Blogging Options: CBOE Mid-day Update

Volatility as an asset class:
 
CBOE Volatility Index-VIX is up 13.4% to 20.70 as S&P 500 recently down sells off 1.91%. Traders are aware the VIX is trading above its 10-day moving average of 18.65 and approachingits 100-day moving average of 21.72. July 25 and August 27 calls are active on total call volume of 337K contracts (73K puts). 

Financial Select Sector-XLF July put option implied volatility is at 24, August is at 25, September is at 26: compared to its 26-week average of 23; suggesting larger outer month risk.
 
Bank put I.V.’s tick up
 
Bank of America-BAC July put option implied volatility of 39 is above its 26-week average of 32.
Citigroup-C July option implied volatility of 38 is above its 26-week average of 32.
JP Morgan (JPM) July put option implied volatility of 31 is above its 26-week average of 27.
PNC Financial (PNC) July put option implied volatility of 26 is near its 26-week average.
Wells Fargo (WFC) July put option implied volatility of 34 is near its 26-week average of 32.