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
=============================================================================
MMR    MCMORAN EXP  MMR US 04/16/11 C15       92.4  56.9   3.20   33.3    205
MTG    MGIC INVT C  MTG US 06/18/11 C6        56.8  71.0   2.98    0.0   1500
ALSK   ALASKA COMM  ALSK US 04/16/11 C10      45.9  45.1   0.70  -12.5    459
SXL    SUNOCO LOGI  SXL US 04/16/11 C85       39.1  18.7   1.25   -7.4    250
CQP    CHENIERE EN  CQP US 04/16/11 P17       32.7  58.3   0.50   66.7    300
MCP    MOLYCORP IN  MCP US 04/16/11 C43       28.4  69.1  13.00   52.9    277
NAV    NAVISTAR IN  NAV US 04/16/11 C70       27.4  37.6   1.60  255.6   4716
SD     SANDRIDGE E  SD US 01/21/12 C2.5       26.6  84.3   9.20    8.6   1000
CBEH   CHINA INTEG  CBEH US 04/16/11 P2.5     25.9 310.6   0.40   33.3   1158
IMAX   IMAX CORP    IMAX US 05/21/11 C29      24.0  45.6   2.75  205.6    486
ITMN   INTERMUNE I  ITMN US 04/16/11 C15      23.3 209.0  29.75    0.0    308
DYN    DYNEGY INC   DYN US 09/17/11 C5        22.7  54.7   1.35   57.0    250
CQP    CHENIERE EN  CQP US 04/16/11 P16       22.1  59.6   0.35   75.0    497
C      CITIGROUP I  C US 04/16/11 C4          21.9  36.0   0.45    7.1   1743
C      CITIGROUP I  C US 04/16/11 P4.5        21.8  26.6   0.15    0.0   3344
IMAX   IMAX CORP    IMAX US 04/16/11 C29      21.0  41.6   1.60  451.7    700
NLY    ANNALY CAPI  NLY US 04/16/11 C18       20.7  11.8   0.16   14.3   3369
CYTX   CYTORI THER  CYTX US 06/18/11 P5       20.4  87.5   0.15   50.0    521
MCP    MOLYCORP IN  MCP US 04/16/11 C48       20.0  66.0   9.10   85.7    224
NAV    NAVISTAR IN  NAV US 04/16/11 P65       19.8  38.3   1.35  -35.7    366
ERIC   ERICSSON LM  ERIC US 04/16/11 C13      18.5  28.3   0.10    0.0    272
MCP    MOLYCORP IN  MCP US 04/16/11 C49       18.3  65.8   8.00   70.2    686
ACAS   AMERICAN CA  ACAS US 04/16/11 C9       17.8  38.3   0.43   43.3    234
MCP    MOLYCORP IN  MCP US 04/16/11 C50       17.8  65.9   7.60  100.0   2451
MCP    MOLYCORP IN  MCP US 04/16/11 P46       16.6  69.2   0.55  -38.9    236
MCP    MOLYCORP IN  MCP US 04/16/11 P50       16.4  68.7   1.40  -39.1   1622
MCP    MOLYCORP IN  MCP US 04/16/11 P48       16.2  68.7   0.86  -38.6    407
UNG    US NAT GAS   UNG1 US 04/16/11 C5       16.0  40.3   0.76   -3.8    857
CRA    CELERA CORP  CRA US 09/17/11 P7.5      15.5  16.2   0.10  100.0    577
HEK    HECKMANN CO  HEK US 06/18/11 C5        15.1  39.2   1.50    3.5    282
OPTR   OPTIMER PHA  OPTR US 04/16/11 P7.5     14.9 190.2   0.29    3.6    556
