Breaking News

Boeing First-Quarter Core Earnings of $1.76 Beat $1.54 Estimate
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
=============================================================================
CISG   CNINSURE IN  CISG US 09/17/11 P11      81.8 198.0   2.30  228.6   2829
PFE    PFIZER INC   PFE US 09/17/11 C16       73.0  40.2   2.34   -2.5    307
IWM    ISHARES-RUS  IWM US 09/17/11 C54       70.7  64.4  14.00   -5.1    239
CISG   CNINSURE IN  CISG US 09/17/11 P9       65.8 228.5   1.55  244.4    292
CISG   CNINSURE IN  CISG US 09/17/11 C10      60.7 187.1   2.25    0.0    561
CISG   CNINSURE IN  CISG US 10/22/11 P11      59.6 151.0   2.72  220.0    247
CISG   CNINSURE IN  CISG US 10/22/11 P10      52.6 159.4   2.30  228.6    273
IWM    ISHARES-RUS  IWM US 09/17/11 C56       38.7  61.7  12.93   28.7    259
PANL   UNIVERSAL D  PANL US 09/17/11 P40      35.8 114.4   1.40  -57.6   1380
PANL   UNIVERSAL D  PANL US 09/17/11 C40      35.6 110.0  10.91  211.7    362
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C37       33.3  53.8  15.11   -1.4    324
PANL   UNIVERSAL D  PANL US 09/17/11 P45      30.2 109.2   2.95  -55.3    556
PANL   UNIVERSAL D  PANL US 09/17/11 C45      30.1 105.8   7.50  341.2    879
NLY    ANNALY CAPI  NLY US 10/22/11 C14       29.9  48.4   3.50   -7.9    240
YRCW   YRC WORLDWI  YRCW US 01/19/13 C0.5     26.9  50.4   0.25   56.2    290
TGB    TASEKO MINE  TGB US 09/17/11 C3        25.4  76.8   0.40  -27.3    400
NLY    ANNALY CAPI  NLY US 09/17/11 C18       23.8  27.4   0.25  -34.2   7824
NLY    ANNALY CAPI  NLY US 09/17/11 P18       22.1  26.4   0.78   81.4    470
IVR    INVESCO MOR  IVR US 09/17/11 C17.5     21.9  43.7   0.40  -42.9    332
SLV    ISHARES SIL  SLV US 01/21/12 C20       21.8  56.8  19.45    4.6    531
NLY    ANNALY CAPI  NLY US 10/22/11 C18       21.1  27.9   0.39  -20.4   1471
ATML   ATMEL CORP   ATML US 09/17/11 C9       20.8  65.7   0.55  -35.3    207
EEM    ISHARES-EMG  EEM US 09/17/11 C32       20.8  67.4   8.05   -8.5    524
NLY    ANNALY CAPI  NLY US 09/17/11 C14       20.6  63.0   3.50   -9.1    425
LPHI   LIFE PARTNE  LPHI US 01/21/12 C2.5     20.2 117.3   4.20  -34.4    280
IWM    ISHARES-RUS  IWM US 09/17/11 C61       19.8  55.1   8.36    2.3    281
SPY    SPDR S&P 50  SPY US 09/17/11 C104      18.8  46.8  14.07   -1.1    264
ATPG   ATP OIL & G  ATPG US 09/17/11 P12      18.4 137.7   1.30  -31.6    524
C      CITIGROUP I  C US 09/17/11 C28         18.2  78.7   3.00   42.9    673
AGNC   AMERICAN CA  AGNC US 09/17/11 C29      18.0  35.6   0.50  -25.4    921
UUP    POWERSHARES  UUP US 10/22/11 C20       17.9  10.6   1.13    5.6    200
C      CITIGROUP I  C US 09/17/11 C30         17.4  68.5   1.72   67.0   4466
C      CITIGROUP I  C US 09/17/11 P29         17.2  72.9   1.81  -13.0   1877
