Blogging Options: CBOE Morning Update 5.8.15

April Non-Farm Payrolls showed a gain of 223K jobs, (226K expected),  jobless rate fell to 5.4%, not a surprise.  March Jobs revised lower by 39K to a gain of only 85K.  Participation rate up one tick.  Stock futures rally, as slowing economy should prevent early rate hikes.  FTSE up 2% on election results (Conservatives win big), other overseas markets also higher.  Options Institute and BofA Merrill welcomed 35 officers from 30 different countries attending US Naval War College to CBOE & CME yesterday.  Enjoy the nice weather. Volatility as an asset class

AOL (AOL) is up $1.96 to $41.35 after reporting better than expected Q1 adjusted EPS of 34c, compared to consensus 32c.  Q1 revenue grew 7% driven by 12% growth in global advertising and other revenue.  AOL May weekly call option implied volatility is at 178, May is at 79, June is at 44; compared to its 52-week average of 44.

NVIDIA (NVDA) is down $1.10 to $22 after reporting reports Q1 EPS of 33c, compared to consensus 26c. May weekly call option implied volatility is at 53, May is at 45, June is at 33; compared to its 26-week average of 34.

Sprouts Farmers Market (SFM), down $2.71 to $27.51 on lower than expected Q1 results and guidance. May call option implied volatility is at 64, June is at 35, September is at 31; compared to its 90 average of 33.

Equities options volume @ CBOE 751,025 calls, 519,715 puts, 1,270,740 total cboe.com

Options expected to be active @ CBOE: CBS AOL YELP NVDA CRM TBT TLT CROX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.16 stks.co/h2GXo

‏CBOE Nasdaq-100 Volatility Index (VXN) at 17.37, compared to its 50-day moving average of 15.78.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.59, compared to its 10-day moving average of 13.38. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 29.33, compared to its 10-day moving average of 28.76

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.70, compared its 10-day moving average of 21.29.

CBOE Volatility Index (VIX) at 15.13, compared to its 50-day moving average of 14.13 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently up 49c to $209.33 as bond stabilize, oil pulls back into April jobs report

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 204.00 24K contracts
IWM 5/15/2015 119.50 17K
HYG 6/19/2015   86   15K
XOP 6/19/2015   48   12K
FXY  6/19/2015   84   10K
XLV  6/19/2015   65     9K