Blogging Options: CBOE Morning Update 6.6.14

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