Blogging Options: CBOE Morning Update

Volatility as an asset class

RF Micro Devices (RFMD) is recently trading down $1.03 to $4.60 following the company lowering its December quarter guidance. Overall option implied volatility of 51 is below its 26-week average of 56.
Alcoa (AA) is recently down 26c to $9.10 in pre-open trading following the company announcing the closing of 531,000 metric tons of smelting capacity and the expectations of a Q4 charge. Overall option implied volatility of 46 compares to its 26-week average of 44.
Proshares UltraShort Barc 20 Year Treasury ETF (TBT) overall option implied volatility of 38 is below its 26-week average of 42 into December jobs report.
CBOE significant put volume increases;
BAC 1/6/2012 6 23K contracts

WMB1 1/21/2012 30 10K
MON 1/21/2012 62.5 7K
WFC 1/21/2012 28 3K
AAPL 1/6/2012 410 3K
GM 2/18/2012 21 3K
NFLX 1/6/2012 75 3K
CBOE Volatility Index-VIX closed at 21.47, 10-day moving average is 22.14, 50-day moving average is 28.10.
U.S. equities are mixed into the December U.S. employment report.

Payrolls rose by 200k jobs. The jobless rate fell to 8.5%. Both of these were better than the consensus estimate. US stock futures up modestly.