Blogging Options: CBOE Morning Update 5.4.15

Stocks bounced back nicely Friday on average volume. A pretty good option trading as well with 17mm contracts trading.  SPX with over 1mm contracts changing hands, RUT totaled over 70 K.  England and Japan with holiday trading (May Day & Golden Week).  April Employment Friday, UK election Thursday. CVC tacks on $0.10 after good earnings, Oil & Gold higher, 10-year near 2.10%. Volatility as an asset class:

Comcast (CMCSA) is up $1.06 to $59.47 in the preopen on better than expected Q1 results and new broadband customers. May weekly call option implied volatility is at 31, May is at 24, June and October is at 22; compared to its 26-week average of 22.

McDonald’s (MCD) is trading lower by more than $1 on details of turnaround plan. May weekly call option implied volatility is at 38, May is at 30, June is at 23, September is at 20; compared to 26-week average of 18.
CBOE Crude Oil Volatility Index (OVX) at 36.09; compared to its 10-day moving average of 39.55, WTI Crude oil near $59. CBOE.com/OVX

Options expected to be active @ CBOE: CMCSA YUM WFM EA HLF SYY SODA TSLA ICE SPX VIX

CBOE S&P 500 Skew Index (SKEW) at 122.37. 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 @ 679.44 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1119.95, compared to its 10-day moving average of 1117. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 273.25, compared to its 50-day moving average of 270 cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.32, compared to its 10-day moving average of 16.62.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.98, compared to its 10-day moving average of 14.06 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 29.10, compared to its 10-day moving average of 38.01

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.54, compared its 10-day moving average of 28.13.

CBOE Volatility Index (VIX) at 13.98, compared to its 10-day moving average of 15.17 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 80c to $209.32 as the Eurozone’s manufacturing sector expanded in April, although at a slightly slower pace than in March.

Calls with increasing volume at CBOE Friday:

AAPL  5/1/2015  128 19K contracts
SPY     5/1/2015  210 15K
BAC    5/1/2015    16 15K
PFE   6/19/2015    34  9K
GILD 5/15/2015  115  8K
QQQ   5/1/2015  109  8K