Blogging Options: CBOE Morning Update 5.30.14

April Income rose 0.3% as expected, but Spending dropped 0.1%.  Chicago PMI rose to 65.5% (high end of range), PMI brought stocks back from early sell-off.  CAT off $1, drgging on DJIA.  CBOE to add End-Of-Month options on SPX as of July 7th.  Volatility as an asset class:

Splunk (SPLK) is down $5.00 to $45 after the data-analysis software maker’s revenue growth outlook was less than expected.  June call option implied volatility is at 71, July is at 63, August is at 55, November is at 51; compered to its 26-week average of 48.

OmniVision (OVTI) is up $1.99 to $22.13 after the chip maker reported a 70% increase in Q4 profits and raised Q1 guidance. Overall option implied volatility of 44 is at its 26-week average.

Big Lots (BIG) is up $4.22 to $1.72 after the closeout retailer reported Q1 continuing operations of EPS 50c, consensus 44c. June call option implied volatility is at 46, July is at 35, October is at 30; compared to its 26-week average of 34.

Options expected to be active @ CBOE: SPLK ANN KKD BLOX EXPR OVTI

CBOE S&P 500 BuyWrite Index (BXM) at 1076.56, compared to its 10-day moving average of 1070.11 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 266.68, compared to its 50-day moving average of 261.15 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.31, compared to its 10-day moving average of 10.93. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) down 1c to 33.64

CBOE Volatility Index (VIX) unchanged at 11.57, compared to its 10-day moving average of 12.10 and its 50-day moving average of 13.60 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 0.12 to $192.25 after France’s biggest bank BNP Paribas fell sharply on concerns of a possible U.S. fine that could restrict its dividends and force it to raise money to boost its capital.

Calls with increasing volume at CBOE:

TLT   7/19/2014  113  36K
PFE   6/21/2014    29  20K
EEM 12/20/2014   48  20K
AAPL 5/30/2014  635 12K
ORCL 6/21/2014    44 11K
SPY    5/30/2014  192  9K
DIA    6/21/2014  167  9K
IWM  9/20/2014   120  8K