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
=============================================================================
QSFT   QUEST SOFTW  QSFT US 04/16/11 P25      84.7  36.1   1.60   45.5    250
YONG   YONGYE INTE  YONG US 05/21/11 P5       63.6 126.9   0.80  175.9    925
KSP    K-SEA TRANS  KSP US 06/18/11 C7.5      62.9  19.5   0.65    0.0    262
YONG   YONGYE INTE  YONG US 10/22/11 C4       55.3  72.9   1.90  -20.8    319
YRCW   YRC WORLDWI  YRCW US 04/16/11 C1       51.8 233.6   1.10   -4.3    205
YONG   YONGYE INTE  YONG US 04/16/11 P5       51.6 135.1   0.45  350.0   2162
CHGS   CHINA GENGS  CHGS US 04/16/11 P3       50.1 170.6   0.30  -33.3    722
CHGS   CHINA GENGS  CHGS US 04/16/11 C3       47.4 152.9   1.00  127.3    326
CHGS   CHINA GENGS  CHGS US 04/16/11 P3.5     46.7 158.2   0.60  -14.3    565
YONG   YONGYE INTE  YONG US 07/16/11 P5       42.9 101.0   1.00  122.2    232
SHZ    CHINA SHEN   SHZ US 04/16/11 C2.5      37.2 178.9   2.25   12.5    222
PDLI   PDL BIOPHAR  PDLI US 08/20/11 C4       35.0  52.1   1.55   -3.1    230
GILD   GILEAD SCIE  GILD US 04/16/11 C39      24.8  28.5   2.70   50.0    816
MOTR   MOTRICITY I  MOTR US 04/16/11 C12.5    24.6  78.0   3.20   48.8    356
UUP    POWERSHARES  UUP US 04/16/11 C21       24.5  11.9   0.76   11.8    448
CHGS   CHINA GENGS  CHGS US 04/16/11 C3.5     20.1 148.3   0.60  100.0    864
WNR    WESTERN REF  WNR US 04/16/11 P17       19.8  69.8   1.25  -24.2    757
BRCD   BROCADE COM  BRCD US 04/16/11 P6       19.4  36.5   0.24    4.3   1922
BRCD   BROCADE COM  BRCD US 04/16/11 C6       18.5  38.0   0.21   50.0   4830
ADTN   ADTRAN INC   ADTN US 05/21/11 P35      18.5  43.4   0.70   55.6    254
GILD   GILEAD SCIE  GILD US 04/16/11 C40      18.1  25.6   1.86   59.0    537
GILD   GILEAD SCIE  GILD US 04/16/11 P39      18.0  26.6   0.26  -25.7   1779
MAKO   MAKO SURGIC  MAKO US 04/16/11 C17.5    17.7  53.1   3.70  -13.9   1578
CHGS   CHINA GENGS  CHGS US 04/16/11 C1       17.1 306.6   2.75   22.2    258
LNG    CHENIERE EN  LNG US 04/16/11 C8        16.8  85.2   1.55   24.0    270
GILD   GILEAD SCIE  GILD US 04/16/11 C41      16.7  24.3   1.23   92.2   1413
GILD   GILEAD SCIE  GILD US 04/16/11 P40      16.6  24.9   0.47  -25.4   2096
