U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2010-11-29T16:30:07Z
The following are the U.S. stock options that had the biggest percentage changes in implied volatility from the previous trading day as of 11:30 a.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 200 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
=============================================================================
XHB SPDR S&P HO XHB US 12/18/10 P16 102.5 42.5 0.88 22.2 334
MCD MCDONALDS C MCD US 12/18/10 P80 58.6 16.3 2.70 23.3 1053
SPY SPDR S&P 50 SPY US 12/18/10 P124 54.6 26.2 6.60 14.8 2116
PFE PFIZER INC PFE US 12/18/10 P17 52.6 21.3 0.71 26.8 4488
XLP SPDR-CONS S XLP US 12/18/10 P28 50.0 19.8 0.34 70.0 201
XHB SPDR S&P HO XHB US 12/18/10 P15 49.8 39.4 0.34 47.8 889
SPY SPDR S&P 50 SPY US 12/18/10 P123 44.2 25.0 5.61 7.7 7380
SPY SPDR S&P 50 SPY US 12/18/10 P122 33.8 24.0 4.76 9.9 7307
ERTS ELECTRONIC ERTS US 12/18/10 P15 31.1 38.6 0.64 28.0 212
KO COCA-COLA C KO US 12/18/10 C62.5 30.9 21.2 1.30 -26.6 653
VGK VANGUARD EU VGK US 12/18/10 P48 29.8 34.9 1.40 21.7 713
FRX FOREST LABS FRX US 12/18/10 C33 29.1 31.4 0.55 57.1 3130
WEN WENDY'S/ARB WEN US 12/18/10 C5 28.2 50.8 0.10 -33.3 630
SPY SPDR S&P 50 SPY US 12/18/10 P121 26.6 23.5 4.02 9.8 5687
GLD SPDR GOLD T GLD US 12/18/10 C128 26.6 21.2 5.80 4.1 5070
ARIA ARIAD PHARM ARIA US 12/18/10 C4 26.1 59.0 0.25 66.7 250
WM WASTE MANAG WM US 12/18/10 C34 26.0 25.0 0.75 -16.7 200
SDS PROSHARES U SDS US 12/18/10 C26 25.8 38.4 1.72 30.3 1141
XLF SPDR-FINL S XLF US 12/18/10 P15 25.8 27.8 0.68 -5.6 1173
THO THOR INDUST THO US 12/18/10 C35 25.5 54.6 1.11 -7.5 340
KO COCA-COLA C KO US 12/18/10 P65 25.2 15.7 2.15 38.7 1029
ANR ALPHA NATUR ANR US 12/18/10 C49 25.1 50.8 2.63 -0.4 330
DDM PROSHARES U DDM US 12/18/10 P48 24.3 40.6 1.45 61.1 235
BGZ LARGE CAP B BGZ US 12/18/10 C11 23.3 60.1 0.47 34.3 247
PEP PEPSICO INC PEP US 12/18/10 P65 23.3 14.6 2.08 26.1 285
SSO PROSHARES U SSO US 12/18/10 P44 23.0 38.2 2.65 29.3 316
C CITIGROUP I C US 12/18/10 P4 22.3 32.5 0.05 0.0 3725
SPY SPDR S&P 50 SPY US 12/18/10 P120 22.2 23.5 3.37 7.0 9389
KO COCA-COLA C KO US 12/18/10 C65 21.9 17.5 0.24 -33.3 862
MSFT MICROSOFT C MSFT US 12/18/10 P26 19.8 22.0 1.14 26.7 487
XLP SPDR-CONS S XLP US 12/18/10 P27 18.8 20.0 0.12 100.0 300
ACAS AMERICAN CA ACAS US 12/18/10 P7 18.3 45.6 0.20 66.7 1000
