CBOE Mid-Day Update 6.3.15

Volatility as an asset class

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up $1.35 to $50.08 as traders react to expectations of the FOMC raising rates. June weekly call option implied volatility is at 42, June is at 34, September is at 33; compared to its 52-week range of 18 to 35.

IShares Barclay 20+ YR Treasury ETF volatility elevated (TLT) is recently down $1.94 to $117.48.  June weekly call option implied volatility is at 21, June is at 17, July is at 16; compared to its 52-week range of 9 to 18.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 7.23% to 6.67 co/h2GXo

Active calls @ CBOE: T 7/17/15 35 QQQ 1/15/16 110 BAC 6/12/15 17 AAPL 6/5/15 130 UPS 10/16/15 100

Active puts @ CBOE: VXX 1/15/16 20 SPY 6/5/15 212 WETF 6/19/15 21 SLV 10/16/15 13 TLT 7/17/15 119 LNG 9/18/15 70

Russell 2000 (IWM) up $1.07 to $125.59 www.cboe.com/IWM

CBOE Russell 2000 Volatility Index (RVX) is recently down 2.5% to 16.22.

iShares MSCI Emerging Markets Index (EEM) down19c to $40.93 cboe.com/EEM

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) down 4c to 18.78 cboe.com/micro/eem/

CBOE Crude Oil Volatility Index (OVX) up 5% to 37.52, WTI oil trades near $59.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 3% to 19.26 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: Active equity options trading on open: AAPL BAC FB DAL C TWTR VALE ZNGA CHK LNKD INTC X AIG

Options with increasing volume @ CBOE: HOT WEN EAT TJX ALGN NUAN QUNR ZNGA

CBOE Volatility Index (VIX) down 9c to 14.16, day range 13.40 – 14.19 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) down 14c to 18.98.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 27c to 13.74 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 23c to 211.18 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 2.91 to 930.11 as Greece worries decrease, U.S. economic data as treasury prices decrease.