C      CITIGROUP I  C US 09/17/11 P30         17.0  68.2   2.31  -11.8   2367
SPY    SPDR S&P 50  SPY US 09/17/11 C108      16.7  42.9  10.51   -4.5    652
C      CITIGROUP I  C US 09/17/11 P28         16.6  77.5   1.54   -7.8   2280
AGNC   AMERICAN CA  AGNC US 10/22/11 C29      16.6  36.1   0.70  -17.6    298
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C40       16.6  49.8  12.26    4.5    341
AGNC   AMERICAN CA  AGNC US 09/17/11 P28      16.4  39.9   1.45  104.2    659
C      CITIGROUP I  C US 09/17/11 P27         16.4  82.6   1.27   -5.2   1016
ATPG   ATP OIL & G  ATPG US 09/17/11 P9       16.3 159.8   0.45   -2.2    539
NLY    ANNALY CAPI  NLY US 10/22/11 C15       15.9  46.1   2.54  -16.7    388
SPY    SPDR S&P 50  SPY US 09/17/11 C109      15.8  41.9   9.72   -6.0   1414
IWM    ISHARES-RUS  IWM US 09/17/11 C63       15.8  51.7   6.73   -7.2    914
NLY    ANNALY CAPI  NLY US 10/22/11 C17       15.4  31.3   0.95  -18.1   1053
NLY    ANNALY CAPI  NLY US 10/22/11 C16       15.3  35.9   1.73  -12.2    478
BAC    BANK OF AME  BAC US 09/17/11 C2        15.2 277.5   5.90   20.4    234
AGNC   AMERICAN CA  AGNC US 09/17/11 C27      15.2  45.0   1.55  -22.5    464
NLY    ANNALY CAPI  NLY US 09/17/11 C17       14.9  33.5   0.81  -27.7   2326
C      CITIGROUP I  C US 09/17/11 C27         14.8  82.3   3.70   36.5    505
IWM    ISHARES-RUS  IWM US 09/17/11 C64       14.8  50.3   5.94   -7.9   2795
IWM    ISHARES-RUS  IWM US 09/17/11 C64       14.8  50.3   5.94   -7.9   2795
AGNC   AMERICAN CA  AGNC US 09/17/11 P27      14.8  44.6   0.85   70.0    246
ERX    ENERGY BULL  ERX US 09/17/11 C42       14.6 114.7   5.70    0.0    202
SPY    SPDR S&P 50  SPY US 09/17/11 C111      14.5  40.0   8.07   -6.5    657
C      CITIGROUP I  C US 09/17/11 P25         14.2  92.7   0.86   -2.3   1469
TZA    SMALL CAP B  TZA US 09/17/11 P38       14.1 103.0   0.82   -3.5    252
SPY    SPDR S&P 50  SPY US 09/17/11 C110      14.1  40.9   8.88   -6.8   1651
IWM    ISHARES-RUS  IWM US 09/17/11 C65       14.1  48.9   5.21   -7.5   7891
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C48       14.0  42.4   4.89   -5.0   1438
IWM    ISHARES-RUS  IWM US 09/17/11 C66       14.0  47.5   4.51   -7.6   3794
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C46       13.9  46.5   6.39   -8.2    267
NLY    ANNALY CAPI  NLY US 01/21/12 C17.5     13.7  27.1   0.82  -16.3   2388
SPY    SPDR S&P 50  SPY US 09/17/11 C112      13.7  39.0   7.31   -6.3   4374
SPY    SPDR S&P 50  SPY US 09/17/11 C115      13.7  36.0   5.17   -4.1  17731
ATPG   ATP OIL & G  ATPG US 09/17/11 C13      13.6 111.9   1.23   70.8    470
AONE   A123 SYSTEM  AONE US 09/17/11 C4       13.5  87.7   0.80   60.0    235
