Blogging Options: CBOE Morning Update 5.12.15

The weakest Japanese bond auction in over six years, Greece staying solvent by delivering all cash reserves to the IMF, and profit taking are weighing heavily on US stock futures this morning.  European shares off ~1.5%, 10-year at 2.3%. Volatility as an asset class

AOL (AOL) is up $7.75 to $50.34 in the premarket on Verizon (VZ) acquiring for $50 per share or $4.4B. May call option implied volatility is at 37, June is at 32; compared to its 90-day average of 30.

IShares Barclay 20+ YR Treasury ETF (TLT) is down $1.20 to $118.09 as debt yields surge.  May call option implied volatility is at 19, June is at 17, July is at 16; compared to its 90-day average of 16.

Gap (GPS) is off $1.32 to $38.55 in the premarket after reporting April Same Store Sales decreased 12%. May call option implied volatility is at 41, June is at 32, September is at 24; compared to its 90-day average of 26.

Equities options volume @ CBOE 724,288 calls, 439,172 puts, 1,163,460 total cboe.com

Options expected to be active @ CBOE: AOL VZ GPS BA PLL DHR TMO RAX CALL DF VIX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.38 stks.co/h2GXo

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.56, compared to its 10-day moving average of 15.98.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.41, compared to its 50-day moving average of 13.32. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 28.56, compared to its 10-day moving average of 28.67

iPath S&P 500 VIX Short-Term Futures (VXX) at 21.12, compared its 10-day moving average of 21.22.

CBOE Volatility Index (VIX) at 13.85, compared to its 50-day moving average of 14.12 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 1.51 to $209.09 as the global sell-off in bond markets resumed, as yields surge on 10-year notes in Italy, Spain, Portugal and Germany.

Calls with increasing volume at CBOE:

JPM    5/15/15   60   11K contracts
BAC    5/15/15   16  10K
AAPL  5/15/15 128    7K
JPM    6/19/15 62.50 6K
SPY    5/15/15 212    6K
BBRY 6/19/15   11    5K