Blogging Options: CBOE Morning Update 5.6.15

April ADP Private Sector Employment showed a weaker than expected 169 K new Jobs (+200 K expected), with February and March revised lower.  Not a good sign for the NFP report Friday.  India & Shanghai off overnight, US stock futures holding on to pre-market gains.  Thick fog in Chicago this morning, traders resilient, most here already.  16 K VIX Futures trade in extended session. Volatility as an asset class:

Synageva (GEVA) is up $122 to $218 in the preopen on Alexion’s (ALXN) proposed acquisiotion for $115 in cash and 0.6581 Alexion shares for each share of Synageva. May call option implied volatility is at 58, June is at 55; compared to its 90-day average of 54.

Herbalife (HLF) is up $6.30 to $46.09 after reporting Q1 adjusted EPS $1.29, compared to consensus $1.01. May weekly call option implied volatility is at 150, May is at 99, June is at 64; compared to its 26-week average of 68.

Electronic Arts (EA) is higher by $2.74 to $61.90 in the preopen after announcing better than expected Q4 EPS $0.39, compared to consensus $0.25. Q4 revenue was $896M, compared to consensus $850.23M.  May weekly call option implied volatility is at 105, May is at 65, June is at 39, September is at 33; compared to its 26-week average of 33.

Equities options volume @ CBOE 884,002 calls, 657,404 puts, 1,541,406 total cboe.com

Options expected to be active @ CBOE: TSLA WFM CRM FOSL SCTY GRPN HLF EA BABA NDLS ZU MGI ALXN GEVA WEN

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at $6.37 www.cboe.com/TYVIX

CBOE S&P 500 Skew Index (SKEW) at 122.22. 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 @ 680.88 www.cboe.com/CLL

CBOE S&P 500 BuyWrite Index (BXM) at 1116.39. cboe.com/bxm

CBOE DJIA BuyWrite Index (BXD) at 272.65.  cboe.com/micro/bxd/

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.61, compared to its 50-day moving average of 15.65.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 12.74, compared to its 10-day moving average of 12.59. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 28.29, compared to its 10-day moving average of 28.59

iPath S&P 500 VIX Short-Term Futures (VXX) at 20.91, compared its 10-day moving average of 21.17.

CBOE Volatility Index (VIX) at 13.21, compared to its 50-day moving average of 14.08 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is up $067c to $209.62 as oil trades a 2015 high.

Calls with increasing volume at CBOE:
SPY    7/17/2015  230   26K contracts
EEM   5/15/2015    44   20K
QQQ  5/15/2015 108.50 17K
AAPL    5/8/2015  127   12K
TMUS 5/15/2015    28   11K