Blogging Options: CBOE Morning Update

Australian Dollar, British Pound and Swiss Franc option implied volatility is flat into new legislative election in Greece and June option expiration

CurrencyShares Australian Dollar Trust (FXA) option implied volatility of 12 is at its 26-week average of 12.

CurrencyShares British Pound Sterling Trust (FXB) option implied volatility of 9 is at its 26-week average of 9.

CurrencyShares Swiss Franc Trust (FXF) overall option implied volatility of 13 is near its 26-week average.
 
CBOE To Introduce First Interest Rate-Based Volatility Index- $SRVX on Monday, June 18
 
The Chicago Board Options Exchange announced today that it will begin disseminating values for its first interest rate-based volatility index, the CBOE Interest Rate Volatility Index (SRVX), on Monday, June 18. The SRVX Index is designed to offer fixed income options traders and portfolio managers a standardized and transparent measure of interest rate swap volatility.

CBOE Volatility Index-VIX closed at 21.68, below its 10-day moving average is 23.41 and above its 50-day moving average is 20.42.
 
Calls with increasing volume at CBOE.
 
SPY 6/16/2012 133 42K contracts

QQQ 6/16/2012 62 26K
 
KBE 7/21/2012 21 13K
 
INTC 7/21/2012 30 12K
 
EWP 7/21/2012 26 11K

U.S. equities are higher (SPX up 5 points) but VIX up almost 1 point. Empire State Index off sharply, optimism about Central banks stepping in after Greek election Sunday. Triple Witch.