless Claims dropped below 300k, but WMT earnings fell $200mm, per share from $1.14 to $1.11.  Same Store Sales dropped 0.2%. WMT off ~$2.50 premarket.    Volatility as an asset class:

Cisco (CSCO) is up $1.66 to $24.67 in the premarket on better than expected Q3 results. May call option implied volatility is at 34, June is at 24, July is at 18; compared to its 26-week average of 23.

Vipshop Holdings (VIPS) is up $10.80 to $160.80 after Chinese online discount retailer reported Q1 revenue more than doubled. Overall option implied volatility of 87 is above its 26-week average of 69.

Gentiva Health (GTIV) is up $4.42 to $12.96 on Kindred Healthcare (KND) proposal to acquire the home health and hospice provider for a combination of $7.00 per share in cash and $7.00. Overall option implied volatility of 59 is above its 26-week average of 50.

Options expected to be active @ CBOE: WMT KSS CSCO CLVS VIPS PLUG CA VIPS A

CBOE S&P 500 BuyWrite Index (BXM) at 1063.46, compared to its 10-day moving average of 1059.75 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 264.44, compared to its 50-day moving average of 259.73 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.16, compared to its 10-day moving average of 11.88. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) up 11c to 37.14

CBOE Volatility Index (VIX) closed at 12.17, compared to its 10-day moving average of 12.95 and its 50-day moving average of 14.18 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 25c to $188.79 as U.S. stocks trade near record highs.

Calls with increasing volume at CBOE:

SPY 5/17/2014 192 24K contracts
VXX 6/21/2014 40 15K
EPI 6/21/2014 21 11K
PBR 5/17/2014 15 10K
CSCO 5/17/2014 23 8K
FXI 6/21/2014 38 8K

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