KO COCA-COLA C KO US 01/22/11 C60 18.2 22.9 3.70 -14.3 961
FRX FOREST LABS FRX US 12/18/10 C32 18.2 30.6 0.95 58.3 1115
DIA SPDR DJIA T DIA US 12/18/10 P114 18.0 19.6 4.75 28.4 298
QQQQ POWERSH-QQQ QQQQ US 12/18/10 P54 18.0 22.9 2.17 21.9 4194
S SPRINT NEXT S US 12/18/10 C4 17.7 62.9 0.17 0.0 13680
SPY SPDR S&P 50 SPY US 12/18/10 P119 17.4 23.6 2.80 6.1 35134
XLI SPDR-INDU S XLI US 12/18/10 P32 17.0 27.1 0.60 36.4 930
WM WASTE MANAG WM US 12/18/10 C35 16.4 20.5 0.25 -37.5 267
CSCO CISCO SYSTE CSCO US 12/18/10 P20 16.3 25.7 0.93 32.9 717
SDS PROSHARES U SDS US 12/18/10 C27 16.3 41.8 1.20 33.3 2361
SPXU PROSHARES U SPXU US 12/18/10 C25 15.7 66.2 1.00 33.3 229
DDM PROSHARES U DDM US 12/18/10 P47 15.6 38.7 1.05 61.5 359
GLD SPDR GOLD T GLD US 12/18/10 C130 15.6 20.0 4.15 2.5 207
XLP SPDR-CONS S XLP US 03/19/11 P28 15.6 17.0 1.03 12.0 266
TLCR TALECRIS BI TLCR US 12/18/10 P22.5 15.4 31.8 0.95 11.8 500
GGP GENERAL GRO GGP US 12/18/10 C16 15.3 47.7 0.75 0.0 223
XLY SPDR-CONS D XLY US 12/18/10 P35 15.1 27.2 0.50 51.5 529
SPY SPDR S&P 50 SPY US 12/18/10 P118 15.0 23.9 2.34 6.4 30615
DXD PROSHARES U DXD US 12/18/10 C24 14.8 37.7 0.50 66.7 610
EFA ISHARES-MSC EFA US 12/18/10 P57 14.8 25.3 2.78 28.1 2539
PFE PFIZER INC PFE US 12/18/10 P16 14.4 23.0 0.17 54.5 3653
T AT&T INC T US 12/18/10 P28 14.4 16.9 0.66 57.1 511
FAZ FINANCIAL B FAZ US 12/18/10 C12 14.3 68.4 1.03 6.2 1642
DIA SPDR DJIA T DIA US 12/18/10 P113 14.0 18.2 3.80 26.7 463
DXD PROSHARES U DXD US 12/18/10 C23 13.9 34.4 0.85 30.8 1019
DE DEERE & CO DE US 12/18/10 C72.5 13.7 34.8 4.50 3.5 902
EUO PROSH-UL/SH EUO US 12/18/10 C22 13.7 37.6 0.40 100.0 201
SSO PROSHARES U SSO US 12/18/10 P42 13.6 41.5 1.51 31.3 624
XLE SPDR-ENERGY XLE US 12/18/10 C64 13.4 22.8 0.55 -16.7 395
ROST ROSS STORES ROST US 12/18/10 C65 13.1 34.4 1.30 -35.0 1379
QQQQ POWERSH-QQQ QQQQ US 12/18/10 P53 13.0 23.5 1.45 19.8 7043
EFA ISHARES-MSC EFA US 12/18/10 P56 12.9 27.0 2.20 39.2 12131
SPY SPDR S&P 50 SPY US 12/18/10 P117 12.8 24.5 1.93 4.3 44144
KO COCA-COLA C KO US 01/22/11 C65 12.8 17.7 0.80 -21.6 963
DIA SPDR DJIA T DIA US 12/18/10 P112 12.7 18.5 3.25 32.1 704
AAPL APPLE INC AAPL US 12/18/10 P320 12.7 29.3 11.85 13.8 2089
TTM TATA MOTORS TTM US 12/18/10 C36 12.6 50.3 1.35 22.7 206
S SPRINT NEXT S US 12/18/10 P4 12.5 57.2 0.26 18.2 551
BP BP PLC-ADR BP US 12/18/10 P42 12.5 28.1 2.25 38.0 218
