Blogging Options: CBOE Morning Update 5.27.14

Durable Goods rose higher than expected, firming up a quiet premarket.  Reaction from European elections this weekend (Ukraine and France) watched with great interest.  Overseas markets soft, commodities lower (Gold & Silver off 1%).  Train fairly empty in holiday shortened week.  Volatility as an asset class :

Hillshire Brands (HSH) is up $8.24 to $45.30 in the premarket on Pilgrim’s Pride Corporation (PPC) proposal to acquire Hillshire Brands for $45 per share in cash, in a transaction valued at $6.4B. Overall option implied volatility of 36 is above its 26-week average of 25.

Pilgrim’s Pride Corporation overall option implied volatility of 35 is below its 26-week average of 43 according to Track Data, suggesting decreasing price movement.

JinkoSolar (JKS) is down $2.07 to $23.20 after the Chinese solar product maker reported Q1 total solar product shipments rose 72%.  June call option implied volatility is at 79, July is at 69, September is at 68; compared to its 26-week average of 76.

Cisco (CSCO) is up $0.40 to $24.92 in the premarket on Deutsche Bank upgrading its rating on Cisco shares to Buy on expectations the company’s new product ramps in FY15 and FY16 will be stronger than expected. Deutsche sees upside to consensus estimates and raised its price target for Cisco shares to $30 from $25.  May weekly call option implied volatility is at 14, June is at 15, September is at 17; compared to its 26-week average of 23.

VIX methodology for Apple (VXAPL) @ 19.96 into Worldwide Developers Conference WWDC14 on June 2.  CBOE.com/VXAPL

Options expected to be active @ CBOE: HSH PPC PF AZN AZO WDAY KORS QIHU PANW TOL VIX

CBOE S&P 500 BuyWrite Index (BXM) at 1072.96, compared to its 10-day moving average of 1066.41 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 265.76, compared to its 50-day moving average of 260.64 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 9.49, compared to its 10-day moving average of 11.09. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) down 63c to 33.32

CBOE Volatility Index (VIX) closed at 11.36, compared to its 10-day moving average of 12.28 and its 50-day moving average of 13.87 cboe.com/VIX

VIX fell 8.7% last week, closing about 2 points from an all-time low. There are about 5.5M calls outstanding on the gauge, compared with 1.7M puts.

SPDR S&P 500 ETF Trust (SPY) is up $0.68c to $191.02 as world shares trade near all-time highs.

Calls with increasing volume at CBOE:

SPY  5/23/2014  190  36K contracts
XLK  6/21/2014   37   24K
HPQ 8/16/2014  36   15K
F       5/23/2014  16   12K
HPQ 6/21/2014  34   10K
BBY  5/23/2014 25.50 10K