NFP showed a gain of 217k jobs in May, close to consensus but far better than ADP report has talking heads leaning. Jobless Rate unchanged at 6.3%. Debate will continue on # of unemployed vs. net jobs created in last 5 years. Major averages up fractionally, Metals lower, 10-year off a tick. Enjoy the Belmont….. Volatility as an asset class:
AIG (AIG) opened is up $0.47 to $55.29 after authorizing an additional $2B share repurchase plan. Overall option implied volatility of 20 is near its 26-week average of 21.
Diamond Foods (DMND) is down $3.11 to $30.21 after the snack food company reported a wider than expected Q3 loss. June call option implied volatility is at 44, July is at 36, September is at 33; compared to its 26-week average of 37.
Panera Bread (PNRA) is up $3.11 to $158.80 after announcing a new $600M share repurchase plan to replace the company’s existing plan. Overall option implied volatility of 23 is below its 26-week average of 25.
SeaChange (SEAC) is down $0.70 to $8.60 after Software Company reported disappointing Q1 earnings, Q2 guidance, and FY14 guidance. Overall option implied volatility of 41 is below its 26-week average of 45.
Options expected to be active @ CBOE: HTZ BAC TSL LG NVAX ZNGA PNRA AIG SEAC BAC MTN DMND DB VIX
CBOE S&P 500 BuyWrite Index (BXM) at 1078.74, compared to its 10-day moving average of 1075.88 cboe.com/BXM
CBOE DJIA BuyWrite Index (BXD) at 267.41, compared to its 50-day moving average of 262.05 cboe.com/micro/bxd/
CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.88, compared to its 10-day moving average of 10.49. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
iPath S&P 500 VIX Short-Term Futures (VXX) down 27c to 31.68
CBOE Volatility Index (VIX) closed at 11.68, compared to its 10-day moving average of 11.67 and its 50-day moving average of 13.30.
SPDR S&P 500 ETF Trust (SPY) is up 0.37 to $194.79 on May Change in Nonfarm Payrolls 217K vs 215K.
Calls with increasing volume at CBOE Thursday:
SPY 6/21/2014 193 25K contracts
EEM 12/20/2014 48 20K
AAPL 6/6/2014 650 12K
TSO 11/22/2014 57.50 10K
Puts with increasing volume at CBOE:
SPY 7/19/2014 180 27K contracts
VXX 7/19/2014 29 15K
T 6/6/2014 35.50 10K