CBOE Mid-Day Update 6.9.15

Volatility as an asset class

IShares Barclay 20+ YR Treasury ETF (TLT) is recently down 58c to $116.90 into FOMC meeting on June 16-17. June weekly call option implied volatility is at 16, June is at 17, July and August is at 16; compared to its 52-week range of 9 to 18.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 50c to $50.78. June weekly call option implied volatility is at 30, June is at 33, July is at 31, August is at 32, September is at 33; compared to its 52-week range of 18 to 35.

Burlington Stores (BURL) is recently down $5 to $48.84 after reporting less than expected Q1 results and outlook.
June call option implied volatility is at 29, July is at 27, September is at 29; compared to its 52-week range of 26 to 64.

VIX methodology for Apple (VXAPL) up 4% to $23.77  cboe.com/VXAPL

Active calls @ CBOE: SPY 7/17/15 218 QQQ 7/17/15 114 WBA 7/17/15 90 LUV 6/19/15 36.50 EBAY 10/16/15 70

Active puts @ CBOE: SPY 7/17/15 192 AAPL 6/12/15 125 RIO 6/19/15 45 QQQ 6/19/15 105

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 1% to 6.35 co/h2GXo

Russell 2000 Index (RUT) down 1.85 to 1,251.85 www.cboe.com/RUT

CBOE Russell 2000 Volatility Index (RVX) down 1.6% to 17.32 compared to its 50-day moving average of 16.79 cboe.com/RVX

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) down 0.73% to 20.41 cboe.com/micro/eem/

CBOE Crude Oil Volatility Index (OVX) down 2.5% to 33.21, WTI oil trades above $59.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 4% to 18.59 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL FB BAC MU TSLA BABA DAL NFLX INTC MNKD VZ TWTR

Options with increasing volume @ CBOE: CL VC BURL DSW UNFI BURL CMGE KANG GREK HOV LULU

CBOE Volatility Index (VIX) down 35c to 14.94, day range 14.86 – 15.74 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) down 12c to 19.35.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 61c to 15.28 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 28c to 208.21 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 1.11 to 915.52 as U.S. job openings surged to a record high in April.