Blogging Options: CBOE Midday Update 6.24.13

Volatility as an asset class

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 0.3% to $75.48. June weekly call option implied volatility is at 54, July is at 40, August is at 39; above its 26-week average of 27.

IShares Barclay 20+ YR Treasury ETF (TLT) is recently down 0.2% to $108.21. June weekly call option implied volatility is at 28, July and August is at 19, September is at 17; above its 26-week average of 13.

ProShares UltraShort Lehman 7-10 Yr ETF (PST) is recently up 0.7% to $30.02. July call option implied volatility is at 16, August is at 15, October is at 14; above its 26-week average of 12.

iShares S&P National Municipal Bond Fund (MUB) is recently down 1.5% to $100.72. July call option implied volatility is at 24, August is at 19, November is at 13; above its 26-week average of 7.

ProShares Short 20+ Year Treasury ETF (TBF) is recently up 0.1% to $32.02. July call option implied volatility is at 18, August is at 16; above its 26-week average of 14.

SPDR Lehman High Yield Bond (JNK) is recently down 1.2% to $38.69. July and August call option implied volatility is at 14, September is at 11; compared to its 26-week average of 11.

CBOE Interest Rate 5 Year Note (FVX) is recently up 5.7% to 14.86; above its 50-day moving average of 8.97.

CBOE 30-Year Treasury Bond (TYX) is recently up 1.1% to 36.08; above its 50-day moving average of 31.38.

CBOE Gold ETF Volatility Index (GVZ) is recently down 3.9% to $26.12‏.

CBOE Emerging Markets ETF Volatility Index (VXEEM) is recently up 11% to 37.32.
‏VIX methodology for iShares Trust FTSE China 25 Index Fund (VXFXI) is recently up 11.8% to 35.31‏.

Actives:  AAPL C PFE GOOG BAC LVS TSLA GOOG CLF ABX ARMH

CBOE Volatility Index (VIX) is recently up 1.60 to 20.50. VIX July 20 and 27 calls are active on total option volume of 198K contacts at the CBOE.

S&P 100 Options (OEX) is recently down $13.12 to $704.46 as Chinese stocks enter bear market.