April PPI fell 0.4% (+0.1% expected), Core 0ff 0.2%. Orders for machinery and oil prices major contributors to drop. Weekly Jobless Claims come in less than anticipated. Slow news day so far. May option expiration tomorrow. Traders talking about $VXTYN lately. Volatility as an asset class:
Cisco (CSCO) is down $0.30 to $29.10 in the premarket after reporting Q3 EPS 54c, compared consensus of 53c. May call option implied volatility is at 69, June is at 25, July is at 21; compared to its 90-day average of 22.
J.C. Penney (JCP) is up 4c to $8.75 on less than expected Q1 EPS loss and inline revenue. (57c), consensus (77c). May call option implied volatility is at 134, June is at 57, August is at 51; compared to its 90-week average of 50.
Puma Biotechnology (PBYI) into announcing the release of four abstracts on its drug candidate PB272 (neratinib) that will be presented at the American Society of Clinical Oncology (ASCO) Annual Meeting held May 29 to June 2, 2015. May call option implied volatility is at 118, June is at 95, September is at 69; compared to its 90-day average of 79.
Equities options volume @ CBOE 796,087 calls, 449,568 puts, 1,245,655 total cboe.com
Options expected to be active @ CBOE: JCP CSCO KSS BBRY PBYI GEVO VIPS JACK
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) at 6.43 stks.co/h2GXo
CBOE Nasdaq-100 Volatility Index (VXN) at 15.62, compared to its 10-day moving average of 16.11.
CBOE S&P 500 Short-Term Volatility Index (VXST) at 13.49, compared to its 50-day moving average of 13.41. VXST is a market-based gauge of expectations of 9-day stks.co/r0CS2
Velocity Share VIX Short Term ETN (VIIX) at 27.94, compared to its 10-day moving average of 28.64.
iPath S&P 500 VIX Short-Term Futures (VXX) at 20.67, compared its 10-day moving average of 21.20.
CBOE Volatility Index (VIX) at 13.76, compared to its 50-day moving average of 14.14 cboe.com/VIX
SPDR S&P 500 ETF Trust (SPY) is up $1.22 to $211.28 as yields on German 10-year paper are recently up to 0.73%, having been as low as 0.59% on Wednesday, while U.S. 10-year notes have stabilized.
Calls with increasing volume at CBOE:
SPY 5/15/2015 210 14K contracts
BAC 5/15/2015 16 12K
AAPL 5/15/2015 127 10K
ALU 6/19/2015 2.50 10K
EEM 6/19/2015 43 9K
NRF 5/15/2015 19 9K