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
=============================================================================
HOGS   ZHONGPIN IN  HOGS US 07/16/11 P10      73.7 241.0   2.50  177.8   1145
HOGS   ZHONGPIN IN  HOGS US 07/16/11 P7.5     67.7 285.3   1.45  163.6    487
HOGS   ZHONGPIN IN  HOGS US 07/16/11 C10      62.3 187.2   2.30   15.0    200
GSIC   GSI COMMERC  GSIC US 01/21/12 P29      53.6   2.6   0.05    0.0    335
MRO    MARATHON OI  MRO US 07/16/11 C45       49.7  39.2   6.50    6.6   7500
HOGS   ZHONGPIN IN  HOGS US 09/17/11 P10      44.5 162.0   2.80   78.3    300
WEN    WENDY'S/ARB  WEN US 07/16/11 C5        43.2  36.0   0.20   33.3    295
TSM    TAIWAN SEMI  TSM US 10/22/11 C12.5     41.8  31.0   0.80  -15.8    330
HOGS   ZHONGPIN IN  HOGS US 09/17/11 C10      40.4 112.9   2.55  -22.7    212
HOGS   ZHONGPIN IN  HOGS US 07/16/11 C5       39.3 217.2   5.70    0.0    315
HOGS   ZHONGPIN IN  HOGS US 07/16/11 P5       35.0 320.5   0.70  600.0    344
TSM    TAIWAN SEMI  TSM US 01/21/12 C12.5     27.3  29.5   1.03  -20.8    280
NLY    ANNALY CAPI  NLY US 07/16/11 C17       22.1  32.9   1.42    2.9    348
CSR    CHINA SECUR  CSR US 07/16/11 P2.5      21.9 189.7   0.15  200.0    990
MBI    MBIA INC     MBI US 07/16/11 C5        21.0 125.3   3.25    6.6    268
RUTH   RUTH'S HOSP  RUTH US 11/19/11 C5       20.2  39.9   1.00   11.1    500
QIHU   QIHOO 360 T  QIHU US 07/16/11 P17.5    20.1 127.2   2.10  100.0    435
TEL    TE CONNECTI  TEL US 10/22/11 C30       18.8  33.8   4.98   -2.4    500
TWC    TIME WARNER  TWC US 07/16/11 P75       18.0  26.5   1.75  -38.6    244
MHP    MCGRAW-HILL  MHP US 07/16/11 P37       17.7  34.0   0.45    0.0    477
O      REALTY INCO  O US 07/16/11 P30         17.4  33.2   0.20    0.0    346
PCYC   PHARMACYCLI  PCYC US 07/16/11 P9       17.2  57.8   0.30  -60.0    358
QIHU   QIHOO 360 T  QIHU US 07/16/11 P15      16.0 135.0   1.10   83.3    654
MHP    MCGRAW-HILL  MHP US 07/16/11 P39       15.9  30.5   0.90  157.1    315
NVLS   NOVELLUS SY  NVLS US 07/16/11 P29      15.7  49.1   0.55   77.4    214
BRCD   BROCADE COM  BRCD US 07/16/11 C6       15.6  69.7   0.81    3.9    340
MCO    MOODY'S COR  MCO US 07/16/11 P34       15.4  46.3   1.10  378.3    279
CIM    CHIMERA INV  CIM US 09/17/11 C3.5      13.2  40.7   0.16  -20.0    455
WBS    WEBSTER FIN  WBS US 10/22/11 P20       12.6  33.5   1.35   -3.6    858
OC     OWENS CORNI  OC US 07/16/11 P33        12.1  40.6   0.30  -14.3   2025
SPRD   SPREADTRUM-  SPRD US 07/16/11 P9       12.0 327.9   1.90   11.8    221
BIDU   BAIDU INC-S  BIDU US 07/16/11 P85      11.9  79.9   0.73   40.4  10384
VC     VISTEON COR  VC US 07/16/11 P60        11.8  36.6   0.85    6.2    253
SPRD   SPREADTRUM-  SPRD US 07/16/11 P12      11.7 278.5   3.10    3.3    852
BIDU   BAIDU INC-S  BIDU US 07/16/11 P75      11.6  88.7   0.34   54.5    460
CLWR   CLEARWIRE -  CLWR US 12/17/11 P2       11.6 114.7   0.25   25.0   1025
RIMM   RESEARCH IN  RIMM US 01/19/13 C27.5    11.6  45.8   6.25  -47.5    559
DEER   DEER CONSUM  DEER US 07/16/11 P5       10.9 239.4   1.35   68.8    328
TIN    TEMPLE-INLA  TIN US 07/16/11 C28       10.8  35.1   0.99  -20.8   2503
BIDU   BAIDU INC-S  BIDU US 07/16/11 P80      10.7  83.9   0.45   36.4    520
MHP    MCGRAW-HILL  MHP US 08/20/11 P38       10.6  31.0   1.20   71.4   1069
MCO    MOODY'S COR  MCO US 07/16/11 P35       10.3  44.5   1.41  176.5    693
SPRD   SPREADTRUM-  SPRD US 07/16/11 P11      10.2 295.9   2.65   10.4    231
STD    BANCO SANTA  STD US 07/16/11 P11       10.1  43.2   0.40  -38.5    357
AMRN   AMARIN CORP  AMRN US 07/16/11 P13      10.1  82.0   0.95   41.8    209

