April Retail Sales unchanged (+0.2% to +0.3% expected). X-Auto’s +0.1%, Control Group flat. march revised higher by two ticks, but Sales on weak side. Europe calm this morning, US futures to positive side. 10-year yield drops near 2.2%. Du Pont (DD) appears to have won proxy fight, is off $2 before opening. Volatility as an asset class
Pall Corp (PLL) is up $5.78 to $124.40 in the premarket on acquiring Danaher (DHR) for $13.8B including assumed debt. May call option implied volatility is at 39, June is at 26, September is at 18; compared to its 90-day average of 22.
Danaher Corporation (DHR) is higher $4.70 to $90.70 on announcing it’s the separating the company into two independent, publicly traded companies and acquiring Pall Corp (PLL) for $13.8B including assumed debt. May call option implied volatility is at 26, June is at 23, September is at 21; compared to its 90-day average of 14.
Zillow Group (Z) is flat at $98 in the premarket after reporting Q1 EPS 5c, compared to consensus (12c). Q1 revenue was $127.3M, compared to consensus $135.67M. May call option implied volatility is at 97, June is at 49, August is at 47; compared to its 90-day average of 48.
Equities options volume @ CBOE 695,793 calls, 445,738 puts, 1,141,531 total cboe.com
Options expected to be active @ CBOE: M WPZ WMB DAL Z VRTX JCP CSCO PLL DHR
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.50 stks.co/h2GXo
CBOE Nasdaq-100 Volatility Index (VXN) at 15.96, compared to its 10-day moving average of 16.09.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.82, compared to its 50-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 28.44, compared to its 10-day moving average of 28.71
iPath S&P 500 VIX Short-Term Futures (VXX) at 21.05, compared its 10-day moving average of 21.25.
CBOE Volatility Index (VIX) at 13.86, compared to its 50-day moving average of 14.14 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up 65c to $210.65 as all four of the Eurozone’s largest economies (Germany, France, Italy and Spain) recorded growth for the first time since 2010.
Calls with increasing volume at CBOE:
UUP 5/15/2015 25 50K contracts
SPY 7/17/2015 218 25K
XLF 9/18/2015 26 17K
SPL S 9/18/2015 15 17K
GE 7/17/2015 27 12K
FXI 6/19/2015 53 10K