CBOE Mid-Day Update 6.1.15

Volatility as an asset class

Oncothyreon Inc. (ONTY) is recently up 60c to $4.03 after announcing positive data from the company’s ongoing trials of ONT-380, an orally active, reversible and selective small-molecule HER2 inhibitor for the treatment of breast cancer, at the American Society of Clinical Oncology (ASCO) 2015 Annual Meeting.  June call option implied volatility is at 105, July is at 108, November is at 103; compared to its 52-week range of 63 to 288.

ImmunoGen, Inc. (IMGN) is recently up $5.99 to $14.95 after announcing at ASCO the first clinical findings in a disease-specific patient population with the Company’s unique, FR-targeting ADC, mirvetuximab soravtansine (abstract #5518). June call option implied volatility is at 75, July is at 74, October is at 61; compared to its 52-week range of 41 to 162.

iShare Trust NASDAQ Biotech Index Fund (IBB) is recently down 92c to $364.11 as index pulls back from record high. June weekly call option implied volatility is at 30, June and July is at 27; compared to its 52-week range of 20 to 32.

Active puts @ CBOE: SPY 6/19/15 200 EWG 7/17/15 28 CSCO 7/2/15 28.50 ADSK 6/19/15 52.50‏

Active calls @ CBOE: SPY 6/12/15 215.50 PFE 6/19/15 35 GLD 7/17/15 124 INTC 1/15/16 30

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 1% to 6.08 co/h2GXo

CBOE Crude Oil Volatility Index (OVX) up 6% to 36.04, WTI oil trades near $60.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 2% to 19.45
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL ALTR FB PFE T CSX BAC INTC C CSCO VLO BABA GILD NFLX TWTR SINA EBAY

Options with increasing volume @ CBOE: LNKD BBBY VNCE ONTY IMGN CNW TPX ENPH SWFT

CBOE Volatility Index (VIX) up 47c to 14.31, day range 13.89 – 14.86 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) down 16c to 18.85.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 66c to 14.34 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 20c to 210.94 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 93c to 927.04 as the dollar continues to move higher following a batch of better data this morning