EGLE EAGLE BULK EGLE US 03/19/11 P5 12.5 36.6 0.40 33.3 1001
FAZ FINANCIAL B FAZ US 12/18/10 C13 12.4 70.5 0.57 7.5 1886
XLE SPDR-ENERGY XLE US 12/18/10 P63 12.4 26.7 2.15 26.5 528
DE DEERE & CO DE US 12/18/10 C75 12.3 31.5 2.76 3.0 815
SPY SPDR S&P 50 SPY US 12/31/10 P124 12.3 17.2 6.88 30.8 353
SSO PROSHARES U SSO US 12/18/10 P41 12.2 43.7 1.28 47.1 296
SNDK SANDISK COR SNDK US 12/18/10 P44 12.2 47.6 1.60 18.5 2148
AXP AMERICAN EX AXP US 12/18/10 P42 12.1 29.2 0.97 7.8 1292
MHS MEDCO HEALT MHS US 12/18/10 P60 12.1 30.2 1.45 31.8 9345
SNDK SANDISK COR SNDK US 12/18/10 P45 12.1 46.7 2.07 18.3 1119
SDRL SEADRILL LT SDRL US 01/22/11 P30 11.9 34.7 1.40 12.0 292
VMW VMWARE INC- VMW US 12/18/10 C80 11.7 47.6 3.89 2.4 298
BA BOEING CO/T BA US 12/18/10 P65 11.7 28.3 2.20 40.1 644
MHS MEDCO HEALT MHS US 12/18/10 C60 11.7 30.5 1.75 -14.6 1602
JPM JPMORGAN CH JPM US 12/18/10 P37 11.6 32.8 0.74 -6.3 4978
MHS MEDCO HEALT MHS US 12/18/10 P57.5 11.6 32.6 0.70 40.0 200
SNDK SANDISK COR SNDK US 12/18/10 P43 11.5 48.7 1.19 21.4 2064
XOM EXXON MOBIL XOM US 12/18/10 P70 11.5 18.4 1.92 28.0 984
IBM IBM IBM US 12/18/10 P145 11.4 17.7 4.20 56.7 739
KR KROGER CO KR US 12/18/10 P22 11.3 34.4 0.30 20.0 524
EEM ISHARES-EMG EEM US 12/18/10 P45 11.3 29.5 1.32 5.6 1056
JNJ JOHNSON&JOH JNJ US 12/18/10 P62.5 11.3 14.3 1.31 54.1 1021
JPM JPMORGAN CH JPM US 12/18/10 P39 11.3 31.1 1.85 0.0 970
TTM TATA MOTORS TTM US 12/18/10 C35 11.2 49.5 1.60 -5.3 589
GLD SPDR GOLD T GLD US 12/18/10 C132 11.2 19.4 2.84 1.8 931
CELG CELGENE COR CELG US 12/18/10 C62.5 11.1 28.2 0.51 -44.6 718
AVP AVON PRODUC AVP US 12/18/10 P30 11.1 38.8 1.82 13.8 200
TMV DIR-D 20Y+T TMV US 12/18/10 C39 11.1 59.4 3.00 -33.3 301
TWM PROSHARES U TWM US 12/18/10 C15 11.1 55.8 0.75 50.0 381
SPY SPDR S&P 50 SPY US 12/18/10 P116 11.0 25.1 1.62 4.5 52639
SSO PROSHARES U SSO US 12/18/10 P40 11.0 46.1 0.82 28.1 278
KO COCA-COLA C KO US 02/19/11 C62.5 11.0 20.6 2.57 -11.4 201
XLE SPDR-ENERGY XLE US 12/18/10 C62 11.0 24.0 1.45 -4.6 601
SLB SCHLUMBERGE SLB US 12/18/10 C72.5 10.9 36.8 4.55 4.6 7557
AXP AMERICAN EX AXP US 12/18/10 P41 10.9 30.8 0.60 15.4 403
JPM JPMORGAN CH JPM US 12/18/10 P38 10.8 31.5 1.23 -1.6 2336
DE DEERE & CO DE US 12/18/10 P72.5 10.7 32.7 0.80 8.1 770
DB DEUTSCHE BA DB US 12/18/10 C50 10.6 42.6 1.44 -31.4 596
SYMC SYMANTEC CO SYMC US 12/18/10 P17 10.5 33.2 0.74 68.2 280
