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