WMT    WAL-MART ST  WMT US 04/16/11 P50       14.4  17.6   0.12  -45.5   1562
CFSG   CHINA FIRE   CFSG US 06/18/11 P5       13.9  83.5   0.70   84.2    240
C      CITIGROUP I  C US 04/16/11 C4.5        13.5  27.5   0.08   14.3 194951
CBS    CBS CORP-B   CBS US 04/16/11 C25       13.3  36.4   0.85   13.3    242
HSP    HOSPIRA INC  HSP US 04/16/11 P55       13.2  26.1   2.40  -31.4    203
CBS    CBS CORP-B   CBS US 04/16/11 P24       13.1  39.1   0.55    0.0   7530
GMCR   GREEN MOUNT  GMCR US 04/16/11 P55      13.0  58.6   1.02   85.5   2980
WMT    WAL-MART ST  WMT US 04/16/11 P47.5     13.0  23.6   0.03  -50.0    299
CYTX   CYTORI THER  CYTX US 09/17/11 P5       12.9  75.5   0.35   16.7    399
WNR    WESTERN REF  WNR US 05/21/11 P17       12.9  72.9   2.25    0.0    200
ACN    ACCENTURE P  ACN US 04/16/11 C45       12.9  40.5   6.60   18.9    501
WMT    WAL-MART ST  WMT US 04/16/11 C47.5     12.7  23.6   5.15   28.8    352
NOG    NORTHERN OI  NOG US 04/16/11 P27       12.7  68.4   2.60   18.2   1015
TEVA   TEVA PHARM-  TEVA US 04/16/11 P47.5    12.6  23.9   0.25  -37.5    406
TEVA   TEVA PHARM-  TEVA US 04/16/11 P45      12.5  28.9   0.09  -25.0   1400
AMRN   AMARIN CORP  AMRN US 04/16/11 C7       12.4 162.7   1.30   30.0    320
CIGX   STAR SCIENT  CIGX US 04/16/11 C3       12.3 125.1   1.05    0.0    248
C      CITIGROUP I  C US 04/16/11 C3.5        12.3  60.2   0.93    1.1    258
CFSG   CHINA FIRE   CFSG US 04/16/11 P5       12.2  98.9   0.50  150.0    529
GLD    SPDR GOLD T  GLD US 04/16/11 C135      12.2  17.7   6.55   10.8    366
GA     GIANT INTER  GA US 04/16/11 C7.5       12.2  23.6   0.15    0.0   1520
MAT    MATTEL INC   MAT US 04/16/11 P21       12.1  49.8   0.05    0.0   4000
GMCR   GREEN MOUNT  GMCR US 04/16/11 P50      12.0  64.8   0.38  100.0    263
GMCR   GREEN MOUNT  GMCR US 04/16/11 C60      12.0  53.3   4.00  -16.7   1539
CCI    CROWN CASTL  CCI US 04/16/11 C39       11.9  28.6   1.50   66.7   2003
GMCR   GREEN MOUNT  GMCR US 04/16/11 P60      11.8  53.5   2.57   57.7   2361
OPTR   OPTIMER PHA  OPTR US 04/16/11 P10      11.5 149.0   0.65   -1.5    307
EWA    ISHARES-AUS  EWA US 04/16/11 C26       11.4  23.1   0.40  166.7    425
HRBN   HARBIN ELEC  HRBN US 04/16/11 P17.5    11.4  87.8   1.50   28.2    225
WMT    WAL-MART ST  WMT US 04/16/11 C50       11.3  17.3   2.84   49.5    727
FLO    FLOWERS FOO  FLO US 07/16/11 P20       11.2  37.0   0.15  -25.0   1500
NOVL   NOVELL INC   NOVL US 01/21/12 P5       10.9  19.0   0.05  -66.7    252
C      CITIGROUP I  C US 05/21/11 P4.5        10.9  26.0   0.22    0.0   1987
APKT   ACME PACKET  APKT US 04/16/11 P65      10.8  59.9   2.90    7.4    212
