CBOE Mid-Day Update 3.16.15

Volatility as an asset class

Procter & Gamble (PG) is recently up $1.64 to $83.46 on weighs deal for beauty brands, Bloomberg reports. March call option implied volatility is at 20, April and March is at 15; compared to its 26-week average of 15.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently down 90c to $43.82 into the FOMC policy meeting decision on March 18. March call option implied volatility is at 44, April is at 31, June is at 29; compared to its 26-week average of 26.

Life Time Fitness (LTM) is recently up $3.41 to $70.61 on Leonard Green & Partners and TPG acquiring all of the outstanding shares for $72.10 per share in cash.  March call option implied volatility of 12, May is at 15 compared to its 26-week average of 34.

CBOE EuroCurrency ETF Volatility Index (EVZ) down 3% to 13.80 compared to its 10-day moving average of 12.20.
CBOE Mini-SPX options (XSP) up 1.1% to 207.55 http://www.cboe.com/micro/xsp/

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 3.15% to 5.89 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.7% to 24.30.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL C NFLX TWTR TSLA KO AMAT GILD

Options with increasing volume @ CBOE: MGM CVC LTM ARP WUBA EW PH SLXP MTL AMRN JMEI

CBOE Volatility Index (VIX) down 2.7% to 15.56, high 15.89, low 15.47, March 16 and 17 calls are active on total volume of 137K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 2.8% to 27.30.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 4.6% to 15.94; compared to its 50-day moving average of 15.85. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.8% to 268.42 compared to its 50-day moving average of 265.03 cboe.com/micro/bxd/

S&P 100 Options (OEX) is recently up 8.60 to 910.16 as oil trends lower and weak U.S. factory data suggesting soft economic growth.