CBOE Mid-Day Update 7.9.14

Volatility as an asset class

American Airlines (AAL) is recently up $1.34 to $41.59 as shares move off a two-month low on June carrier traffic and outlook. July and call option implied volatility is at 51, November is at 38; compared to its 26-week average of 37.

MSCI Brazil Index (EWZ) is recently up 80c to $48.55 after UBS said Brazil’s 7-1 soccer loss is bearish for stocks. July, August call option implied volatility is at 22, November is at 26; compared to its 26-week average of 25.

VIX methodology for iShares MSCI Brazil Index Fund (VXEWZ) up 20c to 24.80, near its 50-day moving average of 24.77.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently down 1c to $61.17  into the release of the FOMC Minutes to the June 17, 18 meeting. July weekly call option implied volatility is at 26, July is at 19, August is at 20, and September is at 19; compared to its 26-week average of 22.

Actives at CBOE:  AAPL TSLA TWTR AMZN FB AA GILD AMAT PBR

Stocks with increasing volume @ CBOE:  GNC LL ECA LL DDD EA NEPT BPOP

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 39c to 11.25; compared to its 10-day moving average of 10.55. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE Volatility Index (VIX) down 1.5% to 11.80. VIX July 13, 15 & 20 calls are active on 222K contracts @ CBOE cboe.com/VIX

S&P 100 Options (OEX) recently is recently up $2.60 to 871.96 into release of FOMC Minutes to the June 17, 18 meeting.