Blogging Options: CBOE Morning Update

Volatility as an asset class
Tenet Healthcare (THC) is recently up 2c to $5.67 in the premarket following the company raising FY12 adjusted EBITDA view to $1.225B-$1.35B. Overall option implied volatility of 49 is near its 26-week average of 52.
Domino’s Pizza (DPZ) is recently up up $1.62 to $35.16 in the premarket after reporting Q4 EPS 52c, consensus 49c. Overall option implied volatility of 37 is near its 26-week average. (PCLN) is recently up $41.17 to $632.66 in the premarket on better than expected Q4 results and guidance. Overall option implied volatility of 50 is above its 26-week average of 44.

Stocks with significant put volume increases;

BAC 3/17/2012 8 6K contracts

NFLX 3/2/2012 105 5K

LLY 1/19/2013 45 5K

KMI 6/16/2012 40K 5K

AEP 1/19/2013 35 5K

AAPL 3/2/2012 520 4K

VAC 7/21/2012 20 3K

SPXpm electronically-traded S&P 500 Index options (SPXpm) closed at 1367.60 ( into the February Consumer Confidence report release at 10:00 ET today. The current consensus is 64.0.

Futures took a slight hit when the Durable Goods Report showed the largest drop since Jan 2009. Consensus was for a drop of ~1%, it came in at down 4%. Machinery Orders came in with a drop of 10%.