Blogging Options: CBOE Morning Update 5.27.15

Continuing uncertainties about Greece debt payments due this weekend have overseas markets jittery.  US stock futures look to rebound after yesterdays 1%   correction.  US option volume of ~15m contracts pretty average yesterday, with SPX trading 900K contracts and VIX 360K.  10-year near 2.15%.  What? Corruption at FIFA?  I’m shocked I tell you, shocked!  BlackHawks with elimination game tonight or their season shockingly over.  Volatility as an asset class:

Michael Kors (KORS) is down $8.80 to $51.79 in the premarket on over 3m shares, as the company sees Q1 EPS 74c-78c, compared to consensus $1.03.  May weekly call option implied volatility is at 102, June is at 47, August is at 36, November is at 33; compared to its 90-day average of 33.

Toll Brothers (TOL) is flat at $37 after reporting Q2 EPS of $0.37, $0.02 better than analyst estimate of $0.35. Revenue for the quarter came in at $852M versus the consensus $861M. TOL narrowed FY15 home delivery guidance to 5,300-5,900 homes. May weekly call option implied volatility is at 49, July is at 27, September is at 26; compared to its 90-week average of 23.

Tiffany (TIF) is up $5.52 to $91.05 in the premarket after reporting Q1 EPS 81c, compared to consensus 70c. June call option implied volatility is at 28, July is at 26, November is at 25; compared to its 26-week average of 26.

VIX methodology for Apple VXAPL at 22.76, 52-week range 19.48 to 45.76

Equities options volume @ CBOE 731,884 calls, 538,147 puts, 1,270,031 total

Options expected to be active @ CBOE: TOL WDAY COST CHS DSW TIF KORS SPLK

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.15

CBOE S&P 500 PutWrite Index $PUT @ 1501.58

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.12, compared to 10-day moving average of 14.36.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.32, compared to 50-day moving average of 12.84 VXST is a market-based gauge of expectations of 9-day

Velocity Share VIX Short Term ETN (VIIX) at 26.18, compared to 10-day moving average of 26.56

iPath S&P 500 VIX Short-Term Futures (VXX) at 19.39, compared to 10-day moving average of 19.65.

CBOE Volatility Index (VIX) at 14.06, compared to 10-day moving average of 12.95

SPDR S&P 500 ETF Trust (SPY) is up 56c to $211.27 as the market tries to recover from yesterday, which marked stocks’ biggest selloff during the month of May.

Calls with increasing volume at CBOE:

SPY    6/30/15 217  27K contracts
EEM   7/17/15  43   19K
WFC   7/17/15  60   11K
AAPL  5/29/15 130 11K
IWM   6/19/15 125   8K