HTS    HATTERAS FI  HTS US 09/17/11 C28       13.4  24.4   0.25  -19.4    349
SPY    SPDR S&P 50  SPY US 09/17/11 C114      13.3  37.1   5.87   -4.2   5573
BCS    BARCLAYS PL  BCS US 09/17/11 P9        13.2 110.3   0.45  -18.2   1116
XLF    SPDR-FINL S  XLF US 09/17/11 C13       13.1  45.5   0.48   20.0  31853
SPY    SPDR S&P 50  SPY US 09/17/11 C116      12.9  35.0   4.51   -6.0   8439
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C49       12.9  40.5   4.10   -6.6   2348
FAS    FINL BULL 3  FAS US 09/17/11 C14       12.9 130.0   1.64   16.3   1895
SPY    SPDR S&P 50  SPY US 09/17/11 C113      12.8  38.1   6.60   -5.4   3448
SDS    PROSHARES U  SDS US 09/17/11 P22       12.8  58.3   0.39    2.6    290
IWM    ISHARES-RUS  IWM US 09/17/11 C67       12.7  45.6   3.85   -7.2   4336
SPY    SPDR S&P 50  SPY US 09/17/11 C118      12.6  32.9   3.31   -5.2  16208
SPY    SPDR S&P 50  SPY US 09/17/11 C117      12.6  34.0   3.88   -7.8   7364
IWM    ISHARES-RUS  IWM US 09/17/11 C68       12.6  44.1   3.16   -9.7   5008
FAS    FINL BULL 3  FAS US 09/17/11 P14       12.5 131.7   1.91    3.2   1644
SDS    PROSHARES U  SDS US 09/17/11 C22       12.5  57.7   3.07   15.4    309
RE     EVEREST RE   RE US 09/17/11 P70        12.4  41.4   0.90  157.1    571
LLNW   LIMELIGHT N  LLNW US 10/22/11 C2       12.3 118.5   0.50    0.0    400
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C42       12.2  47.2  10.48   -1.1    276
LUV    SOUTHWEST A  LUV US 10/22/11 C8        12.1  45.1   0.65   18.2    200
IWM    ISHARES-RUS  IWM US 09/17/11 C70       12.1  40.6   2.07   -5.9  31119
IWM    ISHARES-RUS  IWM US 09/17/11 C69       12.0  42.3   2.57  -10.8   4992
SPY    SPDR S&P 50  SPY US 09/17/11 C119      12.0  31.8   2.76   -4.8  26861
JPM    JPMORGAN CH  JPM US 09/17/11 C38       12.0  45.5   1.02   50.0   4781
JPM    JPMORGAN CH  JPM US 09/17/11 C37       11.9  48.0   1.42   36.5   4018
SPY    SPDR S&P 50  SPY US 09/17/11 C120      11.8  30.9   2.24   -8.2  21638
C      CITIGROUP I  C US 09/17/11 P24         11.7  97.7   0.71   -7.8    950
DISCK  DISCOVERY C  DISCK US 09/17/11 C35     11.5  32.2   1.55    3.3    844
SPY    SPDR S&P 50  SPY US 09/17/11 C121      11.5  29.9   1.82   -6.7  18370
SIRI   SIRIUS XM R  SIRI US 12/17/11 C1       11.5  87.8   0.76   -2.6    348
DIA    SPDR DJIA T  DIA US 09/17/11 C113.75   11.4  29.1   2.35   -7.8    334
IWM    ISHARES-RUS  IWM US 09/17/11 C71       11.2  38.7   1.56  -10.9   2551
JPM    JPMORGAN CH  JPM US 09/17/11 P38       11.2  45.5   2.40  -11.1   1516
PNC    PNC FINANCI  PNC US 09/17/11 C49       11.2  44.4   1.44   37.1    254
CMA    COMERICA IN  CMA US 09/17/11 C25       11.2  50.8   0.68    9.7    627
SDS    PROSHARES U  SDS US 09/17/11 P23       11.2  63.3   0.81    1.2    478
