Blogging Options: CBOE Morning Update

Volatility as an asset class

Hewlett-Packard (HPQ) is down $1.70 to $11.60 (12.8%) after taking an $8.8B charge on Autonomy accounting improprieties. Overall option implied volatility of 46 is above its 26-week average of 35.

Krispy Kreme (KKD) is up 85c to $8.39 on the company seeing FY13 EPS 44c-47c, consensus 43c. Overall option implied volatility of 42 is near its 26-week average of 44.

Nuance (NUAN) is recently down $0.32 to $21.22 after the speech-software company reported Q4 adjusted EPS 51c, consensus 48c. December call option implied volatility is at 48, January is at 43; compared to its 26-week average of 41.

CBOE Volatility Index-VIX at 15.30, up from yesterday’s 15.24 close below its 10-day moving average of 17.46, and its 50-day moving average of 16.26.

Calls with increasing volume at CBOE;

SPY 11/23/2012 139 18K contracts

EA 1/19/2013 15 12K

BAC 12/22/2012 10 9K

AAPL 11/23/2012 560 9K

MSFT 12/22/2012 28 8K

IWM 12/22/2012 80 8K

DJIA opens down 60 points, SPX off 5 points as traders react to Hewlett-Packards impairment charge.
FrAAnce lowered to AA1 from AAA.
Housing Starts jumped (but seasonally adjusted), only good news this morning.