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 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
=============================================================================
WAT WATERS CORP WAT US 04/16/11 C80 66.6 29.5 5.79 -2.7 369
SPY SPDR S&P 50 SPY US 03/31/11 P135 58.0 15.2 6.17 25.9 320
EWJ ISHARES-JAP EWJ US 04/16/11 C9 51.1 44.8 1.00 0.0 2011
TSO TESORO CORP TSO US 05/21/11 C20 35.9 71.3 6.57 31.4 554
PAY VERIFONE SY PAY US 04/16/11 C40 35.1 64.2 9.00 4.3 895
SHAW SHAW GROUP SHAW US 04/16/11 C32 33.9 64.8 2.00 -72.2 786
LZ LUBRIZOL CO LZ US 06/18/11 C100 31.1 42.4 33.90 213.9 250
TM TOYOTA MOTO TM US 04/16/11 C75 29.7 36.7 7.30 -33.0 260
BTX BIOTIME INC BTX US 04/16/11 C7.5 29.0 50.2 0.70 16.7 605
SHAW SHAW GROUP SHAW US 04/16/11 P32 28.5 63.2 2.70 800.0 233
DIA SPDR DJIA T DIA US 03/31/11 P123.75 27.9 13.5 4.60 12.2 225
QQQQ POWERSH-QQQ QQQQ US 03/31/11 P58 26.3 19.5 2.38 28.6 1573
NTES NETEASE.COM NTES US 04/16/11 C45 25.8 45.1 3.20 6.7 282
EWJ ISHARES-JAP EWJ US 06/18/11 P10 25.1 28.7 0.67 235.0 1630
ACL ALCON INC ACL US 04/16/11 C170 25.1 10.4 0.51 104.0 200
TM TOYOTA MOTO TM US 04/16/11 C85 24.8 33.9 1.50 -49.5 926
EWJ ISHARES-JAP EWJ US 09/17/11 C10 22.1 29.3 0.71 -38.3 466
HRBN HARBIN ELEC HRBN US 04/16/11 P15 22.1 85.7 0.55 37.5 1001
EWJ ISHARES-JAP EWJ US 04/16/11 C10 21.7 35.8 0.35 -63.2 12498
CIGX STAR SCIENT CIGX US 04/16/11 C2.5 21.2 155.1 1.10 46.7 240
SPY SPDR S&P 50 SPY US 03/31/11 P132 20.6 18.1 4.02 38.6 2180
SPY SPDR S&P 50 SPY US 04/16/11 P135 19.8 16.2 6.75 22.7 2614
EWJ ISHARES-JAP EWJ US 06/18/11 P9 19.2 34.0 0.30 200.0 1333
GPS GAP INC/THE GPS US 06/18/11 C18 19.1 37.1 4.15 18.6 363
EWJ ISHARES-JAP EWJ US 01/21/12 C9 19.1 32.3 1.60 -32.2 371
EWJ ISHARES-JAP EWJ US 04/16/11 P10 18.8 34.5 0.45 350.0 10818
SPY SPDR S&P 50 SPY US 03/31/11 P131 18.1 18.8 3.40 44.1 3572
EWJ ISHARES-JAP EWJ US 09/17/11 C8 17.9 39.6 2.15 0.0 277
QQQQ POWERSH-QQQ QQQQ US 04/16/11 P58 17.6 20.0 2.64 15.8 5537
TM TOYOTA MOTO TM US 04/16/11 C80 17.3 34.2 3.90 -38.6 426
QQQQ POWERSH-QQQ QQQQ US 03/31/11 P57 16.8 20.8 1.69 23.4 2854
FTO FRONTIER OI FTO US 04/16/11 C26.72 16.8 55.0 1.86 6.3 205
EWJ ISHARES-JAP EWJ US 09/17/11 P9 16.7 27.6 0.39 290.0 218
SPY SPDR S&P 50 SPY US 04/16/11 P136 16.7 14.3 7.60 25.0 202
SHAW SHAW GROUP SHAW US 04/16/11 C31 16.6 65.0 2.55 -75.0 361
SPY SPDR S&P 50 SPY US 04/16/11 P134 16.6 16.7 6.03 23.6 2084