WIN    WINDSTREAM   WIN US 04/16/11 C13       15.1  19.5   0.16   33.3    354
UNG    US NAT GAS   UNG1 US 04/16/11 C5       14.7  35.3   0.72    4.3   3402
WNR    WESTERN REF  WNR US 04/16/11 C17       13.9  71.9   1.12   86.7   4412
BBY    BEST BUY CO  BBY US 04/16/11 P31       13.8  45.3   1.41   23.7   1033
BBY    BEST BUY CO  BBY US 04/16/11 C31       13.6  46.2   1.51    2.0   1394
GME    GAMESTOP CO  GME US 04/16/11 P20       13.4  46.5   0.63   37.0   1688
BBY    BEST BUY CO  BBY US 04/16/11 P32       12.9  44.0   1.94   18.3    832
BBY    BEST BUY CO  BBY US 04/16/11 C32       12.7  44.9   1.02    4.1   1985
BBY    BEST BUY CO  BBY US 04/16/11 P30       12.6  46.5   0.98   28.9  15464
BRCD   BROCADE COM  BRCD US 05/21/11 C6       12.3  44.4   0.43   34.4   1250
GLD    SPDR GOLD T  GLD US 04/16/11 C132      12.3  19.7   8.70   18.4    282
SLW    SILVER WHEA  SLW US 04/16/11 C35       12.2  59.4   8.90   19.3    624
REE    RARE ELEMEN  REE US 04/16/11 C12.5     12.0  79.6   0.80  -23.8   1043
GILD   GILEAD SCIE  GILD US 04/16/11 C42      11.8  22.9   0.65  109.7    812
GG     GOLDCORP IN  GG US 04/16/11 C43        11.7  37.5   6.40   20.8    318
GME    GAMESTOP CO  GME US 04/16/11 P19       11.7  49.3   0.35   59.1    671
CREE   CREE INC     CREE US 04/16/11 P45      11.4  46.9   3.05  384.1   2072
MAKO   MAKO SURGIC  MAKO US 04/16/11 C15      11.3  80.0   6.30   34.0    646
OC     OWENS CORNI  OC US 04/16/11 P34        10.7  34.5   0.55  -49.1    282
NLY    ANNALY CAPI  NLY US 04/16/11 P17       10.7  15.5   0.13  -18.8    210
AIG    AMERICAN IN  AIG US 04/16/11 C37       10.6  32.2   0.96  -12.7   2028
RMD    RESMED INC   RMD US 04/16/11 P30       10.5  28.7   1.10   57.1   1944
BBY    BEST BUY CO  BBY US 04/16/11 P28       10.4  49.0   0.39   25.8   1226
GME    GAMESTOP CO  GME US 04/16/11 C20       10.3  46.0   1.41   -5.4    299
RHT    RED HAT INC  RHT US 05/21/11 C38       10.2  40.9   3.11    0.0   1600
BBY    BEST BUY CO  BBY US 04/16/11 P29       10.2  47.6   0.65   32.6    431
MOTR   MOTRICITY I  MOTR US 04/16/11 C14      10.2  74.9   2.00   66.7    455
CBT    CABOT CORP   CBT US 10/22/11 P40       10.1  31.2   2.15    7.5    400
F      FORD MOTOR   F US 04/16/11 C12         10.0  50.2   2.42    1.7    732

