Blogging Options: CBOE Morning Update 5.11.15

US shares flat as we approach the opening of trading. Noble Energy offers ~$26.70 in stock for Rose (up $6 to $25.30, 52-week high above $55).  Eurogroup meets today on Greece debt problem, Greece signaling pessimism.  China cut rates again, Chinese stocks rally, picking up half of last weeks losses.  US and overseas economic data doesn’t start until Wednesday. VIX Futures quiet in early session, after trading ~228K Friday. Volatility as an asset class:

iShares FTSE Xinhua China 25 Index (FXI) is up 17c to $50.67 in the premarket after China’s central bank cut its benchmark lending rates by 25 bps to 5.1%. May call option implied volatility is at 32, June is at 29, August is at 28; compared to its 90-day average of 27.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is higher by 48c to $47.40 as bond prices trend lower. May call option implied volatility is at 27, June is at 29, September is at 30; compared to its 30-week average of 28, suggesting non-directional price movement.

Rosetta Resources (ROSE) is $6.85 to $26.18 in the premarket on Noble Energy (NBL) acquiring all of the common stock of Rosetta in an all-stock transaction valued at $2.1B, plus the assumption of Rosetta’s net debt of $1.8B.

up May call option implied volatility is at 64, June is at 59; compared to its 90-day average of 59.

Equities options volume @ CBOE 1,024,172 calls, 559,959 puts, 1,584,131 total cboe.com

Options expected to be active @ CBOE: SYT MON NBL ACT WFM BABA ZU BA Z

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 5.62 stks.co/h2GXo

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.24, compared to its 10-day moving average of 15.25.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.17, compared to its 10-day moving average of 11.17. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 27.79, compared to its 10-day moving average of 27.78

iPath S&P 500 VIX Short-Term Futures (VXX) at 20.74, compared its 10-day moving average of 20.70.

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 down 18c to $211.47 as China’s central bank cut its benchmark lending rates by 25 bps to 5.1% on Sunday, its third reduction since November, as economic growth cools to levels not seen since the global financial crisis.

Calls with increasing volume at CBOE:

SPY      5/15/2015   211 20K contracts
AAPL      5/8/2015   127 18K
MNKD 1/15/2016  2.50 17K
XLF      5/15/2015 24.50 11K
IEI        7/17/2015   123 10K