MMR    MCMORAN EXP  MMR US 05/21/11 C18       10.7  53.8   1.56   52.9    993
RHT    RED HAT INC  RHT US 05/21/11 C40       10.6  42.7   7.00  174.5    310
XLK    SPDR-TECH S  XLK US 04/16/11 P26       10.6  17.4   0.60  -17.8   4219
MCP    MOLYCORP IN  MCP US 04/16/11 C55       10.2  64.6   4.10  134.3   4570
TLB    TALBOTS INC  TLB US 04/16/11 P4        10.1 108.5   0.05  -64.3   1112

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= DSCM DRUGSTORE.C DSCM US 04/16/11 C2.5 -50.6 81.5 1.25 1150.0 870 DSCM DRUGSTORE.C DSCM US 07/16/11 C2.5 -37.9 50.6 1.35 800.0 581 BBY BEST BUY CO BBY US 04/16/11 C31 -34.7 28.9 0.99 -45.9 1279 BBY BEST BUY CO BBY US 04/16/11 C32 -34.6 28.0 0.53 -57.9 4690 BBY BEST BUY CO BBY US 04/16/11 P31 -33.6 29.5 0.90 -15.9 2196 BBY BEST BUY CO BBY US 04/16/11 C30 -32.5 30.8 1.54 -36.9 274 RHT RED HAT INC (RHT) RHT US 04/16/11 C49 -31.4 35.1 0.75 150.0 2014 BBY BEST BUY CO BBY US 04/16/11 P32 -30.4 29.5 1.51 -0.7 2364 BBY BEST BUY CO BBY US 04/16/11 P30 -30.0 32.0 0.50 -31.5 13552 AA ALCOA INC (AA) AA US 04/16/11 C14 -27.0 32.8 3.10 3.3 368 BBY BEST BUY CO BBY US 04/16/11 P29 -26.6 33.5 0.28 -36.4 2295 RHT RED HAT INC RHT US 04/16/11 P47 -24.7 35.4 1.80 -75.3 1250 RHT RED HAT INC RHT US 04/16/11 C48 -24.7 35.5 1.15 1050.0 2215 RHT RED HAT INC RHT US 04/16/11 P44 -24.2 36.6 0.60 0.0 210 SDS PROSHARES U SDS US 04/16/11 C19 -24.2 21.0 2.60 -9.4 628 GME GAMESTOP CO GME US 04/16/11 C21 -23.9 34.4 1.23 19.4 2831 GME GAMESTOP CO GME US 04/16/11 C20 -23.6 35.9 1.95 17.5 1421 FXE CRYSHS-EURO FXE US 04/16/11 P146 -23.1 10.2 5.10 2.0 217 GME GAMESTOP CO GME US 04/16/11 P21 -22.9 34.8 0.34 -62.2 1099 GME GAMESTOP CO GME US 04/16/11 C22 -22.2 33.0 0.69 23.2 1168 REE RARE ELEMEN REE US 04/16/11 C10 -22.0 64.3 3.40 25.9 249 RHT RED HAT INC RHT US 04/16/11 C47 -21.6 36.1 1.50 2900.0 1466 CCL CARNIVAL CO CCL US 04/16/11 C35 -21.4 34.4 4.10 -19.6 1100 GME GAMESTOP CO GME US 04/16/11 P20 -21.2 37.3 0.17 -67.9 248 BBY BEST BUY CO BBY US 04/16/11 P27 -21.0 39.9 0.11 -42.1 359 BUCY BUCYRUS INT BUCY US 04/16/11 P85 -21.0 18.4 0.15 15.4 650 RHT RED HAT INC RHT US 04/16/11 P45 -20.4 36.1 0.94 -81.9 1217 ANR ALPHA NATUR ANR US 04/16/11 C50 -20.3 41.4 9.45 8.6 1007 GME GAMESTOP CO GME US 04/16/11 P19 -19.9 40.5 0.06 -78.6 272 SCS STEELCASE I SCS US 04/16/11 C10 -19.3 37.7 0.90 350.0 251 PAYX PAYCHEX INC (PAYX) PAYX US 04/16/11 P30 -18.7 23.8 0.25 38.9 446 BBY BEST BUY CO BBY US 05/21/11 P32 -18.4 26.9 1.86 1.6 989 BBY BEST BUY CO BBY US 05/21/11 P30 -18.4 28.9 0.95 -6.9 777 AMD ADV MICRO D AMD US 