Blogging Options: CBOE Morning Update 6.5.15

(Editors Note: Marty Kearney, Editor of CBOE OptionHub and Senior Instructor at Options Institute retires today after long (he says 100 year) option career. He hopes to contribute periodically to our blog).  May NFP reported as a gain of 280K, higher than the 240K expected (but a wide range of expectations this month).  March revised higher, April reduced fractionally. Headline Unemployment rises to 5.5%, caused by Participation Rate rising.  Average Hourly Wage up 0.3%, higher than than the +0.2% anticipated.  Will Wall Street take size of new jobs added as a sign FED could tighten sooner rather than later?

Overseas markets off.  Greece deadline postponed again, as payments due today will be bundled (terms of loans allow this) with a few more and paid at the end of the month – unless that changed.  US Futures closed at discount yesterday, look to open slightly below that. Volatility as an asset class:

The security software group will be on watch following news the FBI is probing a far-reaching data breach at the U.S. Office of Personnel Management. Officials suspect hackers based in China are behind the breach. The hack is now being called one of the largest thefts of government data ever.

Barracuda Networks, Inc. (CUDA) June call option implied volatility is at 47; compared to its 52-week range of 42 to 77.

Check Point Software Technology (CHKP) June call option implied volatility is at 20; compared to its 52-week range of 14 to 27.

CyberArk Software (CYBR) June call option implied volatility is at 59; compared to its 52-week range of 52 to 108.

FireEye (FEYE) June call option implied volatility is at 40; compared to its 52-week range of 37 to 89.

Palo Alto Networks (PANW) June call option implied volatility is at 28; compared to its 52-week range of 27 to 55.

Proofpoint, Inc. (PFPT) June call option implied volatility is at 39; compared to its 52-week range of 35 to 61.

CBOE Russell 2000 Volatility Index (RVX) at 17.23 compared to 50-day moving average of 16.83 cboe.com/RVX

CBOE Gold Volatility Index (GVZ) at 16.01, compared to its 10-day moving average of 14.75 cboe.com/GVZ

CBOE Russell 2000 BuyWrite Index (BXR) at 214.91 http://ht.ly/2ZuJ6N

Equities options volume @ CBOE 823,072 calls, 503,836 puts, 1,326,908 total cboe.com

Options expected to be active @ CBOE: PANW FEYE CUDA CHKP CYBR CSCO NBG GREK

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.56 stks.co/h2GXo

‏CBOE Nasdaq-100 Volatility Index (VXN) at 15.79, compared to 10-day moving average of 14.60.

CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.02, compared to 50-day moving average of 12.81 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2

Velocity Share VIX Short Term ETN (VIIX) at 26.25, compared to 10-day moving average of 25.61

iPath S&P 500 VIX Short-Term Futures (VXX) at 19.41, compared to 10-day moving average of 18.95.

CBOE Volatility Index (VIX) at 14.71, compared to 10-day moving average of 13.53 cboe.com/VIX

SPDR S&P 500 ETF Trust (SPY) is down 46c to $209.81 into May U.S. non-farm payroll report.

Calls with increasing volume at CBOE:
CSCO  8/21/2015   30 77K contracts
AAPL     6/5/2015 130 12K
SPY        6/5/2015 212 10K
LNG     1/15/2016   75 10K
PBR      6/19/2015 8.50 6K