Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Ann Taylor (ANN) is recently up 69c to $26.50 in the premarket after the company reported Q4 EPS 10c, consensus 9c. Overall option implied volatility of 47 is near its 26-week average of 50.

Ulta Salon.com (ULTA) is recently up 73c to $90 in the premarket after guiding Q1 EPS 46c-48c, consensus 45c. Overall option implied volatility of 45 is below its 26-week average of 53.

Green Mountain Coffee (GMCR) is recently down $8.80 to $53.60 in the premarket after Starbucks (SBUX) said it will roll out a new initiative in the premium single-cup coffee category. Overall option implied volatility of 58 is below its 26-week average of 71.

CBOE Volatility Index-VIX closed at 17.95, 10-day moving average is 18.23, 50-day moving average is 19.49.
 
 
Stocks with significant put volume increases;

DHI 4/21/2012 14 20K contracts

AAPL 3/9/2012 535 10K

BAX 5/19/2012 55 8K

ABC 3/17/2012 36 7K

BAC 3/9/2012 8 6K

SIRI 3/17/2012 2 4K

February Employment numbers released in mid-high end of expected range. Feb.Unemployment rate at 8.3%, unchanged from Jan. Non-Farm Payrolls for Feb +227k. S&P Futures +4.40, DJIA Futures up 35 points.