CBOE Mid-Day Update 6.5.15

Volatility as an asset class

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 93c to $49.69 on May nonfarm payrolls rise 280K and May Unemployment at 5.5%. 6/12/15 call option implied volatility is at 30, June is at 32, September is at 33; compared to its 52-week range of 18 to 35.

IShares Barclay 20+ YR Treasury ETF (TLT) is recently down $1.25 to $117.80. 6/12/15 call option implied volatility is at 15, June and July is at 16; compared to its 52-week range of 9 to 18.

Wal-Mart (WMT) is recently up 46c to $73.70 after announcing the election of Greg Penner as new chairman into this afternoons investment community update.  6/12/15 call option implied volatility is at 15, June is at 15, July and September is at 16; compared to its 52-week range of 10 to 21.

Active calls @ CBOE: SPY 6/5/15 210 BAC 6/5/15 17 T 1/15/16 35 AAPL 6/5/15 130 XLU 6/19/15 45

Active puts @ CBOE: XLF 9/18/15 25 SPY 6/5/15 209.50 XLF 6/12/15 24.50 IWM 6/5/15 123.50 EFA 7/17/15 64

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) down 6.25% to 6.15 co/h2GXo

Russell 2000 Index (RUT) down 39c to 1,251.79 www.cboe.com/RUT

CBOE Russell 2000 Volatility Index (RVX) down 1.45% to 16.98 cboe.com/RVX

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) down 1.5% to 19.90 cboe.com/micro/eem/

CBOE Crude Oil Volatility Index (OVX) down11% to 34.23, WTI oil trades near $58.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 11% to 17.95 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL BAC FB C BABA JPM VALE NFLX TSLA MU TWTR INTC AMZN

Options with increasing volume @ CBOE: OPK ALU JOE ZOES SCHW CZR PNC ARMH CPN HOV

CBOE Volatility Index (VIX) down 1.5% to 14.49, day range 14.32 – 15.65 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) down 18c to 19.23.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 68c to 14.33 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 14c to 209.43 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 1.10 to 921.05 on May nonfarm payrolls rising 280K and May Unemployment at 5.5%.