CBOE Mid-Day Update 3.12.15

Volatility as an asset class

Volatility has increased for currencies as the euro trades near a 12-year low.

Euro Currency Trust (FXE) is recently up 79c to $104.45.  March weekly call option implied volatility is at 21, March is at 16, April is at 12, June is at 10; compared to its 26-week average of 10 according to Track Data, suggesting large near term price movement.

PowerShares DB US Dollar Index Up (UUP) is recently down 16c to $26.20. Overall option implied volatility of 10 compares to its 26-week average of 9.

PowerShares DB US Dollar Index Down (UDN) is recently up 9c to $21.34. Overall option implied volatility of 11 compares to its 26-week average of 9.

ProShares UltraShort Euro (EUO) is recently down 45c to $27.26. Overall option implied volatility of 25 is compares to its 26-week average of 19.

CBOE EuroCurrency ETF Volatility Index (EVZ) down 3.7% to 13.57 compared to its 10-day moving average of 11.47

CBOE Mini-SPX options (XSP) up 1% to 205.95 204 http://www.cboe.com/micro/xsp/

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 0.35% to 5.8 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 2.48% to 24.37.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL C BAC TEVA TWTR MRK HPQ NFLX SLXP INTC

Options with increasing volume @ CBOE: MEIP LXK CUR ARO ONTY BLL QIWI ACAD AMRN JASO

CBOE Volatility Index (VIX) down 1.07% to 15.80, high 16.40, low 15.65, March 16 and 17 puts are active on total volume of 177K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 3.42% to 28.24.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.3% to 15.39; compared to its 50-day moving average of 15.89. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.93% to 267.09 compared to its 50-day moving average of 264.93 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently up 1.91 to 206.42 as February retail sales decreased.