Blogging Options: CBOE Morning Update 4.7.15

Markets corrected yesterday following the disappointing jobs report Friday – for the first hour – then rallied on “bad news is good news” with possible FED action. European shares higher this morning but remember most were closed for 4-day Easter holiday. FDX (see below) bidding for TNT interesting, as UPS was not allowed to buy TNT a few years ago due to monopoly fears.  Marty Kearney just wrapped up one-hour syndicated radio show on Stocks & Jocks, talked about FTSE options coming to CBOE, Mohamed El-Erian going to cash and today’s Chicago mayoral election.  JOLTS later this morning. Oil & Gas lower, 10-year 1.90%.  Volatility as an asset class

FedEx (FDX) is up $7.83 to $174.50 in the preopen after announcing the purchase of TNT Express for about $4.8B. Overall option implied volatility of 20 compares to its 26-week average of 21.

General Motors (GM) is down $0.70 to $35.89 after Canada GEN Investment, a Canadian federal Crown corporation, announced an agreement to sell 73,389,831 shares of its General Motors common stock to Goldman, Sachs & Co (GS) in an unregistered block trade. Overall option implied volatility of 23 compares to its 26-week average of 24.

Viacom (VIAB) traded down $1.00 to $67.59 into announcing a $785M pretax write-down/amortization for Q2 in connection with its layoffs and restructuring. Part of the amortization reflects new expectations for revenue in “certain original programming genres that have been impacted by changing media consumption habits.” Viacom is also pausing its buyback program until October. Overall option implied volatility of 24 is at its 26-week average.

CBOE Crude Oil Volatility Index (OVX) at 48.33; compared to its 50-day moving average of 54.35, WTI Crude oil near $51. CBOE.com/OVX

Equity Options Volume @ CBOE; 773,281 calls, 383,367 puts, 1,156,648 total cboe.com

Options expected to be active @ CBOE: FDX GM F VIA

CBOE S&P 500 Skew Index (SKEW) at 120.05. SKEW measures the purchase of out-of-the-money S&P 500 Index puts that require a very large downside move to profit from long put positions. An increase of this index indicates greater expectations for an extreme down move.

CBOE S&P 500 95-110 Collar Index CLL @ 675.95 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1104.48, compared to its 10-day moving average of 1099.13. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 270.49, compared to its 50-day moving average of 266.94.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.57, compared to its 10-day moving average of 16.47

CBOE S&P 500 Short-Term Volatility Index (VXST) at 14.16, compared to its 50-day moving average of 14.46. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 32.97, compared to its 50-day moving average of 39.19.

iPath S&P 500 VIX Short-Term Futures (VXX) at 24.40, compared its 50-day moving average of 29.

CBOE Volatility Index (VIX) at 14.74, compared to its 50-day moving average of 15.64 cboe.com/VIX

CBOE Volatility Index (VIX) Put/Call Ratio 0.23 cboe.com

SPDR S&P 500 ETF Trust (SPY) is down 1c to $207.02 on better than expected Eurozone business activity.

Calls with increasing volume at CBOE:

SPY   4/10/2015 211.50 16K contacts
COP  4/17/2015  65 15K
GE     5/15/2015  26 11K
COP  5/15/2015  70 10K
RSX   5/15/2015  19   8K
EWZ  5/15/2015  35   6K
1BAC 4/17/2015  16   6K