Blogging Options: CBOE Morning Update

Volatility as an asset class
 
Best Buy (BBY) was up $1.00 to $27.69 in the premarket after reporting Q4 adjusted EPS $2.47, consensus $2.16. April call option implied volatility is at 46, May and June is at 37; compared to its 26-week average of 36. After the bell BBY was off over 1 point, as store closings and layoffs were announced.
 
Illumina (ILMN) is recently up $1.62 to $51.50 in the premarket on Roche (RHHBY) increasing offer price for Illumina to $51.00 per share in cash. Overall option implied volatility of 42 is below its 26-week average of 49.
 
CBOE Volatility Index-VIX closed at 15.47, 10-day moving average is 15.13, 50-day moving average is 17.67.
 

Stocks with significant put volume increases;
 
PCS 5/19/2012 9 17K contracts
 
LEAP 5/19/2012 9 17K
 
SLW 4/21/2012 33 10K
 
AAPL 3/30/2012 615 9K

AMLN 4/21/2012 15 6K

U.S. equities were mixed ahead of the announcement of the GDP and personal consumption data for the fourth quarter, but GDP (+3.0%, slightly below the 3.1% estimate) disappointed analysts. The weekly jobless claims report, was better, in line with estimates. VIX at 16.75, up 1.25, an 8% pop. Profit taking into end of Quarter?