JPM    JPMORGAN CH  JPM US 09/17/11 P37       11.1  48.0   2.10   -7.1   3379
EXK    ENDEAVOUR S  EXK US 09/17/11 C10       10.9  78.8   1.30   13.0    275
WFC    WELLS FARGO  WFC US 09/17/11 C26       10.9  50.0   0.86   68.6   1320
SPY    SPDR S&P 50  SPY US 09/17/11 C122      10.9  28.9   1.45   -5.8   6536
SDS    PROSHARES U  SDS US 09/17/11 P21       10.8  52.1   0.14   -6.7    274
F      FORD MOTOR   F US 09/17/11 C10         10.8  55.0   0.78    2.6   1712
DIA    SPDR DJIA T  DIA US 09/17/11 C113      10.8  29.9   2.77   -9.2    679
JPM    JPMORGAN CH  JPM US 09/17/11 P36       10.8  50.6   1.63   -6.3   1549
BCS    BARCLAYS PL  BCS US 09/17/11 P10       10.8  96.7   0.80  -15.8   2480
FAS    FINL BULL 3  FAS US 09/17/11 P13       10.7 140.8   1.48    4.2    615
AGNC   AMERICAN CA  AGNC US 09/17/11 C28      10.6  40.3   1.00  -23.1    495
DIA    SPDR DJIA T  DIA US 09/17/11 C116      10.6  26.8   1.37   -8.7    393
USG    USG CORP     USG US 09/17/11 C8        10.6  83.2   0.75  141.9   2266
NLY    ANNALY CAPI  NLY US 10/22/11 P17       10.5  29.4   0.91   51.7    536
T      AT&T INC     T US 09/17/11 C30         10.5  22.1   0.31  -13.9   1060
WFC    WELLS FARGO  WFC US 09/17/11 C25       10.5  54.8   1.37   44.2   1275
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C50       10.4  38.4   3.32   -6.2   3739
AGNC   AMERICAN CA  AGNC US 12/17/11 C27      10.3  35.7   1.85  -11.9    214
WFC    WELLS FARGO  WFC US 09/17/11 P23       10.3  64.7   0.72  -10.0   1317
JNJ    JOHNSON&JOH  JNJ US 09/17/11 C67.5     10.2  19.0   0.18  -40.0    656
NLY    ANNALY CAPI  NLY US 01/19/13 C17.5     10.2  24.5   1.03   -8.0    459
NLY    ANNALY CAPI  NLY US 04/21/12 C17       10.1  27.5   1.10  -21.4    776
FAS    FINL BULL 3  FAS US 09/17/11 C12       10.1 149.7   2.76    4.5    305
MO     ALTRIA GROU  MO US 10/22/11 C27        10.1  23.6   0.41  -18.0    321
DIA    SPDR DJIA T  DIA US 09/17/11 C115      10.0  27.8   1.77  -10.6    319
DIA    SPDR DJIA T  DIA US 09/17/11 C114      10.0  28.8   2.27   -9.2    619
SPLS   STAPLES INC  SPLS US 09/17/11 C15      10.0  45.7   0.40    0.0    465
SDS    PROSHARES U  SDS US 09/17/11 P24       10.0  68.5   1.35   -2.2    593

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
XME    SPDR S&P ME  XME US 10/22/11 P42      -47.9  65.1   0.97    0.0    810
KR     KROGER CO    KR US 09/17/11 C18       -36.8  53.6   4.80    0.0    464
HRL    HORMEL FOOD  HRL US 09/17/11 P25      -30.4  34.3   0.30   50.0    223
TIVO   TIVO INC     TIVO US 09/17/11 C10     -30.2  63.0   0.43  115.0   2227
SIGM   SIGMA DESIG  SIGM US 09/17/11 P7.5    -29.5  51.9   0.40   73.9    277
TIVO   TIVO INC     TIVO US 09/17/11 C9      -28.4  64.2   0.96  140.0   2858
SDS    PROSHARES U  SDS US 09/17/11 C20      -27.8  37.1   4.60    5.8    272