TM TOYOTA MOTO TM US 04/16/11 P85 16.5 31.0 5.94 105.5 345
EWJ ISHARES-JAP EWJ US 01/21/12 C10 16.4 29.1 0.94 -30.4 828
CIGX STAR SCIENT CIGX US 05/21/11 C2.5 16.3 132.1 1.25 56.2 719
EWJ ISHARES-JAP EWJ US 09/17/11 P10 16.3 25.2 0.79 139.4 408
JJC IPATH DJ UB JJC US 04/16/11 C55 16.3 33.0 2.30 -8.0 454
SPY SPDR S&P 50 SPY US 03/31/11 P130 16.3 19.7 2.90 48.0 7560
SGY STONE ENERG SGY US 06/18/11 C24 16.1 57.7 4.04 -34.8 700
XLU SPDR-UTIL S XLU US 04/16/11 C33 15.8 15.9 0.16 -44.8 516
WFR MEMC ELEC M WFR US 04/16/11 C11 15.8 62.6 2.70 95.7 322
QCOM QUALCOMM IN QCOM US 04/16/11 C32.5 15.7 83.9 20.75 -2.1 216
ACL ALCON INC ACL US 04/16/11 P155 15.6 18.7 0.50 11.1 200
VFC VF CORP VFC US 04/16/11 C90 15.2 33.0 7.90 -6.0 374
SPY SPDR S&P 50 SPY US 06/18/11 P133 15.1 19.9 7.46 12.0 317
QQQQ POWERSH-QQQ QQQQ US 03/31/11 P56 15.0 22.6 1.16 28.9 2675
COH COACH INC COH US 04/16/11 P55 14.9 35.4 3.35 116.1 371
TSO TESORO CORP TSO US 04/16/11 C25 14.9 59.1 2.50 82.5 507
CIGX STAR SCIENT CIGX US 05/21/11 C2 14.5 137.0 1.45 45.0 1008
SPY SPDR S&P 50 SPY US 03/31/11 P129 14.4 20.5 2.38 38.4 4630
CHK CHESAPEAKE CHK US 04/16/11 C26 14.1 56.2 7.90 17.0 1658
LLY ELI LILLY & LLY US 04/16/11 P29 14.0 36.7 0.06 50.0 3080
TSM TAIWAN SEMI TSM US 10/22/11 C12.5 13.9 25.7 0.80 0.0 255
SPY SPDR S&P 50 SPY US 03/31/11 P128 13.9 21.3 2.00 39.9 17261
PFE PFIZER INC PFE US 04/16/11 P21 13.7 22.1 1.11 -28.9 2120
DIA SPDR DJIA T DIA US 04/16/11 P121 13.5 16.9 3.50 25.0 251
WY WEYERHAEUSE WY US 01/21/12 C22.5 13.3 32.4 4.20 20.0 201
EXC EXELON CORP EXC US 04/16/11 C44 13.3 20.1 0.40 -38.5 1746
SPY SPDR S&P 50 SPY US 03/31/11 P127 13.3 22.1 1.61 46.4 1674
HMC HONDA MOTOR HMC US 04/16/11 P35 13.1 39.0 0.70 180.0 318
QQQQ POWERSH-QQQ QQQQ US 04/16/11 P57 12.9 21.1 2.05 22.0 8773
XLY SPDR-CONS D XLY US 06/18/11 P40 12.9 22.5 2.55 -0.8 516
DGW DUOYUAN GLO DGW US 06/18/11 P5 12.9 107.4 0.25 66.7 293
CBEH CHINA INTEG CBEH US 04/16/11 P5 12.9 181.8 0.80 33.3 543
EXC EXELON CORP EXC US 04/16/11 C43 12.8 20.9 0.80 -38.5 789
ARLP ALLIANCE RE ARLP US 04/16/11 P70 12.8 44.7 2.15 -15.7 697
CLNE CLEAN ENERG CLNE US 06/18/11 C10 12.8 71.0 3.90 -15.2 395
SPY SPDR S&P 50 SPY US 04/16/11 P133 12.8 17.4 5.30 24.7 3499
CBLI CLEVELAND B CBLI US 04/16/11 P7.5 12.8 91.5 0.65 -39.8 210
URS URS CORP URS US 07/16/11 P40 12.8 40.0 2.34 95.0 363
