Blogging Options: CBOE Morning Update

Volatility as an asset class

Tyson Foods (TSN) is recently up 48c to $19.10 on Q1 EPS 42c vs. consensus 33c. February put option implied volatility is at 36, April is at 27; compared to its 26-week average of 33.
Estee Lauder (EL) is recently down $4.21 to $54.70 after reporting Q2 adjusted EPS $1.01 vs. consensus $1.01. Overall option implied volatility of 36 is near its 26-week average of 35.
IShares Barclay 20+ YR Treasury (TLT) is recently down 2.11 to 117.02 on a better than expected January employment report. Overall option implied volatility of 16 is below its 26-week average of 19.
U.S. equities are recently up in the pre-market on a January unemployment rate at 8.3%.
Significant put volume increases;

XOM 2/3/2012 82.5 7K contracts
EA 2/18/2012 18 4K
AMZN 2/3/2012 175 4K
PFE 2/18/2012 21 3K
AAPL 2/3/2012 455 3K
NUE 3/17/2012 41 3K
ZNGA 2/18/2012 12 2K
TLT 6/16/2012 115 2K
MSFT 1/19/2013 25 2K
SLB 2/3/2012 75 2504

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