Breaking News

Tweet TWEET

U.S. Stock Options With Biggest Changes in Implied Volatility

The following are the U.S. stock options that had the biggest percentage changes in implied volatility from the previous trading day as of 3:00 p.m. in New York. This {OSCH <GO>} search was limited to options that are more than 10 days from expiration, have trading volume of at least 500 contracts and have strike prices within 5 percent of the underlying security's price.


Top Volatility Increases

                          Contract         %Chg  Impl.
Ticker    Name            Description       Vol.  Vol.   Price  %Chg  Volume
============================================================================
JNJ    JOHNSON&JOHNS   JNJ US  3/10 P65     97.5  13.8   1.86     6.3   1178
TMO    THERMO FISHER   TMO US  3/10 C50     46.2  28.2   0.65     0.0   5722
TMO    THERMO FISHER   TMO US  3/10 P50     35.8  29.5   3.80   143.6    553
SII    SMITH INTL IN   VID US  1/11 C40     23.6  31.2   5.00    83.8    592
NVS    NOVARTIS AG-A   NVS US  3/10 C55     22.8  19.3   0.55   -23.6    664
SE     SPECTRA ENERG   SE US  3/10 C22.5    21.2  23.3   0.20    33.3   2064
SLXP   SALIX PHARM     PQN US  3/10 P25     19.7 142.0   3.90    25.8    561
MDT    MEDTRONIC INC   JIW US  3/10 C42     17.9  31.4   2.20    -7.2   1850
EFA    ISHARES-MSCI    ZTI US  1/11 P53     15.6  28.8   5.65   -14.4   2774
DBO    POWERSHARES D   DNW US  3/10 C27     14.8  27.8   0.85     0.0   2581
SLXP   SALIX PHARM     PQN US  3/10 C25     14.6 136.2   3.20   -13.5  11561
ENER   ENERGY CONV D   EQI US  3/10 C8      13.5  69.8   0.40    33.3   2219
DIA    DIAMONDS TRUS   DIA US  3/10 P106    13.5  14.0   2.80    -1.4    691
PALM   PALM INC        UPY US  3/10 P9      13.3  94.6   0.81    20.9  10541
TEVA   TEVA PHARM-AD   TVQ US  3/10 P60     12.9  18.6   1.40   -27.5    505
DNDN   DENDREON CORP   UQB US  3/10 P33     11.9  62.9   2.10    -9.5   1737
SAY    SATYAM COMP-A   SAY US  7/10 C5      11.6  63.5   0.95     0.0    979
IRM    IRON MOUNTAIN   IRM US  3/10 C25     11.6  33.3   0.40   -33.3   1491
TJX    TJX COS INC     TJX US  3/10 C40     11.1  25.8   0.80    23.1   3119
ELN    ELAN CORP-ADR   ELN US  3/10 C7      10.8  49.3   0.30   -25.0    918
TEG    INTEGRYS ENER   TEG US  3/10 P45     10.8  27.6   1.20   -68.4    718
GNW    GENWORTH FINA   GNW US  3/10 P16     10.6  47.1   0.86   -25.9   1200
LPHI   LIFE PARTNERS   ICU US  4/10 P20     10.5  68.9   2.05    24.2    850
SCHW   SCHWAB (CHARL   SHQ US  3/10 C19     10.5  26.4   0.38     8.6    694
SQNM   SEQUENOM INC    QJQ US  3/10 C6      10.4 109.9   0.60    81.8   2697
ITMN   INTERMUNE INC   IQY US  3/10 P15     10.4 276.4   4.20     5.0    613
SQNM   SEQUENOM INC    QJQ US  3/10 P6      10.3 109.7   0.74   -28.2    822
HEI    HEICO CORP      HEI US  3/10 P45     10.0  39.3   1.40   -50.9   1000

