Blogging Options: CBOE Morning Update

Volatility as an asset class;

Zynga (ZNGA) is down 60c to $2.20 in the premarket after lowering FY12 EBITDA view to $147-$162M from prior view $180-$250M. Overall option implied volatility of 80 is above its 26-week average 76.

Facebook (FB) is down 60c to $21.34 in the premarket following Zynga (ZNGA) lowering its financial outlook. Overall option implied volatility of 53 is below its 26-week average of 56.

Constellation Brands (STZ) is up 88c to $35.60 in the premarket after reporting Q2 adjusted EPS of 71c, compared to consensus 54c. Overall option implied volatility of 41 above its 26-week average of 32.

CBOE Volatility Index (VIX) closed at 14.55. VIX closed below its 10-day moving average of 15.29 and 50-day MA of 15.68.

Calls with increasing volume at CBOE;

QQQ 11/17/2012 71 50K contracts
EMC 1/19/2013 27 18K
VXX 10/20/2012 12 13K
SPY 10/5/2012 146.5 12k
BAC 11/17/2012 10 11K
AA 10/20/2012 9 10k
AAPL 10/5/2012 675 10K

U.S. stocks are mixed to higher, improving slightly after the jobs report. The September U.S. employment report showed 114k added, slightly less than the 118k expected. July and August jobs revised higher.

Household survey, adding 873k workers, pushes jobless rate down to 7.8%. This is the largest jump in the Household Survey in 29 years.