TIVO   TIVO INC     TIVO US 09/17/11 P9      -27.5  63.4   0.33  -74.8    523
TIVO   TIVO INC     TIVO US 09/17/11 C8      -26.3  62.9   1.75  121.5    284
PSS    COLLECTIVE   PSS US 09/17/11 P10      -24.3  57.6   0.10  -84.6    271
YRCW   YRC WORLDWI  YRCW US 09/17/11 C0.5    -22.0  83.9   0.17   21.4   1153
SMTC   SEMTECH COR  SMTC US 09/17/11 C22     -20.6  39.7   0.35  -30.0    242
KWK    QUICKSILVER  KWK US 09/17/11 C8       -20.1  69.7   0.85  -39.3    316
TIVO   TIVO INC     TIVO US 11/19/11 C10     -19.4  66.8   1.11   65.7   1136
LIWA   LIHUA INTER  LIWA US 10/22/11 C5      -18.5  95.2   1.55    0.0   1529
GES    GUESS? INC   GES US 09/17/11 P31      -18.4  62.8   1.55   -6.1    298
C      CITIGROUP I  C1 US 09/17/11 P4        -17.9  71.6   1.06  -12.4    250
GES    GUESS? INC   GES US 09/17/11 P32      -17.8  60.8   2.00    2.6    487
HRBN   HARBIN ELEC  HRBN US 09/17/11 C12.5   -17.0 128.8   5.30   -1.9    253
PSS    COLLECTIVE   PSS US 09/17/11 P12      -16.9  57.7   0.50  -79.6   7235
TIVO   TIVO INC     TIVO US 11/19/11 C9      -16.3  68.8   1.59   80.7    521
TIVO   TIVO INC     TIVO US 09/17/11 P8      -16.1  73.3   0.11  -83.1    581
RENN   RENREN INC-  RENN US 10/22/11 C5      -15.2  67.7   2.26  -20.7    220
PSS    COLLECTIVE   PSS US 09/17/11 C12      -14.8  62.1   0.90  260.0   3471
BIG    BIG LOTS IN  BIG US 09/17/11 P30      -14.8  43.9   0.50  -33.3    221
TIVO   TIVO INC     TIVO US 11/19/11 P9      -14.6  68.6   0.96  -46.7   3766
VSEA   VARIAN SEMI  VSEA US 09/17/11 P60     -13.4  18.1   0.70  -50.0    202
TIVO   TIVO INC     TIVO US 01/21/12 C10     -12.7  66.8   1.50   57.9    533
HK     PETROHAWK E  HK US 09/17/11 C39       -12.6   2.2   0.01  -66.7   2759
AMAT   APPLIED MAT  AMAT US 09/17/11 P11     -12.1  43.6   0.56   30.2   1423
VTR    VENTAS INC   VTR US 10/22/11 P50      -11.8  31.2   2.50   -5.7   3241
TIVO   TIVO INC     TIVO US 01/21/12 C9      -11.7  69.4   1.85   44.5    539
HRBN   HARBIN ELEC  HRBN US 09/17/11 C2      -11.6 439.5  15.00    0.0   1490
BAC    BANK OF AME  BAC US 09/17/11 P3       -11.5 190.5   0.02  -71.4  36657
GAME   SHANDA GAME  GAME US 12/17/11 C5      -11.2  59.0   0.85   46.5    300
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1      -11.0  74.1   0.75   -6.2    352
DIN    DINEEQUITY   DIN US 09/17/11 C38      -10.7  53.4   3.50    0.0    655
CVO    CENVEO INC   CVO US 10/22/11 P2.5     -10.4 145.2   0.20  -20.0    237
BAC    BANK OF AME  BAC US 10/22/11 P2       -10.2 177.8   0.04  -42.9   1078
LOGI   LOGITECH IN  LOGI US 12/17/11 P11     -10.2  70.3   1.95   -2.5    400

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

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

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.