04/16/11 P9 -18.3 39.2 0.54 -23.9 737 PWAV POWERWAVE T PWAV US 05/21/11 C5 -17.8 62.7 0.40 0.0 1950 HSP HOSPIRA INC (HSP) HSP US 05/21/11 P55 -17.5 25.9 3.10 -22.5 618 EUO PROSH-UL/SH EUO US 04/16/11 C18 -17.4 21.5 0.30 -33.3 255 BBY BEST BUY CO BBY US 05/21/11 P31 -17.3 28.2 1.23 -10.9 541 TLB TALBOTS INC TLB US 04/16/11 C5 -17.2 81.7 1.05 169.2 1727 MU MICRON TECH MU US 04/16/11 P11 -16.7 43.0 0.31 -60.3 3177 MU MICRON TECH MU US 04/16/11 C11 -16.2 44.0 0.70 75.0 16990 RHT RED HAT INC RHT US 04/16/11 C40 -16.1 38.0 6.60 266.7 340 TLB TALBOTS INC (TLB) TLB US 05/21/11 C6 -16.1 61.5 0.54 170.0 684 RHT RED HAT INC RHT US 04/16/11 C45 -15.9 36.4 2.65 657.1 2284 CDE COEUR D'ALE CDE US 04/16/11 C33 -15.8 47.2 3.60 15.0 242 BBY BEST BUY CO BBY US 05/21/11 P27 -15.4 33.0 0.23 -47.7 226 RHT RED HAT INC RHT US 04/16/11 C42 -15.1 38.2 5.00 426.3 1142 AMD ADV MICRO D AMD US 04/16/11 C9 -14.9 40.4 0.24 0.0 3826 RHT RED HAT INC RHT US 04/16/11 C46 -14.9 36.2 2.10 740.0 1133 RHT RED HAT INC RHT US 04/16/11 C44 -14.9 37.6 3.40 580.0 1482 VZ VERIZON COM VZ US 04/16/11 C34 -13.9 22.0 3.15 5.0 310 EGO ELDORADO GO EGO US 04/16/11 P15 -13.5 32.3 0.10 -33.3 1076 HMY HARMONY GOL HMY US 04/16/11 C15 -12.9 34.6 0.25 0.0 311 RHT RED HAT INC RHT US 04/16/11 C41 -12.9 39.6 6.12 353.3 285 GME GAMESTOP CO GME US 05/21/11 C22 -12.9 34.2 1.09 17.2 237 SHZ CHINA SHEN SHZ US 04/16/11 C5 -12.8 102.4 0.50 25.0 445 PAYX PAYCHEX INC PAYX US 04/16/11 P32 -12.8 19.5 1.00 66.7 346 TLB TALBOTS INC TLB US 04/16/11 P5 -12.6 84.4 0.13 -77.6 718 HERO HERCULES OF HERO US 04/16/11 C6 -12.3 54.0 0.30 20.0 388 CALX CALIX INC (CALX) CALX US 04/16/11 C20 -12.0 53.0 0.60 -25.0 259 NLY ANNALY CAPI NLY US 04/16/11 C19 -12.0 17.8 0.01 -50.0 222 DAL DELTA AIR L DAL US 04/16/11 C9 -11.5 47.2 1.06 -3.6 11272 BBY BEST BUY CO BBY US 06/18/11 P28 -11.5 33.0 0.75 -3.9 509 MU MICRON TECH MU US 04/16/11 C10 -11.4 50.0 1.48 57.5 5753 NOG NORTHERN OI NOG US 04/16/11 C24 -11.1 64.3 2.45 -15.5 377 BBY BEST BUY CO BBY US 06/18/11 P29 -11.0 32.0 0.90 -17.4 231 FORM FORMFACTOR FORM US 04/16/11 C10 -11.0 47.4 0.90 20.0 610 WMT WAL-MART ST WMT US 04/16/11 C55 -10.4 13.1 0.08 166.7 3318 BBY BEST BUY CO BBY US 06/18/11 P30 -10.3 31.2 1.35 -0.7 642 RHT RED HAT INC RHT US 04/16/11 P40 -10.3 41.1 0.15 -92.1 340 AMD ADV MICRO D AMD US 04/16/11 P8 -10.2 44.8 0.13 -27.8 1761 SHZ CHINA SHEN SHZ US 04/16/11 C2.5 -10.0 157.9 2.60 10.6 455


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


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

-0- Mar/24/2011 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.