Blogging Options: CBOE Mid-day Update

Volatility as an asset class:
S&P 500 (SPY) is recently up 2% on positive developments from the European Summit.
MSCI Spain Index ETF (EWP) is recently $1.61 to $24.73 following European policy makers easing repayment conditions for Spanish banks. August and October call option implied volatility is at 34, January is at 35; near its 26-week average of 35.

iShares Silver Trust (SLV) is recently up $1.03 to $26.65 as silver rally’s 4.48%. Overall implied volatility of 36 is above its 26-week average of 34.

S&P 100 Options (OEX) July weekly 620 straddle is at $9.40, July standard 620 is at $17.95, August 620 is at $29.60. OEX July 580 weekly puts and August 640 calls are active on total CBOE volume of 12,400 contracts.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 85c to 15.41. Overall option implied volatility of 83 compares to its 26-week average of 84. June 15 call and puts are active on total CBOE volume of 74K contracts.

CBOE Volatility Index (VIX) is recently down $1.48 to 18.23. July 23 and 32 calls are active on total volume of 191K contacts at the CBOE. VIX is trading below its 10-day moving average of 18.95 and its 50-day MA of 20.55.