CBOE Mid-Day Update 4.13.15

Volatility as an asset class

JP Morgan (JPM) is recently up 43c to $62.13 into the expected release of Q1 results on April 14.  April call option implied volatility is at 29, May is at 18, June and September is at 17; compared to its 26-week average of 20.

Wells Fargo (WFC) is recently up 28c to $54.60 in the expected release of Q1 results on April 14. April call option implied volatility is at 27, May is at 17, June is at 15; compared to its 26-week average of 17.

IShares Barclay 20+ YR Treasury ETF (TLT) is recently up 3c to $129.65 as Treasury rates trade near record low. April call option implied volatility is at 14, May and June is at 13; compared to its 26-week average of 14.

CBOE Russell 2000 Volatility Index (RVX) up 2.1% to 15.79, compared to its 50-day moving average of 18.06. www.cboe.com/RVX
CBOE Emerging Markets ETF Volatility Index (VXEEM) up 0.8% to 18.89; compared to its 50-day MA 19.58 cboe.com/VXEEM‏

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 1.80% to 5.10 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) up 3.2% to 44.38 compared to its 10-day moving average of 48.31 as WTI oil trades near $52.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.2% to 19.67 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TSLA TWTR PBR AMZN NFLX PBR RIG CLF GILD

Options with increasing volume @ CBOE: ALNY SQNM EXPD SYK NSAM OKS IP CLVS AVG MDCO

CBOE Volatility Index (VIX) up 7.2% to 13.49, high 13.49, low 12.71, April 13 14 & 14.5 puts active on total volume of 296K cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 7c to 22.05.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 16.9% to 11.58; compared to its 50-day moving average of 13.87 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 5c to 273.35 compared to its 50-day moving average of 267.92 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) up 5c to 210.25 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 26c to 918.98 as oil trends up to $52.