Breaking News

Tweet TWEET

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
=============================================================================
RVBD   RIVERBED TE  RVBD US 06/18/11 C35      67.2  51.0   2.60   -8.8    934
AGO    ASSURED GUA  AGO US 05/21/11 P18       64.9  57.9   1.15  -66.0    581
SLW    SILVER WHEA  SLW US 05/21/11 C45       52.9  54.1   2.25    6.6   1414
AGO    ASSURED GUA  AGO US 05/21/11 P14       48.2  66.9   0.16  -79.2    616
AGO    ASSURED GUA  AGO US 05/21/11 P13       47.3  70.5   0.13  -65.8    253
THRX   THERAVANCE   THRX US 05/21/11 P25      37.5  63.4   1.45    0.0    508
AGO    ASSURED GUA  AGO US 05/21/11 C15       35.4  60.0   2.89  556.8    312
AGO    ASSURED GUA  AGO US 05/21/11 P15       34.1  60.6   0.22  -83.1    323
IRWD   IRONWOOD PH  IRWD US 05/21/11 C15      33.9  36.1   1.20  118.2    243
AGO    ASSURED GUA  AGO US 05/21/11 P17       32.4  57.0   0.70    0.0    424
THRX   THERAVANCE   THRX US 05/21/11 P22.5    30.5  65.2   0.80  100.0    619
AGO    ASSURED GUA  AGO US 05/21/11 C16       27.8  59.1   2.74 1041.7    327
SPY    SPDR S&P 50  SPY US 07/16/11 C73       26.9  51.6  58.45    0.0    200
MBI    MBIA INC     MBI US 05/21/11 C10       26.6  70.7   1.34  396.3   8385
MBI    MBIA INC     MBI US 05/21/11 C9        25.8  73.8   2.09  237.1    223
AGO    ASSURED GUA  AGO US 07/16/11 P13       25.6  62.8   0.34  -62.2    435
TZA    SMALL CAP B  TZA US 05/21/11 C30       24.8  62.6   6.80   -5.6   3520
GLD    SPDR GOLD T  GLD US 05/21/11 C129      24.5  20.6  15.95   11.5    640
GORO   GOLD RESOUR  GORO US 05/21/11 C20      24.4  77.2   8.80   10.0   1000
DEER   DEER CONSUM  DEER US 05/21/11 C2.5     23.9 224.9   5.60    7.7    614
MBI    MBIA INC     MBI US 05/21/11 P10       23.9  68.8   0.58  -56.1   1872
THRX   THERAVANCE   THRX US 06/18/11 P25      23.5  58.8   1.75  -62.8    323
GGP    GENERAL GRO  GGP US 05/21/11 C15       21.5  24.3   0.70    2.9    203
AGO    ASSURED GUA  AGO US 07/16/11 P15       21.2  56.7   0.75  -60.1    365
EXXI   ENERGY XXI   EXXI US 05/21/11 C25      21.2  75.1   9.10  -20.2   3100
DBA    POWERSHARES  DBA US 05/21/11 C30       21.0  26.9   3.95   -2.5   1750
BUD    ANHEUSER-SP  BUD US 05/21/11 C60       20.9  24.4   1.85   15.6    385
AGO    ASSURED GUA  AGO US 05/21/11 C17       20.6  58.7   2.00  640.7   2340
C      CITIGROUP I  C US 06/18/11 C3          18.1  58.2   1.43   -1.4    210
MBI    MBIA INC     MBI US 05/21/11 C11       17.9  66.8   0.79  618.2   4087
VECO   VEECO INSTR  VECO US 05/21/11 C44      16.3  51.3   5.20    0.0    530
INCY   INCYTE CORP  INCY US 05/21/11 P17.5    16.0  42.4   0.65    0.0   1000
FINL   FINISH LINE  FINL US 05/21/11 C20      15.0  39.2   1.45   52.6    304
CEPH   CEPHALON IN  CEPH US 05/21/11 P75      14.5  25.4   1.70   -8.1    201
QQQ    POWERSH-QQQ  QQQ US 05/21/11 C53       14.5  21.4   3.98   -0.2    315
INCY   INCYTE CORP  INCY US 06/18/11 P17.5    13.7  43.9   1.00  -13.0   1050
AGO    ASSURED GUA  AGO US 07/16/11 C18       13.7  53.5   2.00  506.1    345
CAST   CHINACAST E  CAST US 06/18/11 P5       13.6 123.1   0.70   -6.7    267
IAG    IAMGOLD COR  IAG US 05/21/11 C19       13.2  44.9   2.05  -46.8    412
CEPH   CEPHALON IN  CEPH US 05/21/11 P72.5    12.5  30.2   1.20   -7.7    246
KFT    KRAFT FOODS  KFT US 06/18/11 C34       11.3  13.8   0.44   46.7   5371
LPHI   LIFE PARTNE  LPHI US 05/21/11 P7.5     11.3 123.3   1.00    0.0    325
CHMT   CHEMTURA CO  CHMT US 05/21/11 P17.5    11.1  38.4   1.00   17.6    488
AVP    AVON PRODUC  AVP US 05/21/11 P29       11.0  30.8   1.55   -3.1    301
OREX   OREXIGEN TH  OREX US 05/21/11 C3       10.8  60.6   0.15    0.0    275
PM     PHILIP MORR  PM US 06/18/11 C57.5      10.5  24.8   9.13    6.8    200
AMLN   AMYLIN PHAR  AMLN US 07/16/11 P10      10.3  59.4   0.45  -32.8   1500

