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
=============================================================================
CIM    CHIMERA INV  CIM US 05/21/11 C3.5      65.8  33.3   0.48   18.8   2000
PRGO   PERRIGO CO   PRGO US 05/21/11 C65      52.1  56.8  19.54    3.4    611
CIM    CHIMERA INV  CIM US 06/18/11 C3.5      47.6  32.5   0.50    4.2    200
OSTK   OVERSTOCK.C  OSTK US 06/18/11 P12.5    39.1  72.6   1.00  185.7    585
OSTK   OVERSTOCK.C  OSTK US 05/21/11 P12.5    32.7  77.5   0.75   87.5   2167
ISPH   INSPIRE PHA  ISPH US 06/18/11 C5       31.9  10.4   0.05    0.0    299
NEP    CHINA NORTH  NEP US 05/21/11 P2.5      24.4 156.2   0.20  300.0    447
ABT    ABBOTT LABS  ABT US 05/21/11 C48       19.5  19.8   2.79   -5.1    505
HOGS   ZHONGPIN IN  HOGS US 05/21/11 P15      19.0  61.3   1.00  122.2    612
DPS    DR PEPPER S  DPS US 05/21/11 C40       17.1  28.0   1.30  420.0    238
LFT    LONGTOP FIN  LFT US 05/21/11 P17.5     16.3 140.6   0.60  140.0    574
CEPH   CEPHALON IN  CEPH US 05/21/11 C72.5    15.9  28.6   5.10    2.0    638
C      CITIGROUP I  C US 01/21/12 C1.5        14.8  85.8   3.00    0.0    340
ABT    ABBOTT LABS  ABT US 05/21/11 C47       14.7  23.7   3.75   -5.1    579
GIL    GILDAN ACTI  GIL US 06/18/11 P35       14.2  30.5   2.73  -40.6    325
PXP    PLAINS EXPL  PXP US 05/21/11 C31       13.9  42.8   3.40  -37.6    505
CAAS   CHINA AUTOM  CAAS US 05/21/11 P10      13.8  97.6   1.15   27.8    263
XCO    EXCO RESOUR  XCO US 05/21/11 C21       13.6  28.1   0.60   -7.7   2103
CISG   CNINSURE IN  CISG US 07/16/11 P10      13.4  89.7   0.95   35.7    558
TIBX   TIBCO SOFTW  TIBX US 05/21/11 C28      13.3  43.7   1.90  123.5   1648
XME    SPDR S&P ME  XME US 05/21/11 P72       13.3  31.3   2.74   19.6   1000
HGSI   HUMAN GENOM  HGSI US 05/21/11 C30      13.2  46.4   1.49   56.8    851
AONE   A123 SYSTEM  AONE US 06/18/11 P5       12.9  80.1   0.55   37.5   1357
CISG   CNINSURE IN  CISG US 07/16/11 P7.5     12.4 113.5   0.50   25.0    350
GFRE   GULF RESOUR  GFRE US 07/16/11 P2.5     11.9 169.2   0.38   52.0    341
UUP    POWERSHARES  UUP US 06/18/11 C22       11.8  11.5   0.20    0.0   2061
GIL    GILDAN ACTI  GIL US 05/21/11 P30       11.7  40.6   0.45  -18.2   2024
MCRS   MICROS SYST  MCRS US 05/21/11 C50      11.7  35.7   2.45   -9.3    753
CEPH   CEPHALON IN  CEPH US 05/21/11 C70      11.5  32.4   7.50    5.6   5000
XME    SPDR S&P ME  XME US 05/21/11 P71       11.3  31.6   2.65   28.0   2082
TYC    TYCO INTL L  TYC US 05/21/11 C50       11.1  38.0   1.60   10.3   6408
UUP    POWERSHARES  UUP US 09/17/11 C21       11.0  10.4   0.87    1.2    650
XME    SPDR S&P ME  XME US 06/18/11 P58       11.0  40.2   0.60  -70.7    500
UUP    POWERSHARES  UUP US 05/21/11 C22       10.9  11.3   0.14   27.3    588
LFT    LONGTOP FIN  LFT US 05/21/11 P22.5     10.5 111.5   1.20   84.6   1010
C      CITIGROUP I  C US 05/21/11 C4          10.4  34.3   0.50  -10.7    857
GG     GOLDCORP IN  GG US 07/16/11 C40        10.2  39.9  13.55    2.3    252
ABT    ABBOTT LABS  ABT US 05/21/11 C49       10.2  18.3   2.04    1.5    451

