  We have obtained $> 10$ hours of medium resolution ($R \sim 15000$)
spectroscopic exposures on the transiting exoplanet host star WASP-12,
including $\sim2$ hours while its planet, WASP-12b, is in transit, with the
Hobby-Eberly Telescope (HET). The out-of-transit and in-transit spectra are
coadded into master out-of-transit and in-transit spectra, from which we create
a master transmission spectrum. Strong, statistically significant absorption
features are seen in the transmission spectrum at H$\alpha$ and \ion{Na}{1}
(the Na D doublet). There is the suggestion of pre- and post-transit absorption
in both H$\alpha$ and \ion{Na}{1} when the transmission spectrum is examined as
a function of phase. The timing of the pre-transit absorption is roughly
consistent with previous results for metal absorption in WASP-12b, and the
level of the \ion{Na}{1} absorption is consistent with a previous tentative
detection. No absorption is seen in the control line of \ion{Ca}{1} at
$\lambda$6122. We discuss in particular whether or not the WASP-12b H$\alpha$
absorption signal is of circumplanetary origin---an interpretation that is
bolstered by the pre- and post-transit evidence---which would make it one of
only a small number of detections of circumplanetary H$\alpha$ absorption in an
exoplanet to date, the most well-studied being HD 189733b. We further discuss
the notable differences between the HD 189733 and WASP-12 systems, and the
implications for a physical understanding of the origin of the absorption.
