Breaking News

World Health Organization Declares Nigeria Ebola-Free
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
=============================================================================
CADX   CADENCE PHA  CADX US 11/19/11 C7.5     98.0  29.6   2.05  -10.9   1252
SPY    SPDR S&P 50  SPY US 06/18/11 P138      46.4  10.2   4.99  -15.3    486
SIRI   SIRIUS XM R  SIRI US 06/18/11 C2       36.5  71.3   0.39    8.3   1072
C      CITIGROUP I  C1 US 06/18/11 P4.5       32.3  27.6   0.43   -8.5    253
CP     CANADIAN PA  CP US 06/18/11 C50        31.6  53.4  13.00    0.0    500
SIRI   SIRIUS XM R  SIRI US 09/17/11 C1.5     29.9  52.4   0.90    7.1    289
LNG    CHENIERE EN  LNG US 06/18/11 C8        28.4 101.4   3.50    9.4    252
ASIA   ASIAINFO-LI  ASIA US 07/16/11 P14      21.3  63.3   0.25  -37.5    245
C      CITIGROUP I  C1 US 08/20/11 P4.5       21.2  22.9   0.48   -4.0   1120
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1       19.9  64.9   1.38    2.2    454
CFSG   CHINA FIRE   CFSG US 07/16/11 P5       19.1 113.8   0.15   50.0    330
MHS    MEDCO HEALT  MHS US 06/18/11 C57.5     18.5  29.0   1.30  -81.9    339
CIGX   STAR SCIENT  CIGX US 06/18/11 C4       18.3 104.9   1.05   31.2    442
SPY    SPDR S&P 50  SPY US 06/18/11 P137      17.9  10.6   4.14  -14.3   1098
DIA    SPDR DJIA T  DIA US 06/18/11 P126      17.6  11.5   2.40  -20.0    969
HLIT   HARMONIC IN  HLIT US 06/18/11 C7.5     17.4  43.6   0.60   33.3    200
AMAG   AMAG PHARMA  AMAG US 06/18/11 C16      16.6  48.9   0.95   58.3    448
BRCM   BROADCOM CO  BRCM US 06/18/11 C32      16.6  36.6   4.75   59.4    266
NG     NOVAGOLD RE  NG US 07/16/11 C10        16.0  50.8   1.75   16.7   1425
UNG    US NAT GAS   UNG US 06/18/11 C10       15.5  41.5   1.54   35.1    693
TWI    TITAN INTL   TWI US 07/16/11 C20       15.5  64.1   6.90   19.6    255
HOV    HOVNANIAN E  HOV US 07/16/11 C2.5      15.4  54.1   0.30   15.4    200
QQQ    POWERSH-QQQ  QQQ US 06/18/11 P59       14.9  11.6   1.85  -12.7    733
CVS    CVS CAREMAR  CVS US 06/18/11 C40       14.5  18.6   0.37  311.1   7447
CVS    CVS CAREMAR  CVS US 06/18/11 C39       14.5  18.6   0.72  176.9    694
LNG    CHENIERE EN  LNG US 09/17/11 C8        14.3  85.4   4.30    7.5   1002
CMED   CHINA MEDIC  CMED US 06/18/11 P9       14.0  87.5   0.45   36.4    750
CVS    CVS CAREMAR  CVS US 06/18/11 P39       13.7  18.2   0.72  -39.0    597
CVLT   COMMVAULT S  CVLT US 06/18/11 C42      13.4  41.8   0.95  -20.8    200
CCJ    CAMECO CORP  CCJ US 06/18/11 P25       12.4  47.5   0.10  -33.3    257
LZ     LUBRIZOL CO  LZ US 06/18/11 C135       12.2   3.1   0.10    0.0    325
AMRN   AMARIN CORP  AMRN US 06/18/11 C17      11.4  92.9   3.09   12.4   6176
KGC    KINROSS GOL  KGC US 06/18/11 P13       11.2  45.4   0.03  -40.0    215
XLF    SPDR-FINL S  XLF US 06/18/11 P15       10.8  20.9   0.07  -30.0   1991
LO     LORILLARD I  LO US 06/18/11 P110       10.8  30.9   1.29  -16.2   2105
BAC    BANK OF AME  BAC US 06/18/11 P11       10.7  27.5   0.07  -30.0    757
BRCM   BROADCOM CO  BRCM US 06/18/11 C33      10.7  33.1   3.42   68.5   1876
SPY    SPDR S&P 50  SPY US 06/18/11 P136      10.5  11.0   3.34  -18.3   2354
BAC    BANK OF AME  BAC US 06/18/11 C10       10.2  40.0   1.75   15.9    472
CALL   MAGICJACK V  CALL US 09/17/11 P25      10.1  66.8   3.10  -27.9    205

