Blogging Options: CBOE Morning Update 5.28.15

Greek official says agreement should be worked out by Sunday, EU says “not so fast”.  Shanghai Composite off 6.5%, HSI lower by over 2%, giving up gains accrued over last two weeks.  Weekly Jobless Claims slightly higher than expected.  Housing data later this morning, GDP revisions tomorrow.  Two game sevens in NHL semi-finals.  Volatility as an asset class:

Costco (COST) is down $1.77 to $143.55 in the premarket after reporting Q3 EPS $1.17, compared to consensus $1.16 and SSS down 1%. May weekly call option implied volatility is at 35, June is at 19, October is at 17; compared to its 90-day average of 17.

Palo Alto (PANW) is up $0.78 to $161.43 after the enterprise security software company reported Q3 results above estimates, strong guidance. May weekly call option implied volatility is at 85, June is at 30, July is at 33; compared to its 52-week range of 29 to 58.

Broadcom (BRCM) is down $0.14 to $56.96 on Avago (AVGO) acquiring for $37B in cash and stock. Broadcom May weekly call option implied volatility is at 90, June is at 55, July is at 52; compared to its 52-week range of 18 to 62.

Avago Technologies (AVGO) is higher by $4.53 to $146.04 in the premarket on purchasing Broadcom (BRCM) in a cash and stock transaction that values the combined company at $77B in enterprise value. Avago Technologies June call option implied volatility is at 62, July is at 48; compared to its 52-week range of 24 to 57.

VIX methodology for Apple (VXAPL) at 22.76, 52-week range 19.48 to 45.76 cboe.com/VXAPL

CBOE Gold Volatility Index (GVZ) at $14.08, compared to 10-day moving average of 15.27 cboe.com/GVZ

Equities options volume @ CBOE 739,801 calls, 430,444 puts, 1,170,245 total cboe.com

Options expected to be active @ CBOE: COST BRCM AVGO PANW GM SIG ULTA ANF

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 5.88 stks.co/h2GXo

CBOE S&P 500 PutWrite Index (PUT) at 1510.01 CBOE.com/PUT

‏CBOE Nasdaq-100 Volatility Index (VXN) at 13.96, compared to 10-day moving average of 14.16.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 11.93, compared to 50-day moving average of 12.75 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 25.23, compared to 10-day moving average of 26.24

iPath S&P 500 VIX Short-Term Futures (VXX) at 18.69, compared to 10-day moving average of 19.41.

CBOE Volatility Index (VIX) at 13.27, compared to 10-day moving average of 12.89 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down $0.39 to $212.28 despite a sharp selloff in China overnight. China’s market fell 6.5%, its worst selloff in four months.

Calls with increasing volume at CBOE:

MNKD 11/20/2015     4 14K contracts
HYG       7/17/2015   91 11K
AAPL      5/29/2015 132 11K
MNKD    8/21/2015     4    8K

Puts with increasing volume at CBOE:

SPY      6/5/2015  209   90K contracts
EOX1 6/19/2015 0.50   18K
EOX1 6/19/2015    1      15K
IWM   5/29/2015 121.50 15K