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================ ONTY ONCOTHYREON I KKQ US 3/10 C5 -35.6 46.8 0.15 -57.1 653 SPY SPDR S&P 500 SPY US 3/10 P116 -30.8 14.1 5.41 -2.5 2308 XLU SPDR-UTIL SEL XLU US 3/10 P30 -29.3 15.2 0.82 -2.4 597 SPY SPDR S&P 500 SPY US 3/10 P115 -26.3 14.3 4.55 -7.0 1993 LOW LOWE'S COS IN LOW US 3/10 C23 -23.3 23.8 0.64 -21.9 5717 SPY SPDR S&P 500 SPY US 3/10 P114 -23.2 14.8 3.74 -7.9 2154 PWR QUANTA SERVIC PWR US 3/10 C20 -22.9 31.0 0.40 166.7 1627 LOW LOWE'S COS IN LOW US 3/10 P23 -22.1 23.9 0.50 -31.5 4785 VCI VALASSIS COMM VCI US 3/10 C25 -22.1 51.6 1.20 -58.6 770 LOW LOWE'S COS IN LOW US 3/10 C24 -21.8 22.2 0.20 -46.0 793 SII SMITH INTL IN SIK US 3/10 C40 -21.0 29.2 1.70 183.3 6133 QQQQ POWERSH-QQQ QQQ US 3/10 P47 -20.6 15.3 2.34 -1.3 929 CGA CHINA GREEN A CGA US 3/10 C15 -20.4 44.9 0.50 0.0 740 STE STERIS CORP STE US 3/10 C30 -20.3 30.5 1.80 12.5 1100 JNJ JOHNSON&JOHNS JNJ US 3/10 C65 -19.5 13.8 0.37 -32.7 6800 WEN WENDY'S/ARBY' WEN US 3/10 C5 -19.1 35.4 0.10 -33.3 1015 SPY SPDR S&P 500 SPY US 3/10 P113 -18.9 15.4 3.07 -10.8 13793 UYG PROSHARES ULT UUF US 3/10 C6 -17.6 34.8 0.11 10.0 6429 NEP CHINA NORTH E NEP US 3/10 C10 -17.0 52.4 0.45 -25.0 538 WIN WINDSTREAM CO WIN US 3/10 P10 -16.8 25.0 0.15 0.0 929 FWRD FORWARD AIR C FQX US 3/10 C25 -16.7 29.5 0.35 -12.5 651 JNJ JOHNSON&JOHNS JNJ US 4/10 C65 -16.6 14.4 0.78 -23.5 1458 XLF SPDR-FINL SEL XJZ US 3/10 P15 -16.5 22.2 0.55 -26.7 10387 SPY SPDR S&P 500 SPY US 3/10 P112 -16.5 15.9 2.50 -10.1 10329 XLI SPDR-INDU SEL XDL US 3/10 P29 -16.3 17.9 0.66 -14.3 728 KFT KRAFT FOODS I KFT US 3/10 P28 -16.2 16.9 0.20 -23.1 1311 DIA DIAMONDS TRUS DIA US 4/10 C100 -15.1 17.7 5.12 -5.2 2166 HW HEADWATERS IN HW US 3/10 C5 -15.0 51.7 0.20 -33.3 632 MBI MBIA INC MBI US 3/10 C5 -15.0 66.3 0.30 -25.0 757 DCO DUCOMMUN INC DCO US 3/10 P17.5 -14.9 45.2 1.15 -23.3 2005 XLU SPDR-UTIL SEL XLU US 6/10 P30 -14.9 16.7 1.57 -17.4 500 QQQQ POWERSH-QQQ QQQ US 3/10 P46 -14.6 15.9 1.54 -4.9 5144 SPY SPDR S&P 500 SPY US 3/10 P111 -14.4 16.6 2.01 -12.6 26213 TEN TENNECO INC TEN US 3/10 C20 -13.8 48.9 0.90 -10.0 518 TXT TEXTRON INC TXY US 3/10 C21 -13.8 37.5 0.40 -11.1 711 FNM FANNIE MAE