U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2011-08-29T15:30:07Z
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
=============================================================================
LNG CHENIERE EN LNG US 09/17/11 C5 129.9 162.3 2.80 24.4 500
NXG NORTHGATE M NXG US 09/17/11 C2.5 78.8 150.8 1.85 184.6 235
SFY SWIFT ENERG SFY US 09/17/11 C25 75.9 58.7 4.40 -38.9 650
CTL CENTURYLINK CTL US 09/17/11 C33 72.2 29.9 2.20 46.7 724
PXD PIONEER NAT PXD US 09/17/11 C60 48.7 82.9 16.20 24.6 1000
MCD MCDONALDS C MCD US 09/17/11 C80 36.1 41.7 10.12 0.7 287
SVM SILVERCORP SVM US 10/22/11 P4 25.9 169.2 0.25 0.0 510
SVM SILVERCORP SVM US 09/17/11 P8 21.8 139.8 0.90 11.1 1066
SVM SILVERCORP SVM US 09/17/11 P7 21.7 150.5 0.55 22.2 1699
MOLX MOLEX INC MOLX US 09/17/11 P20 20.2 52.5 0.60 -14.3 1709
SVM SILVERCORP SVM US 03/17/12 P4 20.0 109.9 0.45 0.0 215
SVM SILVERCORP SVM US 10/22/11 P5 19.5 156.3 0.45 50.0 910
MTG MGIC INVT C MTG US 09/17/11 P2.5 19.2 148.4 0.23 -72.9 226
TQNT TRIQUINT SE TQNT US 09/17/11 C7 17.5 69.2 1.00 66.7 936
UNG US NAT GAS UNG US 09/17/11 P10 16.9 36.4 0.39 0.0 4324
DGI DIGITALGLOB DGI US 09/17/11 C22.5 16.4 57.8 0.85 142.9 982
SPY SPDR S&P 50 SPY US 09/17/11 P126 15.2 24.2 7.25 -19.9 285
ORI OLD REPUB I ORI US 10/22/11 C10 14.4 39.7 0.35 40.0 205
MDRX ALLSCRIPTS MDRX US 09/17/11 P15 14.4 62.8 0.15 -25.0 264
BAC BANK OF AME BAC US 09/17/11 P4 13.7 170.2 0.03 0.0 1790
BKS BARNES & NO BKS US 09/17/11 C10 13.6 102.0 1.80 16.1 570
QQQ POWERSH-QQQ QQQ US 09/17/11 P56 13.4 26.6 2.62 -21.8 1414
TMO THERMO FISH TMO US 09/17/11 C45 13.1 58.7 9.80 2.6 200
RGC REGAL ENTER RGC US 10/22/11 C12.5 12.7 40.5 0.85 21.4 210
SPY SPDR S&P 50 SPY US 09/17/11 P125 12.7 25.2 6.46 -21.7 2347
OVTI OMNIVISION OVTI US 09/17/11 C17 12.5 83.0 1.40 12.0 272
SVM SILVERCORP SVM US 10/22/11 P7 12.5 138.6 1.05 10.5 214
RDN RADIAN GROU RDN US 09/17/11 C3 12.3 110.4 0.40 33.3 1506
VMC VULCAN MATE VMC US 09/17/11 C36 11.7 51.8 1.40 40.0 608
AZO AUTOZONE IN AZO US 09/17/11 P260 11.7 45.4 0.70 7.7 411
SVM SILVERCORP SVM US 12/17/11 P7 11.0 117.1 1.35 12.5 551
VMC VULCAN MATE VMC US 09/17/11 C34 11.0 54.7 2.15 28.0 349
LNG CHENIERE EN LNG US 09/17/11 C6 10.9 120.8 1.80 12.5 500
SVM SILVERCORP SVM US 12/17/11 P5 10.8 125.6 0.60 20.0 403
BAC BANK OF AME BAC US 09/17/11 P2 10.7 280.6 0.01 0.0 500
RIMM RESEARCH IN RIMM US 09/17/11 P20 10.6 121.2 0.22 0.0 3480
COH COACH INC COH US 09/17/11 P43 10.5 74.7 0.25 -50.0 2530
CDNS CADENCE DES CDNS US 09/17/11 C8 10.4 54.3 1.12 17.9 1000
SMH SEMICONDUCT SMH US 01/19/13 P25 10.4 22.3 1.40 -19.1 364
SVM SILVERCORP SVM US 01/21/12 P4 10.1 118.2 0.35 40.0 366
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
TGB TASEKO MINE TGB US 09/17/11 C4 -42.9 60.3 0.20 -42.9 1222
KSU KANSAS CITY KSU US 09/17/11 P50 -36.3 50.6 1.30 -77.2 338
TGB TASEKO MINE TGB US 09/17/11 P4 -30.6 51.6 0.25 -37.5 1273
XME SPDR S&P ME XME US 09/17/11 P56 -21.7 44.0 2.10 -41.7 680
QQQ POWERSH-QQQ QQQ US 10/22/11 C34 -21.3 54.9 20.07 4.8 266
VVUS VIVUS INC VVUS US 09/17/11 C7 -21.1 44.0 0.85 37.1 709
SDS PROSHARES U SDS US 09/17/11 C20 -19.6 36.7 3.35 -24.7 308
CFN CAREFUSION CFN US 10/22/11 P23 -17.9 37.0 0.48 0.0 1221
ARAY ACCURAY INC ARAY US 09/17/11 C5 -17.2 76.0 0.25 0.0 295
VIVO MERIDIAN BI VIVO US 10/22/11 P17.5 -17.2 39.9 0.75 -50.0 641
XME SPDR S&P ME XME US 09/17/11 C52 -17.2 52.1 5.74 30.4 368
WAVX WAVE SYSTEM WAVX US 10/22/11 C2.5 -16.6 84.1 0.25 -28.6 312
KSU KANSAS CITY KSU US 09/17/11 P48 -16.6 52.9 0.75 -72.7 225
ARR ARMOUR RESI ARR US 09/17/11 C7.5 -15.8 18.5 0.05 -50.0 350
CBOE CBOE HOLDIN CBOE US 10/22/11 P23 -15.3 38.8 0.75 -53.7 288
CFSG CHINA FIRE CFSG US 12/17/11 P7.5 -15.2 44.4 0.35 -36.4 218
UUP POWERSHARES UUP US 10/22/11 C20 -14.1 8.5 0.94 -8.7 200
TRV TRAVELERS C TRV US 09/17/11 C50 -13.9 32.9 1.70 70.0 433
CNW CON-WAY INC CNW US 09/17/11 P25 -13.4 58.2 1.20 -36.8 200
LYG LLOYDS BANK LYG US 04/21/12 C1 -13.0 99.1 1.15 9.5 200
UNG US NAT GAS UNG US 09/17/11 C9 -12.2 37.4 0.91 -2.1 251
CBOE CBOE HOLDIN CBOE US 09/17/11 C23 -11.9 32.1 1.80 12.5 310
DFS DISCOVER FI DFS US 09/17/11 P20 -11.4 70.3 0.15 -62.5 2500
XME SPDR S&P ME XME US 09/17/11 P49 -11.2 58.5 0.51 -29.2 3600
SWK STANLEY BLA SWK US 10/22/11 P62.5 -10.8 40.9 4.80 0.0 650
TRV TRAVELERS C TRV US 09/17/11 P45 -10.5 42.1 0.30 -70.0 287
C CITIGROUP I C US 09/17/11 P32 -10.4 52.2 2.08 -34.0 428
UBS UBS AG-REG UBS US 09/17/11 P14 -10.3 54.7 0.80 -33.3 204
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net
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