Blogging Options: CBOE Morning Update

Volatility as an asset class

Amazon.com (AMZN) is recently down $18.17 to $176.11 in the pre-market on disappointing Q4 revenue and guidance. February call option implied volatility is at 45, March is at 37; compared to its 26-week average of 40.
 
Broadcom (BRCM) is recently up $1.35 to $35.70 in the pre-market on better than expected results and guidance. February call option implied volatility is at 45, March is at 39; compared to its 26-week average of 42.
 
Seagate (STX) is recently up $1.96 to $23.10 in the pre-market on better than expected Q2 results and top-line guidance. February put option implied volatility is at 59, March is at 48; compared to its 26-week average of 47.
 
 
Significant put volume increases;

LVS 2/3/2012 48.0000 7K contracts

SLB 5/19/2012 55.0000 7K

FXY 3/17/2012 129.0000 5K

UPL 6/16/2012 26.0000 5K
 
KRE 6/16/2012 25.0000 5K

EA 2/18/2012 18.0000 4K
 
S&P futures are up 8.10, the DAX 30 is higher by 2%. ADP Employment number hits consensus, last month revised lower.