Blogging Options: CBOE Morning Update 5.7.15

Stock valuations are “generally quite high”.  In a redux of “irrational exuberance”, Chairperson Yellon stopped yesterday’s market bounce, giving investors and traders an excuse for profit taking.  Earnings take charge again this morning, including BABA up $8, PCLN off $40 as both beat street estimates.  Asian shares lower, Europe mixed to lower. 18K VIX Futures in early session after 215K trade yesterday.  UK election today, early results before US close. 80 degrees in Chicago expected today.  Volatility as an asset class:

Tesla Motors (TSLA) is down $6.63 to $223.80 in the premarket. The company says it’s still on track to meet its 2015 deliveries guidance and with the planned launch of the Model X. The battery-car company reported revenue of $939M and EPS of -$0.36 for Q1. Model S deliveries for the quarter were 10,045 vehicles. May weekly call option implied volatility is at 120, May is at 75, June is at 45; compared to its 26-week average of 45.

Whole Foods Markets (WFM) is off $6.24 to $41.48 after comparable-store sales disappointed. May weekly call option implied volatility is at 105, May is at 56, June is at 35, August is at 28; compared to its 26-week average of 28.

Green Mountain Coffee (GMCR) is down $11.72 to $96.37 in the premarket after a narrow FQ2 miss. May weekly call option implied volatility is at 169, May is at 87, June is at 48; compared to its 26-week average of 39.

Equities options volume @ CBOE 881,868 calls, 646,786 puts, 1,528,654 total cboe.com

Options expected to be active @ CBOE: TBT TLT TSLA WFM LL ZNGA GMCR CZR NUS COST BABA SEAS PCLN TRIP VIX SPX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.53 stks.co/h2GXo

‏CBOE Nasdaq-100 Volatility Index (VXN) at 16.66, compared to its 50-day moving average of 15.72.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 17.79, compared to its 10-day moving average of 13.01. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 29.56, compared to its 10-day moving average of 28.67

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.86, compared its 10-day moving average of 21.23.

CBOE Volatility Index (VIX) at 15.15, compared to its 50-day moving average of 14.11 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 46c to $207.47 as Europe and Asia moves lower on comments made by U.S. Federal Reserve Chairwoman Janet Yellen to IMG Managing Director Christine Lagarde.

Calls with increasing volume at CBOE:
SPY   6/19/2015 220 16K contracts
AAPL   5/8/2015 126 12K

Puts with increasing volume at CBOE:
SPY 5/29/2015 204  46K contracts
PBR 6/19/2015   10 19K