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
BRNC   BRONCO DRIL  BRNC US 10/22/11 P10     -76.4  15.9   0.15  -91.2    818
BRNC   BRONCO DRIL  BRNC US 05/21/11 C10     -73.5  20.5   1.00  -20.0    385
BRNC   BRONCO DRIL  BRNC US 07/16/11 P10     -72.0  18.8   0.10  -88.9    525
BRNC   BRONCO DRIL  BRNC US 05/21/11 P10     -67.2  26.6   0.05  -94.1    229
TLCR   TALECRIS BI  TLCR US 05/21/11 C27.5   -66.8  30.4   1.30   18.2    573
GOOG   GOOGLE INC-  GOOG US 05/21/11 P560    -29.8  21.9  27.00   93.5    533
GOOG   GOOGLE INC-  GOOG US 05/21/11 C560    -29.4  22.6   7.50  -77.7   2991
GOOG   GOOGLE INC-  GOOG US 05/21/11 P545    -28.9  22.7  17.92   90.6    582
GOOG   GOOGLE INC-  GOOG US 05/21/11 P540    -28.9  23.0  14.97   80.4   1452
GOOG   GOOGLE INC-  GOOG US 05/21/11 P440    -28.9  29.9   0.25  -16.7    219
GOOG   GOOGLE INC-  GOOG US 05/21/11 P555    -28.9  22.3  23.82   92.1    455
GOOG   GOOGLE INC-  GOOG US 05/21/11 C565    -28.8  22.4   6.10  -79.4    506
GOOG   GOOGLE INC-  GOOG US 05/21/11 C555    -28.3  22.7   9.33  -74.2    453
GOOG   GOOGLE INC-  GOOG US 05/21/11 P450    -28.2  29.3   0.42    5.0    203
GOOG   GOOGLE INC-  GOOG US 05/21/11 C540    -27.2  23.4  16.20  -64.2   1575
GOOG   GOOGLE INC-  GOOG US 05/21/11 P505    -27.2  25.0   4.80   65.5    363
GOOG   GOOGLE INC-  GOOG US 05/21/11 C545    -26.9  23.1  13.43  -68.0   1027
GOOG   GOOGLE INC-  GOOG US 05/21/11 C535    -26.8  23.8  18.50  -63.0    405
GOOG   GOOGLE INC-  GOOG US 05/21/11 P510    -26.6  24.8   5.45   81.7    742
GOOG   GOOGLE INC-  GOOG US 05/21/11 P515    -26.6  24.5   6.50   67.5    528
GOOG   GOOGLE INC-  GOOG US 05/21/11 P520    -26.4  24.3   7.83   70.2    355
GOOG   GOOGLE INC-  GOOG US 05/21/11 C530    -26.2  23.9  21.40  -60.4    312
GOOG   GOOGLE INC-  GOOG US 05/21/11 P530    -26.1  23.5  10.80   77.0    920
GOOG   GOOGLE INC-  GOOG US 05/21/11 P485    -24.2  26.5   2.04   45.7    256
GOOG   GOOGLE INC-  GOOG US 05/21/11 P490    -24.2  26.3   2.35   38.2    254
GOOG   GOOGLE INC-  GOOG US 05/21/11 P460    -24.1  28.2   0.70    7.7    244
GOOG   GOOGLE INC-  GOOG US 05/21/11 P495    -23.4  26.3   3.20   68.4    270
GOOG   GOOGLE INC-  GOOG US 06/18/11 C540    -22.8  23.5  21.60  -56.8    516
GOOG   GOOGLE INC-  GOOG US 06/18/11 P460    -22.5  27.6   2.12   19.8    617
GOOG   GOOGLE INC-  GOOG US 06/18/11 C555    -22.4  22.7  13.20  -67.0    339
GOOG   GOOGLE INC-  GOOG US 06/18/11 C565    -22.4  22.3  11.00  -67.2   1651
GOOG   GOOGLE INC-  GOOG US 06/18/11 P530    -21.1  24.0  16.42   56.4    454
GOOG   GOOGLE INC-  GOOG US 06/18/11 P540    -21.0  23.6  21.46   70.3    796
GOOG   GOOGLE INC-  GOOG US 06/18/11 C560    -20.7  22.7  12.40  -68.5    607
GOOG   GOOGLE INC-  GOOG US 06/18/11 P560    -20.5  22.8  33.40   71.3    276
GOOG   GOOGLE INC-  GOOG US 06/18/11 P520    -19.8  24.3  12.75   63.5    540
GOOG   GOOGLE INC-  GOOG US 06/18/11 P480    -19.5  26.5   4.00   25.0    222
GOOG   GOOGLE INC-  GOOG US 06/18/11 P500    -19.4  25.5   7.10   42.0    502
GOOG   GOOGLE INC-  GOOG US 05/21/11 P500    -18.9  25.5   3.50   52.2   1418
