CBOE Mid-Day Update 5.18.15

Volatility as an asset class

S&P 500 ticks new life high

The S&P 500 (SPY) index has ticked a marginal new life high at 2127.45. May weekly and June call option implied volatility is at 11; compared to its 90-day average of 13.

Technology Sector SPDR (XLK) May weekly and June call option implied volatility is at 13; compared to its 90-day average of 15.

Financial Sector SPDR (XLF) May weekly and June call option implied volatility is at 14; compared to its 90-day average of 14.

Consumer Discretionary SPDR (XLY) May weekly and June call option implied volatility is at 14; compared to its 90-day average of 14.

Health Care SPDR (XLV) May weekly call option implied volatility is at 14, June is at 13; compared to its 90-day average of 15.

Active calls @ CBOE: GLD 6/19/15 125. PBR 6/19/15 11. ACHN 9/18/15 15. EEM 6/19/15 44.50, AAPL 5/22/15 130, TWTR 1/15/16 55. DISH 6/19/15 70, BG 6/19/15 92.50

Active puts @ CBOE: RIG 6/19/15 14, SPY 5/29/15 204, IWM 7/17/15 112

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 0.33% to 6.02 stks.co/h2GXo

CBOE Crude Oil Volatility Index (OVX) up 3% to 30.97, WTI oil trades near $60.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 7% to 19.52
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL FB BAC MSFT RIG T PBR CSCO BABA MU

Options with increasing volume @ CBOE: ASNA LAZ GTI CBRL ANN ISSI ANET HTS URBN LVLT

CBOE Volatility Index (VIX) up 41c to 12.79, day range 12.75 – 13.22 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 32c to 19.73.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 44c to 11.19; compared to its 10-day moving average of 13.23 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 42c to 212.69 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 1.33 to 934.43 as Apple climbs 1% $130.01.