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= SOMX SOMAXON PHA SOMX US 01/21/12 C2.5 -69.8 5.8 0.40 14.3 300 ADBE ADOBE SYS I ADBE US 04/16/11 P32 -37.0 31.0 1.70 38.2 1628 ADBE ADOBE SYS I ADBE US 04/16/11 P31 -36.1 32.3 1.04 16.9 959 ADBE ADOBE SYS I ADBE US 04/16/11 C32 -35.8 30.9 0.52 -75.7 1025 DGW DUOYUAN GLO DGW US 04/16/11 P7.5 -35.5 122.8 1.10 -4.3 213 ADBE ADOBE SYS I ADBE US 04/16/11 C31 -35.5 32.0 1.00 -63.2 293 ADBE ADOBE SYS I ADBE US 04/16/11 P29 -35.1 34.8 0.36 -10.0 844 ADBE ADOBE SYS I ADBE US 04/16/11 P30 -35.0 33.8 0.64 1.6 1745 DGW DUOYUAN GLO DGW US 04/16/11 C7.5 -34.5 100.4 0.60 -64.7 430 ADBE ADOBE SYS I ADBE US 04/16/11 P28 -32.5 37.2 0.21 -27.6 386 C CITIGROUP I C US 06/18/11 C3 -25.5 39.6 1.37 -4.9 402 ETE ENERGY TRAN ETE US 04/16/11 C45 -24.0 13.2 0.10 100.0 204 YRCW YRC WORLDWI YRCW US 04/16/11 C2 -22.7 85.8 0.24 9.1 242 ADBE ADOBE SYS I ADBE US 05/21/11 P28 -22.6 34.0 0.52 -3.7 231 ADBE ADOBE SYS I ADBE US 05/21/11 P31 -22.5 30.9 1.58 27.4 389 DFS DISCOVER FI DFS US 04/16/11 C23 -22.2 26.9 0.50 -9.1 480 ADBE ADOBE SYS I ADBE US 05/21/11 P27 -21.9 35.4 0.37 -5.1 234 DFS DISCOVER FI DFS US 04/16/11 C22 -21.8 28.6 1.30 36.8 230 ADBE ADOBE SYS I ADBE US 05/21/11 C32 -21.6 30.4 1.02 -59.2 321 GIS GENERAL MIL GIS US 04/16/11 P35 -20.4 18.4 0.26 0.0 1144 JBL JABIL CIRCU JBL US 04/16/11 C22 -20.3 41.5 0.40 100.0 704 JBL JABIL CIRCU JBL US 04/16/11 P21 -20.1 42.0 0.90 -62.8 257 JBL JABIL CIRCU JBL US 04/16/11 P20 -19.8 45.2 0.48 -73.3 328 GIS GENERAL MIL GIS US 04/16/11 P36 -19.8 18.1 0.65 12.1 282 GIS GENERAL MIL GIS US 04/16/11 C36 -19.6 18.3 0.80 -38.5 23218 GIS GENERAL MIL GIS US 04/16/11 C37 -19.3 17.4 0.29 -58.6 1302 JBL JABIL CIRCU JBL US 04/16/11 C21 -19.0 43.3 0.85 112.5 1612 JBL JABIL CIRCU JBL US 04/16/11 P22 -18.8 41.4 1.50 -54.5 1065 JBL JABIL CIRCU JBL US 04/16/11 C18 -18.1 49.3 2.91 81.9 498 JBL JABIL CIRCU JBL US 04/16/11 P19 -16.8 47.4 0.30 -75.0 921 PENN PENN NATL G PENN US 04/16/11 C35 -16.8 27.2 0.50 -54.5 396 JBL JABIL CIRCU JBL US 04/16/11 C20 -15.7 46.7 1.55 121.4 1332 HWD HARRY WINST HWD US 04/16/11 C15 -15.7 45.4 0.55 22.2 439 IOC INTEROIL CO IOC US 04/16/11 C70 -15.7 40.8 5.73 -32.6 1522 JBL JABIL CIRCU JBL US 04/16/11 C19 -15.4 47.7 2.32 110.9 1625 C CITIGROUP I C US 04/16/11 P4 -15.2 29.1 0.02 0.0 409 ADBE ADOBE SYS I ADBE US 07/16/11 P30 -14.4 33.0 1.75 16.7 2118 JBL JABIL CIRCU JBL US 04/16/11 P18 -14.2 51.7 0.15 -78.6 441 PGNX PROGENICS P PGNX US 08/20/11 P4 -13.7 76.9 0.30 0.0 961 MPEL MELCO CROWN MPEL US 04/16/11 C7 -13.5 41.9 0.60 -7.7 200 FORM FORMFACTOR FORM US 04/16/11 P9 -12.6 45.8 0.15 0.0 250 IDCC INTERDIGITA IDCC US 05/21/11 C42 -12.3 51.7 4.00 -16.7 270 ARLP ALLIANCE RE ARLP US 04/16/11 P75 -12.3 36.0 0.94 -14.6 210 OMER OMEROS CORP (OMER) OMER US 04/16/11 P5 -11.8 174.7 0.35 -44.4 296 PFE PFIZER INC (PFE) PFE US 04/16/11 C15 -11.6 42.5 4.85 0.0 995 DFS DISCOVER FI DFS US 04/16/11 P22 -11.5 30.6 0.30 -53.9 266 C CITIGROUP I C US 04/16/11 C4 -10.8 28.8 0.40 -9.1 6156 GDXJ MARKET VECT GDXJ US 04/16/11 C40 -10.8 32.0 0.85 21.4 418 IPG INTERPUBLIC IPG US 04/16/11 P11 -10.7 36.8 0.11 10.0 1049


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


-- Bloomberg News
To contact Bloomberg News for this story:
+1-212-318-2000 or newsdev@bloomberg.net

-0- Mar/23/2011 15:30 GMT

Press spacebar to pause and continue. Press esc to stop.

Bloomberg reserves the right to 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.