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
=============================================================================
FAZ    FINANCIAL B  FAZ US 06/18/11 C35      111.1  53.3   7.85    0.0    750
C      CITIGROUP I  C1 US 06/18/11 P5         68.0  41.3   0.80   11.1   4472
PNSN   PENSON WORL  PNSN US 06/18/11 P2.5     58.6 174.9   0.30    0.0    313
MTG    MGIC INVT C  MTG US 06/18/11 C6        49.6  68.5   2.34   -8.9    218
CHBT   CHINA-BIOTI  CHBT US 06/18/11 C10      43.8 103.1   1.65  -13.2    347
AEP    AMERICAN EL  AEP US 06/18/11 C37       41.8  18.3   1.15  130.0    261
LVLT   LEVEL 3 COM  LVLT US 06/18/11 C1       39.9 148.8   0.90    0.0    225
CIM    CHIMERA INV  CIM US 06/18/11 C4        38.6  24.0   0.05  -50.0    250
CHBT   CHINA-BIOTI  CHBT US 01/21/12 C7.5     37.5  48.3   2.60  -31.6    500
AEP    AMERICAN EL  AEP US 06/18/11 C38       37.4  17.5   0.55  266.7   7274
BR     BROADRIDGE   BR US 06/18/11 P22.5      31.9  29.7   0.95   46.1    517
AEP    AMERICAN EL  AEP US 06/18/11 C39       31.9  19.2   0.30    0.0    441
SIRI   SIRIUS XM R  SIRI US 09/17/11 C1.5     29.6  47.2   0.79   -4.8    200
SQNM   SEQUENOM IN  SQNM US 06/18/11 C7       28.1  45.8   1.16  -12.1   1300
UUP    POWERSHARES  UUP US 06/18/11 C20       27.3  11.6   1.58   -1.2    209
IRWD   IRONWOOD PH  IRWD US 11/19/11 C15      25.9  45.1   2.25   28.6    350
CHBT   CHINA-BIOTI  CHBT US 06/18/11 P10      25.8 184.7   2.00   53.9    278
CHBT   CHINA-BIOTI  CHBT US 06/18/11 P9       23.2 194.3   1.75   84.2    893
IAU    ISHARES GOL  IAU US 10/22/11 C12       22.5  23.4   2.60   -5.5    250
AEP    AMERICAN EL  AEP US 08/20/11 C38       22.3  16.6   1.10  100.0   1622
RAH    RALCORP HLD  RAH US 06/18/11 C90       21.5  22.1   2.70    0.0   1391
CNP    CENTERPOINT  CNP US 06/18/11 P17.5     20.9  27.9   0.15  -50.0    476
CHBT   CHINA-BIOTI  CHBT US 06/18/11 P7       19.5 205.9   0.80   77.8    265
HBI    HANESBRANDS  HBI US 06/18/11 C30       18.0  32.5   2.25  -22.4    861
EWG    ISHARES-GER  EWG US 06/18/11 P27       17.2  24.7   0.80   45.5    702
CLWR   CLEARWIRE -  CLWR US 06/18/11 P4       17.2  81.6   0.35  133.3    651
PPL    PPL CORPORA  PPL US 07/16/11 C28       14.9  16.4   0.55   10.0    286
LVLT   LEVEL 3 COM  LVLT US 06/18/11 C2       13.7  69.6   0.10  -33.3    447
CHBT   CHINA-BIOTI  CHBT US 06/18/11 P6       13.5 214.4   0.65  209.5    490
CVX    CHEVRON COR  CVX US 06/18/11 C90       13.2  32.4  11.65   -5.7    312
QCOR   QUESTCOR PH  QCOR US 06/18/11 P20      13.1  52.2   0.41  -59.0    254
C      CITIGROUP I  C1 US 07/16/11 C3.5       13.0  35.3   0.74   -8.6   2283
AEP    AMERICAN EL  AEP US 11/19/11 C39       12.6  16.2   1.00   66.7    537
CCJ    CAMECO CORP  CCJ US 06/18/11 P25       11.9  42.6   0.80  128.6    218
SIRI   SIRIUS XM R  SIRI US 06/18/11 C2       11.8  49.9   0.37   12.1    861
CCJ    CAMECO CORP  CCJ US 06/18/11 P26       11.8  41.9   1.13   88.3   1177
ID     L-1 IDENTIT  ID US 07/16/11 P9         11.7  74.3   0.45    0.0   1250
JNPR   JUNIPER NET  JNPR US 06/18/11 C41      11.1  33.0   1.03   83.9   4507
GDXJ   MARKET VECT  GDXJ US 01/21/12 C30      10.8  42.9   7.20  -19.1    333
GS     GOLDMAN SAC  GS US 06/18/11 C145       10.6  25.5   2.74  -52.8   1053
JNPR   JUNIPER NET  JNPR US 06/18/11 C40      10.4  33.3   1.43   62.5   3376
GS     GOLDMAN SAC  GS US 06/18/11 P145       10.4  25.0   7.08  136.8   1300
CECO   CAREER EDUC  CECO US 10/22/11 P23      10.2  45.4   2.75  -16.7   2738

