ADP March Employment disappointed big-time, showing a gain of 189K new jobs. Lowest read in over a year, less than the ~225K expected. Yields getting crushed pre-market. PMI and ISM due in first half-hour of trading. European shares mixed to higher. VIX Futures active in early session with ~18K trading hands. Free webinar after the close, 3:30 CDT at cboe.com on Russell (RUT) options. GoDaddy (GDDY) IPO today, we hear $20 was the IPO price. Volatility as an asset class:
Monsanto (MON) is up $0.86 to $113.40 in the premarket after reporting Q2 ongoing EPS of $2.90, compared to consensus $2.93. April weekly call option implied volatility is at 63, April is at 23, July is at 18; compared to its 26-week average of 18.
Sears Holdings (SHLD) is up $3.22 to $44.60 on announcing with General Growth Properties (GGP) that they have entered into a real estate joint venture under which Sears Holdings has contributed to the JV 12 Sears Holdings properties located at GGP malls. Overall option implied volatility of 51 compares to its 26-week average of 61.
VIX methodology for Apple (VXAPL) at 31.23, compared to 10-day MA of 28.21.
CBOE Crude Oil Volatility Index (OVX) at 53.72 compared to its 50-day moving average of 54.76, WTI Crude oil near $48. CBOE.com/OVX
Equity Options Volume @ CBOE; 663,299 calls, 433,090 puts, 1,096,389 total cboe.com
Options expected to be active @ CBOE: MAC SPG SHLD MON WMT KMX MU
CBOE S&P 500 Skew Index (SKEW) at 120.35. SKEW measures the purchase of out-of-the-money S&P 500 Index puts that require a very large downside move to profit from long put positions. An increase of this index indicates greater expectations for an extreme down move.
CBOE S&P 500 95-110 Collar Index CLL @ 674.10 www.cboe.com/CLL
CBOE S&P 500 BuyWrite Index (BXM) at 1097.55, compared to its 50-day moving average of 10986.95. cboe.com/bxm
CBOE DJIA BuyWrite Index (BXD) at 268.82, compared to its 50-day moving average of 266.55. cboe.com/micro/bxd/
CBOE Nasdaq-100 Volatility Index (VXN) at 17.29, compared to its 10-day moving average of 15.76
CBOE S&P 500 Short-Term Volatility Index (VXST) at 15.50, compared to its 50-day moving average of 14.77.
VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 34.54, compared to its 50-day moving average of 40.07.
iPath S&P 500 VIX Short-Term Futures (VXX) at 25.89, compared its 50-day moving average of 29.47
CBOE Volatility Index (VIX) at 15.29, compared to its 50-day moving average of 15.85 cboe.com/VIX
CBOE Volatility Index (VIX) Put/Call Ratio 0.29 cboe.com
SPDR S&P 500 ETF Trust (SPY) is down 57c to $205.88 as the market kicks off the second quarter. The first quarter ended yesterday with a selloff and another triple digit move in the Dow.
Calls with increasing volume at CBOE:
SPY 6/19/2015 215 54K contracts
IWM 5/15/2015 127 15K
AAPL 5/1/2015 131 14K
SPY 3/31/2015 208 11K
QQQ 5/15/2015 109 10K