Blogging Options: CBOE Morning Update 5.20.15

Markets quiet overnight.  More Greece comments, US stock futures drift higher.  Altice (French telecom) being talked about by traders after entering US market.  Volatility as an asset class

Yahoo (YHOO) is up 3% to $42.22 in the premarket after selling off 7% yesterday.  Concerns were a possible change in U.S. tax regulations affecting Yahoo’s planned spinoff of its stake in Alibaba (BABA). May weekly call option implied volatility is at 66, June is at 40, July is at 35; compared to its 52-week average of 33.

Autodesk (ADSK) is $1.02 to $56.50 after the architectural software company lowered FY 16 guidance. June call option implied volatility is at 34, July is at 30, October is at 29; compared to its 90-day average of 30.

Staples (SPLS) is down 25c to $16.16 in the premarket after reporting inline Q1 and outlook May weekly call option implied volatility is at 160, June is a 32, September is at 31; compared to its 90-day average of 33.

Equities options volume @ CBOE 803,780 475,949 1,279,729 total cboe.com

Options expected to be active @ CBOE: YHOO BABA LOW TGT SPLS ADSK BBY PBY

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.36 into Minutes from the Fed’s last meeting will be released today  stks.co/h2GXo

CBOE S&P 500 PutWrite Index $PUT @ 1508.24 CBOE.com/PUT

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14.15, compared to its 10-day moving average of 15.40.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.15, compared to its 50-day moving average of 13.24. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 25.88, compared to its 10-day moving average of 27.82

iPath S&P 500 VIX Short-Term Futures (VXX) at 19.14, compared its 10-day moving average of 20.59.

CBOE Volatility Index (VIX) at 12.85, compared its 10-day moving average of 13.53.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is recently down 2c to $213.01 into Minutes from the Fed’s last meeting will be released today and Janet Yellen’s speech this Friday for possible clues of an upcoming rate hike.

Calls with increasing volume at CBOE:

QQQ 7/17/2015 114 17K contracts
AAPL 5/22/2015 130 14K
SPY 8/21/2015 235 11K

EEM 7/17/2015 44 8K
WDAY 9/18/2015 105 7K
TWTR 5/22/2015 38 5K