Blogging Options: CBOE Morning Update

Volatility as an asset class
 
ZyngaReports (ZNGA) is recently down $1.13 to $13.20 in the premarket on Q4 revenue $311.2M vs. $195.8M a year ago. Overall option implied volatility of 78 is above its 7-week average of 69.
 

Weight Watchers (WTW) is recently down $1.74 to $77.60 in the premarket after reporting Q4 revenue of $401.3M vs. consensus $412.1M. and plans to repurchase up to $720M shares in a “modified Dutch auction.” Overall option implied volatility of 76 is above its 26-week average of 53.

Kellogg (K) is recently up $1.70 to $52 in the premarket on the company purchasing Procter & Gamble (PG) Pringles unit for $2.7B. Overall option implied volatility of 14 is below its 26-week average of 18.
 
CBOE Volatility Index-VIX closed at 19.54, 10-day moving average is 18.51, 50-day moving average is 21.76.
 

Significant put volume increases;
 
ZNGA 2/18/2012 12 27K contracts

BAC 1/19/2013 5 14K

ZNGA 2/18/2012 13 13K

YHOO 2/18/2012 15 7K
 
AAPL 2/18/2012 500 5K

U.S. equities are higher on China’s upbeat remarks over European debt issues. Comments from Europe about delaying part of the bailout muddies the water. NY Empire Manufacturing Index exceeds expectations.
 

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