Blogging Options: CBOE Morning Update 5.21.15

Lumber Liquidators with surprising CEO resignation has shares off 10% in early trade.  BLUE up 10% with possible new drug showing great results.  Existing Home Sales released after the opening.   Traders talking about hints that FED will raise rates sooner than later on “slack” in the economy not there any more.  Long weekend coming up.  Volatility as an asset class

Salesforce.com (CRM) is up $3.94 to $74.10 in the premarket on better than expected Q1 results and raised its 2016 outlook. May weekly option implied volatility is at 87, June is at 50, July is at 42; compared to its 90-day average of 38.

Williams-Sonoma (WSM) is up $3.11 to $81 after reporting Q1 EPS of 48c, compared to consensus 45c. June call option implied volatility is at 35, August is at 24, January is at 26; compared to its 90-day average of 25.

Omnicare elevated into CVS Health acquiring for $98 per share on CVS Health (CVS) acquiring for $98.00 per share in cash, for a total enterprise value of approximately $12.7B. June call option implied volatility is at 37, July is at 34; compared to its 26-week average of 25.

Equities options volume @ CBOE 828,220 481,436 1,309,656 total cboe.com

Options expected to be active @ CBOE: CRM BBY NTAP WSM OCR CVS AAL UAL LUV DAL ALK JBLU SAVE ALGT

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.22 stks.co/h2GXo

CBOE S&P 500 PutWrite Index $PUT @ 1508.10 CBOE.com/PUT

‏CBOE Nasdaq-100 Volatility Index (VXN) at 14, compared to its 10-day moving average of 15.02.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 10.48, compared to its 50-day moving average of 13.12. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 25.91, compared to its 10-day moving average of 27.46

iPath S&P 500 VIX Short-Term Futures (VXX) at 19.18, compared its 10-day moving average of 20.32.

CBOE Volatility Index (VIX) at 12.84, compared its 10-day moving average of 13.30.cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 30c to $212.58 on mixed Chinese manufacturing data.

Calls with increasing volume at CBOE:

ACHN  1/15/16    15 17K contracts
AAPL    5/22/15 130 15K
SPY       5/22/15 213 10K
HYG 7/17/2015    91 10K
VXX  6/19/2015    21 9K
EWZ 6/19/2015    40 8K
UAL 6/19/2015     65 7K