Today is May options expiration. Memorial Day early this year, it’s next weekend. We’ll have the holiday trading schedule posted Monday. May Empire Manufacturing with a big miss, with a gain of 3.09 (1.19 in April), we saw estimates between 4.8 and 5.25. Most of the components were positive, but barely. Most overseas markets up fractionally playing catch-up to the US rally yesterday. Gold & Oil down, 10-year retreats to ~2,.2%. Enjoy the weekend. Volatility as an asset class:
Symantec (SYMC) is down $0.80 to $25.40 in the preopen after the security solutions company reported less than expected Q1 EPS and a positive outlook. May call option implied volatility is at 73, June is at 26, October is at 25; compared to its 90-day average of 26.
Applied Materials (AMAT) is up $0.74 to $20.60 after the provider of semiconductor manufacturing equipment reported better than expected Q2 results and inline guidance. May call option implied volatility is at 72, June is at 29, July is at 28; compared to its 90-day average of 29.
El Pollo Loco (LOCO) is down $3.95 to $25.11 in the premarket following Q1 results and guidance. May call option implied volatility is at 86, June is at 40, September is at 37; compared to its 90-day average of 42.
Equities options volume @ CBOE 907,237 calls, 542,668 puts, 1,449,905 total cboe.com
Options expected to be active @ CBOE: GMCR DDS LOCO KING JWN SYMC AVP
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 5.99 stks.co/h2GXo
CBOE Nasdaq-100 Volatility Index (VXN) at 14.31, compared to its 10-day moving average of 15.89.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.59, compared to its 50-day moving average of 13.40. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 27.38, compared to its 10-day moving average of 28.42
iPath S&P 500 VIX Short-Term Futures (VXX) at 20.26, compared its 10-day moving average of 21.04.
CBOE Volatility Index (VIX) at 12.74, compared its 10-day moving average of 13.72.cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up $0.37 to $212.59 as global debt yields stabilize.
Calls with increasing volume at CBOE Thursday:
SPY 5/15/2015 213 20K contracts
AAPL 5/15/2015 129 12K
BAC 5/15/2015 16 11K
FXI 6/19/2015 50 8K
Puts with increasing volume at CBOE:
SPY 5/15/2015 211 23K contracts
XRT 6/26/2015 92 20K
IWM 6/19/2015 118 16K
RIG 6/19/2015 20 10K
AAPL 5/15/2015 127 8K