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
DEER   DEER CONSUM  DEER US 05/21/11 C5      -34.2  49.1   2.25   21.6    345
PFE    PFIZER INC   PFE US 06/18/11 C18      -27.5  19.9   2.63   -2.2  15002
DUK    DUKE ENERGY  DUK US 10/22/11 C16      -23.6  18.4   2.05    0.0    879
BPT    BP PRUD BAY  BPT US 05/21/11 P115     -23.6  24.3   5.90  140.8    201
ALU    ALCATEL-LUC  ALU US 05/21/11 P4       -22.7  73.2   0.05    0.0    210
DCTH   DELCATH SYS  DCTH US 05/21/11 P6      -22.1  80.0   0.25  -32.4    213
AA     ALCOA INC    AA US 05/21/11 C16       -21.1  30.0   1.02  -47.7   5264
AA     ALCOA INC    AA US 05/21/11 C17       -20.1  28.7   0.49  -59.8   6878
AA     ALCOA INC    AA US 05/21/11 P16       -20.1  29.2   0.33   43.5   2716
AA     ALCOA INC    AA US 05/21/11 P17       -19.7  28.2   0.78   62.5   4087
RAS    RAIT FINANC  RAS US 10/22/11 C1       -19.1  99.0   1.35  -12.9    970
AA     ALCOA INC    AA US 05/21/11 P15       -18.6  31.5   0.12   33.3   1219
CIGX   STAR SCIENT  CIGX US 08/20/11 C3      -15.6 110.4   1.20   -4.0    464
IDCC   INTERDIGITA  IDCC US 05/21/11 C44     -13.6  47.5   3.30  -33.1    302
ELN    ELAN CORP-A  ELN US 01/21/12 C5       -13.1  53.2   2.70  -12.9    215
MAT    MATTEL INC   MAT US 05/21/11 P26      -12.7  25.6   1.10    0.0    247
EGO    ELDORADO GO  EGO US 07/16/11 C16      -11.7  36.1   2.10  -16.0    316
AMMD   AMER MED SY  AMMD US 11/19/11 P30     -11.6   2.4   0.60    0.0    233
AMSC   AMER SUPERC  AMSC US 01/19/13 C10     -11.6  63.1   5.67   -2.2    204
GSIC   GSI COMMERC  GSIC US 07/16/11 C30     -11.5   9.7   0.35    0.0    300
TTT    TERRA NOVA   TTT US 01/21/12 C8.36    -11.4  33.9   0.80  -38.5    260
SKH    SKILLED HEA  SKH US 05/21/11 P15      -10.8  49.2   0.75  -34.8    346
OVTI   OMNIVISION   OVTI US 05/21/11 C30     -10.7  53.3   2.40  -29.4    932
SPY    SPDR S&P 50  SPY US 06/18/11 P136     -10.6  14.6   6.80   17.6   1002
C      CITIGROUP I  C US 06/18/11 C3         -10.6  49.1   1.48   -4.5    716
CEPH   CEPHALON IN  CEPH US 05/21/11 C67.5   -10.5  32.9   9.60    0.0    540
TLT    ISHARES BAR  TLT US 01/21/12 C80      -10.2  11.8  10.95    8.4    390

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

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

-0- Apr/12/2011 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.