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
CHBT   CHINA-BIOTI  CHBT US 08/20/11 C3      -44.3 102.1   7.10    0.0    244
CSCO   CISCO SYSTE  CSCO US 06/18/11 C17     -29.4  22.6   0.47  -60.2  11818
CSCO   CISCO SYSTE  CSCO US 06/18/11 P17     -29.4  22.6   0.50   28.2   6250
CSCO   CISCO SYSTE  CSCO US 06/18/11 C16     -28.7  24.5   1.14  -40.9   2197
CSCO   CISCO SYSTE  CSCO US 06/18/11 C15     -28.4  28.1   2.02  -28.6    269
CSCO   CISCO SYSTE  CSCO US 06/18/11 P16     -27.9  24.5   0.17    6.2   5747
GMXR   GMX RESOURC  GMXR US 06/18/11 C4      -24.4  56.0   0.70  -52.7    500
CSCO   CISCO SYSTE  CSCO US 06/18/11 P14     -23.9  31.0   0.03   50.0    206
SA     SEABRIDGE G  SA US 01/19/13 C30       -22.8  43.7   7.50   -0.3    832
CSCO   CISCO SYSTE  CSCO US 06/18/11 P15     -22.6  28.4   0.05  -28.6   1041
CSCO   CISCO SYSTE  CSCO US 07/16/11 P16     -21.6  24.0   0.31   19.2   2322
VRX    VALEANT PHA  VRX US 07/16/11 C35      -20.8  51.1  16.50   -8.3  12206
CSCO   CISCO SYSTE  CSCO US 07/16/11 P15     -20.7  26.4   0.14    7.7    371
CSCO   CISCO SYSTE  CSCO US 07/16/11 C17.5   -20.1  23.0   0.41  -58.2   2452
CSCO   CISCO SYSTE  CSCO US 07/16/11 C16     -19.6  24.8   1.26  -38.5   8016
SYMC   SYMANTEC CO  SYMC US 06/18/11 C20     -19.1  32.2   0.75    7.1    219
CSCO   CISCO SYSTE  CSCO US 07/16/11 P17.5   -19.0  22.5   1.02   41.7   2068
SYMC   SYMANTEC CO  SYMC US 06/18/11 C19     -18.1  32.9   1.32    8.2    383
NG     NOVAGOLD RE  NG US 06/18/11 C10       -16.7  51.1   0.85  -32.0    220
NG     NOVAGOLD RE  NG US 06/18/11 C9        -15.8  59.0   1.55  -32.3    440
SPWRA  SUNPOWER CO  SPWRA US 06/18/11 P21    -15.8  46.7   0.88  -29.6    791
ALU    ALCATEL-LUC  ALU US 06/18/11 C5       -15.1  43.0   1.20    0.0    500
CSCO   CISCO SYSTE  CSCO US 08/20/11 C16     -14.2  27.1   1.39  -36.8    295
CSCO   CISCO SYSTE  CSCO US 08/20/11 P15     -13.6  28.4   0.29   16.0   2341
CSCO   CISCO SYSTE  CSCO US 08/20/11 P16     -13.5  26.8   0.55   30.9   2543
CSCO   CISCO SYSTE  CSCO US 08/20/11 C15     -13.4  29.0   2.13  -27.8    264
SYMC   SYMANTEC CO  SYMC US 07/16/11 C21     -13.4  29.5   0.62   12.7    304
HEK    HECKMANN CO  HEK US 06/18/11 P5       -13.2  47.1   0.05  -50.0    250
SVNT   SAVIENT PHA  SVNT US 01/21/12 C6      -13.2  53.3   2.80    0.0   1000
KSS    KOHLS CORP   KSS US 06/18/11 C55      -12.6  21.2   1.05   10.5    222
LZ     LUBRIZOL CO  LZ US 06/18/11 C135      -12.5   2.5   0.05  -75.0    200
SYMC   SYMANTEC CO  SYMC US 07/16/11 P19     -12.4  30.4   0.54  -41.3    440
SYMC   SYMANTEC CO  SYMC US 07/16/11 P20     -12.4  29.9   0.94  -34.7    216
SYMC   SYMANTEC CO  SYMC US 07/16/11 C20     -12.3  30.2   1.02   13.3    420
CSCO   CISCO SYSTE  CSCO US 08/20/11 C17     -12.0  26.3   0.85  -42.6   7435
CSCO   CISCO SYSTE  CSCO US 08/20/11 P17     -11.8  26.0   1.00   31.6    981
SINA   SINA CORP    SINA US 06/18/11 P125    -11.5  57.0  11.00  -13.4    650
JBLU   JETBLUE AIR  JBLU US 06/18/11 P6      -11.0  39.2   0.35  -12.5    725
KSS    KOHLS CORP   KSS US 06/18/11 P52.5    -10.7  22.4   0.90  -28.0   2008

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

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

-0- May/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.