Blogging Options: CBOE Morning Update 6.4.14

ADP for May missed big, reporting 179k new private sector jobs created (210k to 217k expected).  Productivity in Q1 adjusted lower. Overseas markets off fractionally, NIKKEI closed up a few ticks.  VIX Futures trade 12k contracts in pre-market.  Friday Payroll number focus of traders this week.

Volatility as an asset class

UnitedHealth (UNH) is up $0.62 to $80.51 in the premarket on increasing its dividend 34% to 37.5c per and renewing its share repurchase program, authorizing the purchase of 100M shares over time. Overall option implied volatility of 18 is below its 26-week average of 22.

Protective Life (PL) is up $10.65 to $69.36 on being acquired by Dai-ichi Life for $70 per share, or a total transaction value of approximately $5.7B.  Overall option implied volatility of 27 is above its 26-week average of 24 according to Track Data, suggesting large near term price movement.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is down 7c to $63 in the premarket as investors weigh ECB rate cut outlook on Thursday. June weekly call option implied volatility is at 40, June is at 24, July is at 21, September is at 20; compared to its 26-week average of 22.

Options expected to be active @ CBOE: PL BHP NQ TIBX JASO AN FCEL UNH AN BEAV JKS FSLR SPWR VIX

CBOE S&P 500 BuyWrite Index (BXM) at 1077.60, compared to its 10-day moving average of 1073.74 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 266.88, compared to its 50-day moving average of 261.66 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.01, compared to its 10-day moving average of 10.51. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

iPath S&P 500 VIX Short-Term Futures (VXX) up 7c to 33.56

CBOE Volatility Index (VIX) closed at 11.87, compared to its 10-day moving average of 11.78 and its 50-day moving average of 13.41.

SPDR S&P 500 ETF Trust (SPY) off 0.28 to $192.52 as European stocks fell as investors weigh ECB rate cut outlook on Thursday.

Calls with increasing volume at CBOE:
TLT  7/19/2014  113    35K
SPY  6/13/2014  193    26K
DXJ   8/16/2014  49.38 19K
ADSK 7/19/2014  55      7K
QQQ 7/19/2014  91      7K
AAPL 6/6/2014   640      6K
PBR   6/21/2014  15       6K
BX     6/13/2014  32       6K