very nice, thanks for adding this.

coincidentally numpy added the same to numpy.distutils independently just a week later, though numpy also accepts an environment variable to set the number of jobs.
This is useful for e.g. pip installations where one does not control the command line. Also an environment variable allows parallel jobs in environments where it is not guaranteed that the feature is available. E.g. you could just put it into your .bashrc and when building with 3.5 it will just work and 2.7 will not fail.

Is the naming --parallel/j already fixed? I'll change the numpy options to the same name then.

Please also add it to the release notes so the feature can be discovered easier.