Blogging Options: CBOE Afternoon Update

Volatility as an asset class

Barnes & Noble (BKS) is up $0.90 to $15.24 after the company announced that its holiday sales would be lower than expected, but also said that British publishing company Pearson (PSO) would invest $89.5M in the American retailer’s NOOK unit. January call option implied volatility is at 49, February is at 51, April is at 53; below 59, its 26-week average.

Hewlett-Packard (HPQ) is down $0.29 to $13.75 after disclosing in its 10k filing last night that the Department of Justice has begun an investigation into the company’s acquisition of Autonomy. January put option implied volatility is at 41, February is at 45, May is at 44; compared to its 26-week average of 38.

Apple (AAPL) is off $3.00 to $512.06, after trading below $310 earlier today. January put option implied volatility is at 37, February is at 43, March is at 39, April is at 39; above its 26-week average of 32.

CBOE Volatility Index (VIX) is recently up 3.4% to 20.14. VIX January 20 and 24 calls are active on total option volume of 179K contacts at the CBOE.

S&P 100 Options (OEX) is recently down 0.5% to $640.14 at midday, off lows, on continued uncertainty surrounding the fiscal cliff.

A slightly bullish Chicago PMI (51.6%, up from 50.4% in Nov and above 51.2% extimates) isn’t helping market.