ADP Payroll’s for May showed a gain of 201K new jobs, somewhat tepid as 95% were in Service Sector. April ADP with a slight revision downward. Friday’s NFP still looking in + 225K range. European shares helping US Futures rally on ECB leaving rates unchanged as expected, but also hints of wiggle room on Greece debt payment due Friday. Gold & Oil lower, yields higher. Game #1 of NHL Finals tonight, Go Hawks. Volatility as an asset class
Ambarella (AMBA) is up $1.75 to $93.75 in the premarket after the producer of semiconductor processing solutions for video reported strong Q1 results and Q2 guidance. June weekly call option implied volatility is at 102, June is at 63, July is at 51; compared to its 52-week range of 42 to 72.
Wendy’s (WEN) is higher by $0.13 to $11.23 with heavt volume, on less than expected FY outlook and authorizing a new share repurchase program for up to $1.4B of the company’s common stock through the end of 2016. June call option implied volatility is at 39, July is at 32, August is at 30; compared to its 52-week range 19 to 44.
PowerShares DB US Dollar Index Up (UUP) is up $0.05 to $25.27 in the premarket on wide currency movements. June call option implied volatility is at 11, July and September is at 10; compared to its 52-week range of 5 to 12.
CBOE Russell 2000 Volatility Index (RVX) at 16.83 compared to 50-day moving average of 16.78 cboe.com/RVX
CBOE Gold Volatility Index (GVZ) at 14.86, compared to its 10-day moving average of 14.75 cboe.com/GVZ
Equities options volume @ CBOE 718,968 calls, 389,004 puts, 1,107,972 total cboe.com
Options expected to be active @ CBOE: AMZN LNKD AMBA NAV JOY FEYE
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.22 stks.co/h2GXo
CBOE S&P 500 PutWrite Index (PUT) at 1506.20 CBOE.com/PUT
CBOE Nasdaq-100 Volatility Index (VXN) at 15.46, compared to 10-day moving average of 14.33.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.92, compared to 50-day moving average of 12.74 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 25.82, compared to 10-day moving average of 25.62
iPath S&P 500 VIX Short-Term Futures (VXX) at 19.12, compared to 10-day moving average of 18.96.
CBOE Volatility Index (VIX) at 14.24, compared to 10-day moving average of 13.27 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up $0.45 to $211.84 as the ECB keeps interest rates unchanged.
Calls with increasing volume at CBOE:
SIRI 7/17/2015 4 20K contracts
SPY 6/5/2015 215.50 16K
FXI 8/21/2015 55 15K
HPQ 6/5/2015 34 12K
AAPL 6/5/2015 131 9K
FTR 8/21/2015 6 9K
C 6/19/2015 55 7K