SPY SPDR S&P 50 SPY US 04/16/11 P132 12.7 18.1 4.68 27.5 7569
EGLE EAGLE BULK EGLE US 09/17/11 C3 12.7 43.9 1.00 -4.8 320
SCMR SYCAMORE NE SCMR US 09/17/11 C20 12.6 41.1 3.60 0.0 1004
SMOD SMART MODUL SMOD US 04/16/11 P5 12.4 105.8 0.20 33.3 242
TSO TESORO CORP TSO US 04/16/11 C27 12.4 57.1 1.31 95.5 762
TSL TRINA SOLAR TSL US 04/16/11 C24 12.3 64.2 3.10 70.3 2177
ED CONS EDISON ED US 04/16/11 P49 12.1 14.1 0.50 25.0 351
CMG CHIPOTLE ME CMG US 04/16/11 C240 12.0 48.0 22.10 9.4 279
SPY SPDR S&P 50 SPY US 04/16/11 P131 11.9 18.8 4.13 31.9 9050
TM TOYOTA MOTO TM US 04/16/11 P80 11.9 32.8 2.85 150.0 2215
ASH ASHLAND INC ASH US 04/16/11 C60 11.8 35.9 1.70 88.9 1063
LULU LULULEMON A LULU US 04/16/11 C80 11.8 60.3 4.24 13.1 425
QQQQ POWERSH-QQQ QQQQ US 03/31/11 P55 11.8 24.2 0.76 35.7 989
BJ BJ'S WHOLES BJ US 06/18/11 C47.5 11.8 32.9 3.75 -1.3 206
ETR ENTERGY COR ETR US 04/16/11 C70 11.8 21.2 2.10 -10.6 353
PFE PFIZER INC PFE US 04/16/11 P20 11.7 22.1 0.43 -44.2 521
QQQQ POWERSH-QQQ QQQQ US 03/31/11 P54 11.6 26.2 0.52 33.3 1095
TSO TESORO CORP TSO US 04/16/11 C26 11.6 57.2 1.76 81.4 493
SPY SPDR S&P 50 SPY US 06/18/11 P130 11.5 20.8 5.94 13.1 952
DIA SPDR DJIA T DIA US 04/16/11 P119 11.4 18.4 2.62 32.3 384
SPY SPDR S&P 50 SPY US 03/31/11 P123 11.4 25.1 0.76 61.7 14918
SPY SPDR S&P 50 SPY US 03/31/11 P124 11.4 24.4 0.90 45.2 1753
CCE COCA-COLA E CCE US 05/21/11 C26 11.2 26.6 1.30 -13.3 200
EXC EXELON CORP EXC US 04/16/11 C42 11.2 21.7 1.30 -23.5 329
DIA SPDR DJIA T DIA US 04/16/11 P120 11.0 17.5 3.00 25.5 574
PFE PFIZER INC PFE US 04/16/11 C20 10.8 22.2 0.58 114.8 7785
YRCW YRC WORLDWI YRCW US 07/16/11 P1 10.8 181.9 0.18 38.5 228
WFR MEMC ELEC M WFR US 04/16/11 C13 10.7 50.4 1.10 254.8 924
NDN 99 CENTS ON NDN US 04/16/11 P17.5 10.6 31.1 0.10 0.0 200
EFA ISHARES-MSC EFA US 04/16/11 P60 10.5 22.7 2.65 42.5 10000
SPY SPDR S&P 50 SPY US 03/31/11 P125 10.5 23.4 1.12 57.8 1674
SPY SPDR S&P 50 SPY US 03/31/11 P122 10.5 25.9 0.62 24.0 577
COH COACH INC COH US 04/16/11 C55 10.5 34.4 1.20 -56.4 354
SPY SPDR S&P 50 SPY US 05/21/11 P135 10.5 17.5 7.53 13.9 442
SPY SPDR S&P 50 SPY US 03/31/11 P117 10.4 29.7 0.23 43.8 588
SPY SPDR S&P 50 SPY US 04/16/11 P130 10.4 19.4 3.65 33.7 23680
DIA SPDR DJIA T DIA US 04/16/11 P116 10.3 20.6 1.61 29.8 1269
MGIC MAGIC SOFTW MGIC US 05/21/11 C5 10.3 88.3 1.15 -8.0 200
SO SOUTHERN CO SO US 04/16/11 C38 10.2 14.4 0.50 -32.4 773
