Blogging Options: CBOE Morning Update 6.5.14

Weekly Jobless claims rose, but all attention still on tomorrow’s NFP at 7:30 CDT.   Challenger, Gray & Christmas reported jobs cuts spiking up 45% last month. ECB cut deposit rate to negative, traders still figuring that out.  European shares modestly higher. Volatility as an asset class:

Ciena (CIEN) is up $2.64 to $21.64 in the premarket after the telecom-equipment company reported better than expected Q2 results and sees Q3 revenue $585M-$615M, consensus $583.31M.  June call option implied volatility is at 61, July is at 51, October is at 43, January is at 41; compared to its 26-week average of 46.

Joy Global, Inc. (JOY) is up $1.55 to $59.40 after the manufacturer of mining equipment reported Q2 EPS of $0.76, $0.05 better than the analyst estimate of $0.71 and reaffirmed FY2014 guidance. June call option implied volatility is at 65, July is at 30, October is at 26, January is at 25; compared to its 26-week average of 27.

Proshares UltraShort Barc 20 Year Treasury ETF  (TBT) is up $0.30 to $63.45 in the premarket as European Central Bank lowers benchmark rate to 0.15%. 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: TMUS S CIEN TWTR TITN SJM CLVS COST DB

CBOE S&P 500 BuyWrite Index (BXM) at 1077.78, compared to its 10-day moving average of 1074.99 cboe.com/BXM

CBOE DJIA BuyWrite Index (BXD) at 267.03, compared to its 50-day moving average of 261.86 cboe.com/micro/bxd/

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.59, compared to its 10-day moving average of 10.45. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
iPath S&P 500 VIX Short-Term Futures (VXX) down 14c to 33.01

CBOE Volatility Index (VIX) closed at 12.08, 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) is recently up 14c to $193.36 as European Central Bank lowers benchmark rate to 0.15%.

Calls with increasing volume at CBOE:

SPY 6/21/2014 190 62K contracts
FB 6/21/2014 62.50 29K
PFE 7/19/2014 32 29K
EEM 8/16/2014 42.50 28K
KGC 8/16/2014 4 23K
XOP 6/21/2014 80 15K
DNR 6/21/2014 17 15K