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
TWER   TOWERSTREAM  TWER US 06/18/11 C5      -47.0  32.6   0.60    0.0    300
CLSN   CELSION COR  CLSN US 01/21/12 C2.5    -36.9  77.9   1.00    0.0   1323
MCD    MCDONALDS C  MCD US 01/21/12 C50      -32.7  29.7  31.90   -1.5    254
CLSN   CELSION COR  CLSN US 10/22/11 C2.5    -32.1  93.2   0.70  -30.0   1528
XNPT   XENOPORT IN  XNPT US 06/18/11 C7      -31.8  36.7   0.80   14.3    360
AVNR   AVANIR PHAR  AVNR US 01/21/12 C2.5    -30.8  37.1   2.15   10.3    471
OVTI   OMNIVISION   OVTI US 07/16/11 P35     -30.1  42.4   3.10   24.5    502
MRVL   MARVELL TEC  MRVL US 06/18/11 P16     -29.8  29.6   0.36  -78.0   2328
TINY   HARRIS & HA  TINY US 06/18/11 C5      -29.4  51.1   0.70  -26.3    279
MHS    MEDCO HEALT  MHS US 06/18/11 P52.5    -29.0  33.2   0.35  133.3    356
SDRL   SEADRILL LT  SDRL US 06/18/11 C35     -28.2  23.1   1.25   -3.9    260
MRVL   MARVELL TEC  MRVL US 06/18/11 C17     -28.0  30.1   0.18  260.0   5458
MCD    MCDONALDS C  MCD US 09/17/11 C60      -27.8  30.3  21.85   -2.5    381
OVTI   OMNIVISION   OVTI US 06/18/11 P33     -27.7  47.9   1.08   13.7    245
OVTI   OMNIVISION   OVTI US 06/18/11 P31     -27.1  47.1   0.50   11.1    337
OVTI   OMNIVISION   OVTI US 06/18/11 P35     -26.0  48.2   2.30   39.4    946
OVTI   OMNIVISION   OVTI US 06/18/11 P32     -25.8  48.4   0.90   40.6    680
MRVL   MARVELL TEC  MRVL US 06/18/11 P15     -25.7  32.1   0.10  -88.9   1025
OVTI   OMNIVISION   OVTI US 06/18/11 P30     -23.8  50.2   0.30    0.0    306
BWP    BOARDWALK P  BWP US 12/17/11 C30      -23.3  19.0   1.10   15.8    277
BCSI   BLUE COAT S  BCSI US 06/18/11 C23     -23.3  46.1   0.80  -20.0    322
MCD    MCDONALDS C  MCD US 09/17/11 C65      -23.1  25.1  16.95   -3.1    245
MRVL   MARVELL TEC  MRVL US 06/18/11 C15     -22.8  33.8   1.30  202.3  14764
OVTI   OMNIVISION   OVTI US 06/18/11 C35     -22.3  50.9   1.00  -67.7   1282
BCSI   BLUE COAT S  BCSI US 06/18/11 P22     -22.2  45.0   0.70  -36.4    645
BCSI   BLUE COAT S  BCSI US 06/18/11 C22     -22.0  47.0   1.15  -23.3    320
MCD    MCDONALDS C  MCD US 01/21/12 C60      -21.9  24.1  21.98   -1.9    235
OVTI   OMNIVISION   OVTI US 07/16/11 P34     -21.8  46.8   2.35   14.6    490
ALU    ALCATEL-LUC  ALU US 06/18/11 C5.5     -21.6  31.6   0.30   20.0    445
OVTI   OMNIVISION   OVTI US 06/18/11 C34     -21.1  52.0   1.40  -62.2    261
BCSI   BLUE COAT S  BCSI US 06/18/11 P21     -20.6  48.0   0.40  -46.7    337
BCSI   BLUE COAT S  BCSI US 06/18/11 P23     -19.5  44.9   1.35  -15.6    204
MHS    MEDCO HEALT  MHS US 06/18/11 P55      -18.6  30.8   0.90  800.0   1339
HGG    HHGREGG INC  HGG US 06/18/11 C14      -18.5  38.2   0.95  -34.5    946
MHS    MEDCO HEALT  MHS US 07/16/11 P50      -18.4  33.7   0.55  175.0    487
MRVL   MARVELL TEC  MRVL US 07/16/11 C16     -17.1  31.1   0.85  174.2   5020
MRVL   MARVELL TEC  MRVL US 07/16/11 P16     -17.0  31.1   0.71  -61.2    575
MMYT   MAKEMYTRIP   MMYT US 06/18/11 P22.5   -17.0  45.9   0.70   16.7    625
MRVL   MARVELL TEC  MRVL US 07/16/11 C17     -16.9  30.1   0.40  207.7   2403
