Trains fairly empty this morning as traders return to a holiday shortened week. April Durable Goods with a 0.5% drop (off 0.4% expected), after March revised higher. Several housing reports and Consumer Confidence numbers later this morning. Nothing resolved in Greece over the weekend, European markets still jittery. ~11.5K VIX Futures trade during early session. 10-year under 2.2%, Thrilling (not good) end to BlackHawks overtime loss last night. Volatility an asset class:
Time Warner Cable is recently up $11.12 to $182.30 in the premarket on Charter (CHTR) agreeing to buy for $195.71 a share, with $100 in cash and the remainder in its own stock. Market getting mixed signals on how regulators will look at this mega-merger.
Time Warner Cable (TWC) and Charter (CHTR) volatility flat into $55B acquisition. TWC June volatility is at 30; compared to its 52-week range of 12–44. Charter (CHTR) June volatility is at 32; compared to its 52-week range of 18–47.
EMC (EMC) closed at $26.84 (indicated fractionally higher), into acquiring Virtustream, a cloud software and Infrastructure company for $1.2B. EMC June call option implied volatility is at 17; compared to its 52-week range of 14-33.
Equities options volume @ CBOE 758,622 calls, 488,171 puts, 1,246,793 total cboe.com
Options expected to be active @ CBOE: TWC CHTR WDAY KORS TIF TOL PANW COST FSLR
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6 stks.co/h2GXo
CBOE S&P 500 PutWrite Index $PUT @ 1509.97 CBOE.com/PUT
CBOE Nasdaq-100 Volatility Index (VXN) at 13.23, compared to 10-day moving average of 14.41.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 9.60, compared to 50-day moving average of 12.87 VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 25.30, compared to 10-day moving average of 26.80
iPath S&P 500 VIX Short-Term Futures (VXX) at 18.68, compared to 10-day moving average of 19.82.
CBOE Volatility Index (VIX) at 12.13, compared to 10-day moving average of 12.93 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is down $0.56 to $212.60 after Janet Yellen made clear on Friday the central bank was poised to raise interest rates this year, but also stressed that economic data would determine the tightening process.
Calls with increasing volume at CBOE Friday included:
AAPL 5/22/2015 133 28K contracts
SPY 5/22/2015 213.50 19K
BABA 7/17/2015 100 10K
FB 7/17/2015 85 10K
FXI 8/21/2015 55 10K