NJW US 3/10 C1 -13.4 61.8 0.06 -40.0 603 JASO JA SOLAR HOL- QJP US 3/10 C5 -13.2 71.9 0.40 -21.6 828 SPY SPDR S&P 500 SPY US 3/10 P110 -12.9 17.4 1.61 -14.4 31427 DIA DIAMONDS TRUS DIA US 4/10 C103 -12.9 16.0 3.05 -6.2 2272 DIA DIAMONDS TRUS DIA US 3/10 C105 -12.7 13.8 1.13 -5.0 1720 DIA DIAMONDS TRUS DIA US 3/10 C104 -12.6 14.8 1.65 -5.7 1491 DDR DEVELOPERS DI DDR US 3/10 C10 -12.5 41.6 0.45 0.0 573 TXT TEXTRON INC TXY US 3/10 C20 -12.5 39.3 0.85 0.0 861 AVP AVON PRODUCTS AVP US 3/10 C30 -12.4 26.6 1.03 3.0 892 SLB SCHLUMBERGER SLB US 3/10 P60 -12.1 30.1 1.25 38.9 11806 DIA DIAMONDS TRUS DIA US 3/10 C106 -11.9 13.2 0.72 -8.9 2012 LEN LENNAR CORP-C LEN US 3/10 P17 -11.7 43.0 0.74 5.7 979 DIA DIAMONDS TRUS DIA US 4/10 C104 -11.6 15.4 2.42 -5.8 2874 STEC STEC INC SQR US 3/10 C14 -11.5 85.1 1.01 -9.0 1525 LOW LOWE'S COS IN LOW US 4/10 C24 -11.5 22.5 0.43 -17.3 1047 DIA DIAMONDS TRUS DIA US 3/10 C108 -11.4 12.5 0.25 -13.8 1675 TIP ISHARES US TR TIP US 3/10 C104 -11.2 3.3 0.15 -57.1 1074 LPS LENDER PROCES LPS US 3/10 C40 -11.1 31.6 0.60 -33.3 752 VOD VODAFONE GRP- VOD US 3/10 C22.5 -11.0 21.3 0.25 -37.5 1289 PWR QUANTA SERVIC PWR US 3/10 P20 -11.0 32.7 1.15 -50.0 537 DIA DIAMONDS TRUS DIA US 3/10 C107 -10.9 12.8 0.42 -16.0 1643 SPY SPDR S&P 500 SWG US 3/10 P109 -10.9 18.2 1.31 -14.9 59370 RF REGIONS FINAN RF US 3/10 P7 -10.8 37.8 0.39 -32.8 608 DAL DELTA AIR LI DAL US 3/10 C13 -10.7 48.3 0.55 -8.3 3648 JTX JACKSON HEWIT JTX US 3/10 P2.5 -10.6 151.7 0.35 -12.5 1163 DIA DIAMONDS TRUS DIA US 4/10 C105 -10.5 14.9 1.88 -4.6 1034 CNI CAN NATL RAIL CNI US 3/10 C55 -10.4 20.3 0.48 -12.7 1123 SLB SCHLUMBERGER SLB US 3/10 C60 -10.3 30.3 2.77 -43.0 8026 TIVO TIVO INC TUK US 3/10 P10 -10.2 120.2 1.37 -2.1 1510 WMT WAL-MART STOR WMT US 3/10 P55 -10.2 13.7 1.69 -15.9 720 SDS PROSHARES ULT SSH US 3/10 P34 -10.0 30.8 0.81 -16.5 738


x - Ex-dividend.
* - Ex-earnings.

To contact the editor responsible for this story:
Marybeth Sandell at  msandell1@bloomberg.net


Bloomberg reserves the right to edit or remove comments but is under no obligation to do so, or to explain individual moderation decisions.

Please enable JavaScript to view the comments powered by Disqus.