GOOG   GOOGLE INC-  GOOG US 06/18/11 P565    -18.9  22.9  36.70   66.8    281
GOOG   GOOGLE INC-  GOOG US 06/18/11 C550    -18.7  23.1  16.70  -61.1    782
INFY   INFOSYS TEC  INFY US 05/21/11 P60     -17.7  34.9   1.45  383.3   4214
GOOG   GOOGLE INC-  GOOG US 05/21/11 P480    -17.3  26.9   1.45   31.8    599
THC    TENET HEALT  THC US 05/21/11 C7       -17.0  33.6   0.15  -25.0   2881
MAT    MATTEL INC   MAT US 05/21/11 C27      -17.0  23.7   0.75   66.7   1641
MAT    MATTEL INC   MAT US 05/21/11 P27      -16.9  19.3   0.80  -54.3    349
ERY    ENERGY BEAR  ERY US 05/21/11 C14      -16.6  57.3   1.45  -19.4    242
INFY   INFOSYS TEC  INFY US 05/21/11 P55     -16.6  39.2   0.50  316.7    634
QQQ    POWERSH-QQQ  QQQ US 05/21/11 P59      -16.2  13.9   2.65    1.9   1889
INFY   INFOSYS TEC  INFY US 05/21/11 P62.5   -15.5  33.3   2.37  374.0   3031
ABMD   ABIOMED INC  ABMD US 05/21/11 P17.5   -15.0  62.4   1.85  -42.2   1150
GLBC   GLOBAL CROS  GLBC US 05/21/11 P22.5   -14.8  42.6   0.25  -61.5    410
BAC    BANK OF AME  BAC US 05/21/11 P13      -14.2  24.6   0.38   -5.0  26358
SNTA   SYNTA PHARM  SNTA US 05/21/11 C5      -14.2  63.5   0.35  -12.5   3591
QQQ    POWERSH-QQQ  QQQ US 05/21/11 P58      -13.9  14.7   1.89   -5.5   3576
INFY   INFOSYS TEC  INFY US 05/21/11 C65     -13.7  32.0   1.70  -80.9    470
MAT    MATTEL INC   MAT US 05/21/11 C28      -13.6  22.8   0.38    0.0    566
BAC    BANK OF AME  BAC US 05/21/11 C13      -13.5  25.4   0.41  -28.1  12321
BAC    BANK OF AME  BAC US 05/21/11 P12      -13.1  27.2   0.09  -25.0  14685
TYC    TYCO INTL L  TYC US 05/21/11 P49      -13.0  35.4   1.07  -30.5    222
MAT    MATTEL INC   MAT US 05/21/11 P26      -12.8  22.1   0.40  -65.2    569
BAC    BANK OF AME  BAC US 05/21/11 C12      -11.8  28.0   1.11  -13.3   9944
QQQ    POWERSH-QQQ  QQQ US 05/21/11 P57      -11.7  15.8   1.33   -6.3   8821
RVBD   RIVERBED TE  RVBD US 05/21/11 P32     -11.5  52.6   1.30  -12.8   4305
SPY    SPDR S&P 50  SPY US 05/21/11 P136     -11.2  10.4   4.69   -3.5    437
BAC    BANK OF AME  BAC US 06/18/11 C11      -11.2  32.7   2.10   -7.1    343
ISPH   INSPIRE PHA  ISPH US 06/18/11 C5      -11.1   8.9   0.05    0.0    223
TYC    TYCO INTL L  TYC US 05/21/11 C50      -11.1  38.1   3.50   -3.9    289
QQQ    POWERSH-QQQ  QQQ US 12/31/12 P40      -10.8  31.0   2.10    1.4    259
DUK    DUKE ENERGY  DUK US 05/21/11 C18      -10.8  11.5   0.50   25.0    354
IRM    IRON MOUNTA  IRM US 05/21/11 P35      -10.6  37.4   1.95   -9.3    250
ABMD   ABIOMED INC  ABMD US 06/18/11 P15     -10.4  55.8   0.80  -46.7   1026
BAC    BANK OF AME  BAC US 05/21/11 P11      -10.4  32.8   0.03  -25.0    228
SIRI   SIRIUS XM R  SIRI US 01/21/12 P1      -10.3  45.8   0.02  -33.3    223
ARLP   ALLIANCE RE  ARLP US 05/21/11 P75     -10.1  36.7   4.10  -12.8    270
QQQ    POWERSH-QQQ  QQQ US 05/21/11 P56      -10.0  17.2   0.94   -7.8  17497

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

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

-0- Apr/15/2011 15:30 GMT

Bloomberg reserves the right to edit or 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.