Blogging Options: CBOE Morning Update 5.1.15

US Futures higher before the opening, gaining back some of yesterday’s GDP inspired profit-taking.  May Day in most of Europe and parts of the rest of the world should slow volume today.  ISM & U of Michigan are the reports to watch this morning, with March Construction Spending with an AM release as well. S aturday a sports-lovers dream day, with soccer, NFL Draft, Kentucky Derby and Pacquiao fight, as well as some baseball, NBA & NHL playoffs.  Thousands of football fans at NFL Draft Town in downtown Chicago yesterday, very impressive.  Volatility as an asset class

Visa (V) is down $1.10 to $64.95 in the preopen after reporting Q2 EPS $0.63, compared to consensus $0.62. May weekly call option implied volatility is at 66, May is at 30, June is at 22; compared to its 26-week average of 23.

Linkedin (LNKD) is off $49.14 to $202.98 after on less than expected guidance. May weekly call option implied volatility is at 198, May is at 52, June is at 39, August is at 37; compared to its 26-week average of 34.

AIG (AIG) is up $0.31 to $56.60 in the preopen after reporting inline Q1 results and a $3.5B share repurchase program.  May weekly call option implied volatility is at 50, May is at 24, June is at 19; compared to its 26-week average of 21.

CBOE Crude Oil Volatility Index (OVX) at 36.68; compared to its 50-day moving average of 48.47, WTI Crude oil near $59. CBOE.com/OVX

Equities options volume @ CBOE 1,037,691 calls, 751,906 puts, 1,789,597 total cboe.com

Options expected to be active @ CBOE: LNKD AIG FSLR GILD V CVX CVS

CBOE S&P 500 Skew Index (SKEW) at 115.96. 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 @ 674.37 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1113.32, compared to its 10-day moving average of 1116.88. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 271.36, compared to its 50-day moving average of 269.85 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.13, compared to its 50-day moving average of 15.61.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.87, compared to its 50-day moving average of 13.04. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 28.90, compared to its 50-day moving average of 34.05

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.55, compared its 50-day moving average of 25.20.

CBOE Volatility Index (VIX) at 13.89, compared to its 50-day moving average of 14.16 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up 80c to $209.32 as U.S. oil trades at five-month high.

Calls with increasing volume at CBOE:

IWM   5/8/2015  124  51K contracts
SPY  5/29/2015  215  42K
EEM   5/1/2015    44  22K
AAPL 5/1/2015  128  15K

Puts with increasing volume at CBOE:

SPY      5/1/2015  206 29K contracts
IWM  6/19/2015  108 20K
AAPL   5/1/2015  125