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
=============================================================================
YMI    YM BIOSCIEN  YMI US 06/18/11 C2.5      86.5 149.9   0.95    0.0    200
LVLT   LEVEL 3 COM  LVLT US 06/18/11 C1.5     53.3  51.1   0.45   50.0    393
YMI    YM BIOSCIEN  YMI US 07/16/11 C2.5      51.6 125.4   1.05   10.5    200
ID     L-1 IDENTIT  ID US 06/18/11 P9         36.6  73.9   0.25  150.0    476
ID     L-1 IDENTIT  ID US 06/18/11 P10        36.2  68.4   0.60   50.0    233
MRO    MARATHON OI  MRO US 07/16/11 C43       27.1  36.8   8.45  -23.2    242
MNKD   MANNKIND CO  MNKD US 06/18/11 P3.5     25.5 112.1   0.36   20.0   1455
SNY    SANOFI-ADR   SNY US 06/18/11 P35       23.3  33.0   0.50   42.9    344
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1.5     22.2  50.5   0.93    4.5    466
SKX    SKECHERS US  SKX US 06/18/11 C19       20.9  42.7   0.75   87.5   1381
DTG    DOLLAR THRI  DTG US 07/16/11 C60       20.7  42.9  22.00    1.9   4950
MNKD   MANNKIND CO  MNKD US 06/18/11 P4       20.4 106.3   0.57    9.6    495
SREV   SERVICESOUR  SREV US 06/18/11 C17.5    19.2  77.7   2.25  -16.7    296
ROVI   ROVI CORP    ROVI US 06/18/11 P55      18.9  38.0   1.15  -81.8    239
LVLT   LEVEL 3 COM  LVLT US 06/18/11 C0.5     18.4 232.1   1.35    7.1    525
SNY    SANOFI-ADR   SNY US 06/18/11 P36       14.4  29.6   0.65    8.3    241
SIRI   SIRIUS XM R  SIRI US 09/17/11 C2.5     14.4  46.0   0.21   23.5   5587
NRGY   INERGY LP    NRGY US 07/16/11 C35      13.4  25.1   2.35  -42.7    490
SHPGY  SHIRE PLC-A  SHPGY US 06/18/11 C95     13.3  23.3   2.70   12.5    223
SIRI   SIRIUS XM R  SIRI US 01/19/13 C1.5     11.4  50.5   1.03    8.4    840
WMT    WAL-MART ST  WMT US 06/18/11 C52.5     11.4  17.8   3.25    6.6    378
EWG    ISHARES-GER  EWG US 10/22/11 C28       11.1  22.4   1.15  -17.9   1062
UUP    POWERSHARES  UUP US 06/18/11 C21       10.9  10.5   0.57    9.6    751
SIRI   SIRIUS XM R  SIRI US 06/18/11 C2.5     10.7  48.7   0.09   28.6   6387
ID     L-1 IDENTIT  ID US 06/18/11 C11        10.7  47.8   0.60    0.0    260
YHOO   YAHOO! INC   YHOO US 06/18/11 C17      10.3  40.2   1.10  -39.9   2475
NOG    NORTHERN OI  NOG US 06/18/11 P17.5     10.3  90.2   0.90    0.0    248

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
BPOP   POPULAR INC  BPOP US 01/21/12 C2      -60.9  43.4   1.18   -9.2    250
SNY    SANOFI-ADR   SNY US 06/18/11 C33      -55.4  36.0   5.30  -17.2    208
SIRI   SIRIUS XM R  SIRI US 06/18/11 C2      -26.3  38.6   0.39    5.4    759
STEC   STEC INC     STEC US 06/18/11 C17     -23.4  53.3   0.87  -76.8   1375
STEC   STEC INC     STEC US 06/18/11 P17     -23.4  54.5   1.35  128.8    292
ZAGG   ZAGG INC     ZAGG US 06/18/11 C10     -19.9  60.6   0.90   30.4    241
AGM    FED AGRI MT  AGM US 06/18/11 C17.5    -19.4  48.2   2.60   48.6    375
DIS    WALT DISNEY  DIS US 06/18/11 C41      -18.0  21.4   1.90  -42.4    350
DIS    WALT DISNEY  DIS US 06/18/11 C43      -16.8  19.9   0.74  -59.6    398
DIS    WALT DISNEY  DIS US 06/18/11 P40      -16.5  22.4   0.39   50.0    713
DIS    WALT DISNEY  DIS US 06/18/11 P42      -16.2  20.4   0.98   58.1   1238
DIS    WALT DISNEY  DIS US 06/18/11 P41      -16.0  21.3   0.63   70.3   1051
AFFY   AFFYMAX INC  AFFY US 07/16/11 C4      -16.0  55.1   3.10   19.2    278
DIS    WALT DISNEY  DIS US 06/18/11 P39      -15.5  23.9   0.23   27.8    240
DIS    WALT DISNEY  DIS US 06/18/11 P43      -14.7  20.0   1.49   63.7    879
DIS    WALT DISNEY  DIS US 06/18/11 C44      -14.4  19.6   0.42  -66.7   2573
DIS    WALT DISNEY  DIS US 06/18/11 C42      -14.3  20.7   1.24  -51.2    445
PFE    PFIZER INC   PFE US 06/18/11 C19      -13.2  24.2   1.86   -1.1   2104
ID     L-1 IDENTIT  ID US 07/16/11 P9        -12.6  62.9   0.40   60.0   8372
AIG    AMERICAN IN  AIG US 06/18/11 P29      -11.6  56.1   1.19  -43.6    238
LVLT   LEVEL 3 COM  LVLT US 09/17/11 C1.5    -11.1  49.0   0.50   25.0    382
STEC   STEC INC     STEC US 08/20/11 C17     -11.0  56.6   1.72  -61.4    644
DIS    WALT DISNEY  DIS US 07/16/11 P41      -10.2  21.8   0.98   50.8    348
SPWRA  SUNPOWER CO  SPWRA US 06/18/11 P19    -10.1  63.5   0.70  -12.5    283
SBAC   SBA COMM CO  SBAC US 06/18/11 P35     -10.0  28.2   0.20  -20.0    222

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

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

-0- May/11/2011 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.