C CITIGROUP I C US 04/16/11 P4.5 10.2 28.2 0.15 36.4 8532
TSM TAIWAN SEMI TSM US 07/16/11 C12.5 10.2 30.7 0.70 0.0 2836
C CITIGROUP I C US 01/21/12 C2.5 10.1 49.7 2.07 -3.7 1365
S SPRINT NEXT S US 04/16/11 C5 10.1 49.8 0.28 -3.5 633
TSO TESORO CORP TSO US 05/21/11 C27 10.0 55.1 2.25 82.9 678
TSO TESORO CORP TSO US 05/21/11 C26 10.0 55.6 2.70 69.8 404
Top Volatility Decreases
Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= LZ LUBRIZOL CO LZ US 06/18/11 P135 -96.1 1.3 1.25 0.0 349 LZ LUBRIZOL CO LZ US 09/17/11 C135 -92.4 2.1 0.30 0.0 2056 LZ LUBRIZOL CO LZ US 06/18/11 C135 -90.6 2.6 0.25 -61.5 872 LZ LUBRIZOL CO LZ US 04/16/11 C135 -90.6 3.9 0.20 0.0 288 LZ LUBRIZOL CO LZ US 09/17/11 P130 -82.9 5.0 0.60 0.0 428 LZ LUBRIZOL CO LZ US 04/16/11 P130 -81.1 7.9 0.20 0.0 299 LZ LUBRIZOL CO LZ US 06/18/11 P130 -80.3 5.5 0.30 0.0 298 LZ LUBRIZOL CO LZ US 09/17/11 C130 -70.8 8.0 5.23 0.0 701 KSP K-SEA TRANS KSP US 06/18/11 C7.5 -66.9 18.5 0.70 100.0 256 KSP K-SEA TRANS KSP US 04/16/11 P7.5 -63.7 25.4 0.05 -96.0 293 URA GLOBAL X UR URA US 04/16/11 P15 -36.1 55.0 0.90 1025.0 221 NLY ANNALY CAPI NLY US 04/16/11 C17 -23.6 12.7 0.76 0.0 240 SLM SLM CORP (SLM) SLM US 07/16/11 C12 -18.8 44.5 2.84 -18.9 222 EWJ ISHARES-JAP EWJ US 06/18/11 P8 -17.9 37.0 0.12 300.0 1670 SPY SPDR S&P 50 SPY US 04/16/11 C115 -16.4 28.6 15.04 -3.0 275 UPRO PROSHARES U UPRO US 04/16/11 P76.67 -15.6 53.5 6.00 0.0 250 CQP CHENIERE EN CQP US 04/16/11 P17 -15.5 60.8 0.80 -52.7 500 TNDM NEUTRAL TAN TNDM US 04/16/11 C15 -15.5 41.0 0.60 -72.1 361 AGNC AMERICAN CA AGNC US 04/16/11 C29 -15.4 14.6 1.15 4.5 221 MTU MITSUBISHI MTU US 08/20/11 P2.5 -15.1 81.5 0.15 0.0 352 ACL ALCON INC (ACL) ACL US 04/16/11 C155 -14.9 16.3 10.70 0.0 200 SPY SPDR S&P 50 SPY US 03/31/11 C121 -14.5 26.6 9.00 -11.7 279 SPY SPDR S&P 50 SPY US 03/31/11 C122 -12.5 25.9 7.81 -14.9 307 ZSL PRSH-ULTSH ZSL US 01/21/12 C27 -12.2 47.9 4.70 -6.0 201 AGNC AMERICAN CA AGNC US 04/16/11 C30 -12.0 13.0 0.35 9.4 372 DNN DENISON MIN DNN US 04/16/11 P2.5 -11.8 90.4 0.30 500.0 436 UNG US NAT GAS UNG1 US 04/16/11 C6 -11.1 36.6 0.05 25.0 384 EWJ ISHARES-JAP EWJ US 04/16/11 P8 -10.8 56.7 0.07 40.0 4262 C CITIGROUP I C US 05/21/11 C2 -10.4 82.4 2.49 -2.7 880
x - Ex-dividend. * - Ex-earnings. -- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net -0- Mar/14/2011 15:30 GMT
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