Greek creditors and government officials exchanging “final” offers, with markets weighing leaked details from both sides. Will this finally be resolved? Overseas markets mostly lower, 10-year yield up to 2.24%. Richard Croft, R. N. Croft Financial, spoke at Option Education Day Forum in Vancouver last Saturday, saying Covered Write on stocks through August his choice, and buying calls due to low volatility when FED tightens (Sept.?) as earnings improve in Q3 & Q4. Volatility as an asset class:
PVH Corp. (PVH) is up $3.70 to $108.40 in the premarket after the global apparel company beat Q1 EPS and boosted FY15 outlook. June call option implied volatility is at 39, July is at 31; compared to its 52-week range of 18 to 39.
Tesla (TSLA) is up down $0.75 to $248.70 as shares approach record high of $291.42. June weekly call option implied volatility is at 31, June is at 30, July is at 34, September is at 36; compared to its 52-week range of average of 29 to 62, suggesting decreasing price movement.
Global X FTSE Greece 20 ETF (GREK) closed at $12.20 on continued Greece funding uncertainty. June call option implied volatility is at 77, July is at 74, September is at 67; compared to a one-month ago level of 61.
CBOE Russell 2000 Volatility Index (RVX) at 16.58 compared to 50-day moving average of 16.75 cboe.com/RVX
CBOE Gold Volatility Index (GVZ) at 14.88, compared to its 10-day moving average of 14.84 cboe.com/GVZ
Equities options volume @ CBOE 795,045 call, 524,175 puts, 1,319,220 total cboe.com
Options expected to be active @ CBOE: PVH GM F NAV JOY FEYE CONN
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.10 stks.co/h2GXo
CBOE S&P 500 PutWrite Index (PUT) at 1506.70 CBOE.com/PUT
CBOE Nasdaq-100 Volatility Index (VXN) at 14.98, compared to 10-day moving average of 14.18.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.85, compared to 50-day moving average of 12.68 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 25.48, compared to 10-day moving average of 25.66
iPath S&P 500 VIX Short-Term Futures (VXX) at 18.84, compared to 10-day moving average of 18.99.
CBOE Volatility Index (VIX) at 13.97, compared to 10-day moving average of 13.12 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down 52c to $211.54 as European share pull back on Greece debt uncertainty.
Calls with increasing volume at CBOE:
SPY 6/12/2015 215.50 18K contracts
SO 7/17/2015 46 12K
AAPL 6/5/2015 131 9K
PFE 6/19/2015 35 8K
GLD 7/17/2015 124 7K