GTXI   GTX INC      GTXI US 06/18/11 C6      -16.9  52.3   0.30  -14.3    468
VXX    IPATH-S&P S  VXX US 06/18/11 P19      -16.5  36.9   0.05   25.0    671
GLUU   GLU MOBILE   GLUU US 06/18/11 P5      -15.8  74.0   0.33  -17.5    235
MHS    MEDCO HEALT  MHS US 06/18/11 P57.5    -15.8  28.6   1.90  850.0   1206
OVTI   OMNIVISION   OVTI US 07/16/11 C35     -15.6  48.9   1.80  -55.0    248
VOD    VODAFONE GR  VOD US 06/18/11 P28      -15.4  16.5   1.03  -23.7    204
MHS    MEDCO HEALT  MHS US 07/16/11 C57.5    -15.4  28.1   2.05  -71.9    496
MHS    MEDCO HEALT  MHS US 07/16/11 P52.5    -15.1  31.9   0.95  280.0    232
RY     ROYAL BANK   RY US 06/18/11 C60       -15.0  17.0   0.50  -63.0    579
RBY    RUBICON MIN  RBY US 06/18/11 C5       -14.9  59.4   0.25  150.0    917
MRVL   MARVELL TEC  MRVL US 06/18/11 P14     -14.8  38.1   0.03  -92.7    713
IWM    ISHARES-RUS  IWM US 06/18/11 C77      -14.8  24.2   7.06   12.8    438
CALL   MAGICJACK V  CALL US 06/18/11 C25     -14.7  52.4   1.10  -12.0   2631
BPZ    BPZ RESOURC  BPZ US 09/17/11 C4       -14.6  61.5   0.70   40.0    300
MHS    MEDCO HEALT  MHS US 07/16/11 P55      -14.2  29.9   1.62  260.0   1999
STP    SUNTECH POW  STP US 06/18/11 C8       -14.1  40.6   0.27   35.0    311
NGD    NEW GOLD IN  NGD US 06/18/11 C10      -13.6  36.5   0.40   14.3    236
MRVL   MARVELL TEC  MRVL US 07/16/11 C15     -13.4  32.9   1.50  138.1   1075
WG     WILLBROS GR  WG US 06/18/11 P10       -12.7  48.0   0.50  -60.0    200
IWM    ISHARES-RUS  IWM US 06/18/11 C78      -12.5  23.6   6.00   11.3    243
GLUU   GLU MOBILE   GLUU US 06/18/11 C5      -12.3  74.0   0.45   12.5   2160
MHS    MEDCO HEALT  MHS US 07/16/11 P57.5    -11.9  27.9   2.69  348.3   1279
RUE    RUE21 INC    RUE US 06/18/11 C30      -11.9  44.6   3.50  288.9    202
GFRE   GULF RESOUR  GFRE US 06/18/11 C2.5    -11.4 151.6   1.00  -20.0    554
DFT    DUPONT FABR  DFT US 10/22/11 C22.5    -11.4  23.6   3.60    9.1    326
RF     REGIONS FIN  RF US 06/18/11 C7        -11.4  24.0   0.16   14.3    506
CHU    CHINA UNICO  CHU US 06/18/11 P21      -11.3  35.2   0.50    0.0   1538
NETL   NETLOGIC MI  NETL US 06/18/11 P37     -10.9  29.8   1.50  -48.3    400
IWM    ISHARES-RUS  IWM US 06/18/11 C88      -10.8  14.8   0.13    8.3   1274
MRVL   MARVELL TEC  MRVL US 06/18/11 C14     -10.8  41.4   2.27  136.5   1352
MHS    MEDCO HEALT  MHS US 10/22/11 P50      -10.6  30.8   1.65  120.0   2043
ATML   ATMEL CORP   ATML US 06/18/11 C15     -10.5  38.9   0.50   66.7    234
ATPG   ATP OIL & G  ATPG US 06/18/11 C16     -10.5  47.1   3.05    5.2    393
IWM    ISHARES-RUS  IWM US 06/18/11 C81      -10.5  20.6   3.43   14.3   1332
MRVL   MARVELL TEC  MRVL US 08/20/11 P17     -10.2  31.0   1.42  -50.9    200
NETL   NETLOGIC MI  NETL US 06/18/11 C37     -10.2  29.9   0.80   60.0    588
MMI    MOTOROLA MO  MMI US 06/18/11 C25      -10.1  33.9   0.90   20.0    210
CBLI   CLEVELAND B  CBLI US 07/16/11 C5      -10.0  71.6   0.75  -11.8    211

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

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

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.