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
RIMM   RESEARCH IN  RIMM US 07/16/11 C25     -38.0  61.0   3.20  -69.4    923
RIMM   RESEARCH IN  RIMM US 07/16/11 C22.5   -34.9  69.3   5.15  -63.9    301
CP     CANADIAN PA  CP US 07/16/11 C55       -33.7  24.4   5.70   -6.2    500
CLNE   CLEAN ENERG  CLNE US 07/16/11 C11     -30.4  51.4   2.05    2.5   2000
SPY    SPDR S&P 50  SPY US 12/17/11 C70      -29.5  37.5  57.43    0.2    203
SPY    SPDR S&P 50  SPY US 12/22/12 C70      -26.1  25.2  57.80    0.8    321
RIMM   RESEARCH IN  RIMM US 07/16/11 P27.5   -26.0  55.3   1.74  370.3  15732
XLV    SPDR-HEALTH  XLV US 07/16/11 C27      -23.1  48.9   8.00    0.0    276
GERN   GERON CORP   GERN US 09/17/11 P4      -22.7  36.0   0.35    0.0    342
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C40      -22.4  50.8  14.03   -3.0    208
RIMM   RESEARCH IN  RIMM US 07/16/11 P25     -21.4  60.8   0.81  376.5  10305
DVOX   DYNAVOX INC  DVOX US 07/16/11 C7.5    -21.0  33.0   0.45  -10.0    220
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C43      -20.0  41.4  11.06   -3.0    208
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C38      -18.4  55.1  16.02  -17.0    208
RIMM   RESEARCH IN  RIMM US 07/16/11 P22.5   -18.3  68.3   0.36  414.3   4303
NCT    NEWCASTLE I  NCT US 11/19/11 C5       -17.9  54.5   1.20  140.0    490
RIMM   RESEARCH IN  RIMM US 08/20/11 P25     -17.5  52.4   1.28  326.7   1998
ETE    ENERGY TRAN  ETE US 07/16/11 P40      -17.1  31.0   0.15  -25.0   2571
ABV    AMBEV-PRF A  ABV US 07/16/11 P31.99   -16.8  30.2   1.30   23.8   1001
RIMM   RESEARCH IN  RIMM US 08/20/11 P27.5   -16.8  49.8   2.30  233.3   3668
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C37      -16.6  60.0  17.01   -5.0    228
HYG    ISH-IBOXX H  HYG US 07/16/11 C90      -16.3   9.5   0.40   60.0    201
DEER   DEER CONSUM  DEER US 07/16/11 C2.5    -15.4 183.2   2.60  -35.0   1267
DMD    DEMAND MEDI  DMD US 11/19/11 C15      -15.2  57.6   2.25   28.6    500
ZRAN   ZORAN CORP   ZRAN US 07/16/11 P7.5    -14.6  58.3   0.20  -71.8    369
RIMM   RESEARCH IN  RIMM US 08/20/11 P22.5   -14.5  56.4   0.65  195.4    427
BEC    BECKMAN COU  BEC US 11/19/11 P80      -14.3   4.6   0.05  -66.7    251
S      SPRINT NEXT  S US 07/16/11 C4         -14.2  44.8   1.07  -13.0    221
QLGC   QLOGIC CORP  QLGC US 07/16/11 P15     -13.5  28.0   0.25  -16.7    216
SPY    SPDR S&P 50  SPY US 12/17/11 C85      -13.3  33.1  42.68    0.9    267
RIMM   RESEARCH IN  RIMM US 08/20/11 C27.5   -13.2  50.8   2.25  -73.4    639
IPG    INTERPUBLIC  IPG US 07/16/11 P11      -12.5  39.3   0.35    0.0    245
RIMM   RESEARCH IN  RIMM US 09/17/11 C27.5   -12.4  55.9   3.00  -65.8   1832
WCRX   WARNER CHIL  WCRX US 07/16/11 P23     -12.3  29.6   0.80   -5.9   3083
MDY    SPDR S&P MI  MDY US 07/16/11 C173     -12.2  19.2   2.30   -9.1    210
BBBB   BLACKBOARD   BBBB US 07/16/11 P35     -12.0  71.5   0.70  -12.5    234
BJ     BJ'S WHOLES  BJ US 07/16/11 P50       -11.9  36.0   2.55  -29.2    229
AF     ASTORIA FIN  AF US 07/16/11 P12.5     -11.8  29.5   0.25   25.0    300
FXC    CRYSHS-CAN   FXC US 07/16/11 C97      -11.6   9.9   4.50    0.0   1250
TBT    PROSHARES U  TBT US 07/16/11 P33      -11.2  28.3   1.31  -13.8    366
GDXJ   MARKET VECT  GDXJ US 07/16/11 C34     -11.2  39.6   1.00    0.0    485
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C49      -10.9  29.2   5.34   -1.3    246
RIMM   RESEARCH IN  RIMM US 09/17/11 P20     -10.8  65.7   0.68  142.9   4733
DB     DEUTSCHE BA  DB US 07/16/11 P55       -10.1  40.5   1.45  -29.3    760

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.