Blogging Options: CBOE Morning Update 5.18.15

Option expiration with good volume Friday. European markets weary of Greece drama, but it looks like something might be finalized in next 10 days.  US stock futures off fractionally.  Housing data today, tomorrow and Thursday will be watched.  10-year 2.18%.  Stories around about European banks being analyzed by credit agencies.   Long weekend coming up, details on trading schedule tomorrow.  Volatility as an asset class:

ANN (ANN) is up $8.20 to $46.92 in the premarket on Ascena retail (ASNA) paying ANN  stockholders $37.34 in cash and 0.68 of a share of Ascena common stock. June call option implied volatility is at 42, September is at 31; compared to its 90-day average of 34.

Ascena retail (ASNA) is up $1.25 to $15.46. June call option implied volatility is at 36, September is at 34; compared to its 90-day average of 33.

Global X Funds (GREK) is down 17c to $12.25 on Greek government credit uncertainty. June call option implied volatility is at 66, September is at 63; compared to its 90-day average of 64.

Equities options volume @ CBOE 1,076,432 600,873 1,677,305 total cboe.com

Options expected to be active @ CBOE: YELP URBN TTWO YOKU ADSK CSCO TGT HPQ

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6 stks.co/h2GXo

CBOE S&P 500 PutWrite Index (PUT) @ 1505 CBOE.com/PUT

‏CBOE Nasdaq-100 Volatility Index (VXN) at 13.89, compared to its 10-day moving average of 15.77.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.77, compared to its 50-day moving average of 13.37. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 27.07, compared to its 10-day moving average of 28.32

iPath S&P 500 VIX Short-Term Futures (VXX) at 20.06, compared its 10-day moving average of 204.96.

CBOE Volatility Index (VIX) at 12.38, compared its 10-day moving average of 13.69.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 44c to $212.02 as European stocks flounder on higher energy prices.

Calls with increasing volume at CBOE:
XLF    6/19/2015   25  37K contracts
AAPL 5/15/2015 129  23K
SPY    5/29/2015 213  19K
BAC   5/15/2015   16  15K

Puts with increasing volume at CBOE:
SPY   5/15/2015 212  18K contracts
IYR    5/15/2015   77  17K
DTV   6/19/2015  70  13K
VXX   5/15/2015   20  11K
AAPL 5/15/2015 128    9K