V VISA INC-CL V US 12/18/10 P75 10.5 29.3 2.79 72.2 847
GLD SPDR GOLD T GLD US 12/18/10 C133 10.5 19.4 2.31 2.7 496
THRX THERAVANCE THRX US 12/18/10 C25 10.4 47.9 0.90 650.0 676
PCP PRECISION C PCP US 12/18/10 P135 10.4 30.0 3.00 50.0 454
SDS PROSHARES U SDS US 12/18/10 C28 10.4 45.1 0.80 33.3 1553
EFA ISHARES-MSC EFA US 12/18/10 P55 10.4 28.1 1.61 40.0 1183
RIMM RESEARCH IN RIMM US 12/18/10 P60 10.4 58.6 4.00 19.4 206
MRK MERCK & CO MRK US 12/18/10 P35 10.3 21.1 1.24 25.2 343
UTX UNITED TECH UTX US 12/18/10 C72.5 10.2 23.1 2.45 -29.0 559
EEM ISHARES-EMG EEM US 12/18/10 P46 10.2 28.1 1.83 4.6 4543
XRT SPDR S&P RE XRT US 12/18/10 C45 10.2 30.8 2.23 -17.7 452
GOOG GOOGLE INC- GOOG US 12/18/10 C610 10.2 26.8 4.37 -27.1 807
ANF ABERCROMBIE ANF US 12/18/10 C48 10.2 51.4 3.00 33.3 437
OXY OCCIDENTAL OXY US 12/18/10 P90 10.1 28.9 3.85 4.0 336
MCD MCDONALDS C MCD US 01/22/11 C80 10.1 18.8 1.04 -14.1 498
GVA GRANITE CON GVA US 12/18/10 P25 10.1 41.4 0.70 40.0 389
MSFT MICROSOFT C MSFT US 12/18/10 P25 10.0 23.3 0.47 27.0 4128
Top Volatility Decreases
Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= NILE BLUE NILE I NILE US 12/18/10 C50 -20.5 36.6 0.80 60.0 315 AIB ALLIED IRIS AIB US 12/18/10 C1 -19.1 134.3 0.10 -33.3 1305 KO COCA-COLA C KO US 01/22/11 P65 -15.6 12.3 2.68 22.9 414 MSFT MICROSOFT C MSFT US 12/18/10 C24 -15.5 26.1 1.22 -14.1 247 OXPS OPTIONSXPRE OXPS US 06/18/11 P17.5 -15.1 26.2 1.40 -22.2 1541 TTM TATA MOTORS TTM US 12/18/10 P35 -14.9 69.6 2.15 -8.9 504 ONP ORIENT PAPE ONP US 12/18/10 C7.5 -14.9 114.1 0.85 13.3 1435 LVLT LEVEL 3 COM LVLT US 12/18/10 C1 -14.8 124.7 0.10 0.0 908 OXPS OPTIONSXPRE OXPS US 06/18/11 C17.5 -14.8 26.3 1.30 -3.7 1024 MCD MCDONALDS C MCD US 01/22/11 P80 -14.3 12.7 3.45 15.8 835 PSEC PROSPECT CA PSEC US 12/18/10 C10 -14.2 17.6 0.10 -33.3 518 KO COCA-COLA C KO US 12/18/10 P62.5 -12.1 13.1 0.67 67.5 1634 NRGY INERGY LP NRGY US 12/18/10 C40 -12.0 18.9 0.30 -53.9 3255 MSFT MICROSOFT C MSFT US 12/18/10 C25 -11.6 23.2 0.55 -28.6 3424 OXPS OPTIONSXPRE OXPS US 03/19/11 C17.5 -11.0 26.6 1.05 31.2 252 UPRO PROSHARES U UPRO US 12/18/10 C160 -10.4 63.0 14.00 -23.5 527 LNG CHENIERE EN LNG US 12/18/10 C6 -10.1 90.0 0.50 -28.6 295
x - Ex-dividend. * - Ex-earnings. -- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net -0- Nov/29/2010 16:30 GMT
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