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
=============================================================================
ABM    ABM INDUSTR  ABM US 01/21/12 C20       26.7  77.7   1.55    0.0    260
SYNA   SYNAPTICS I  SYNA US 11/19/11 C30      21.6  45.5   1.45  383.3    318
SYNA   SYNAPTICS I  SYNA US 12/17/11 C30      17.5  40.8   1.55  121.4    540
C      CITIGROUP I  C1 US 01/21/12 P5         17.1  67.1   2.38   -0.8    251
XLU    SPDR-UTIL S  XLU US 12/17/11 C32       16.0  23.1   2.30    2.2   1000
NLY    ANNALY CAPI  NLY US 01/19/13 P12.5     15.2  30.3   1.70   -5.6    250
SA     SEABRIDGE G  SA US 11/19/11 C24        13.4  68.6   1.50   50.0    400
MOS    MOSAIC CO/T  MOS US 11/19/11 C57.5     12.1  54.2   3.20   86.0    273
MOS    MOSAIC CO/T  MOS US 11/19/11 C55       11.4  56.1   4.40   63.0    343
SYNA   SYNAPTICS I  SYNA US 03/17/12 C29      11.3  42.4   3.20  128.6    259
BRCM   BROADCOM CO  BRCM US 11/19/11 C37      11.1  50.7   2.00   15.6    436
BRCM   BROADCOM CO  BRCM US 11/19/11 P36      10.8  52.8   2.41    9.6   2534
BRCM   BROADCOM CO  BRCM US 11/19/11 C35      10.6  54.3   3.05    4.1   1133
BRCM   BROADCOM CO  BRCM US 11/19/11 P37      10.5  50.7   2.89    4.7   1526
BRCM   BROADCOM CO  BRCM US 11/19/11 C36      10.4  52.4   2.49   14.8   1598
BRCM   BROADCOM CO  BRCM US 11/19/11 P34      10.2  56.5   1.66   13.7    852
SGEN   SEATTLE GEN  SGEN US 11/19/11 C22.5    10.2  73.9   1.60   21.2    919
MRVL   MARVELL TEC  MRVL US 11/19/11 P14      10.1  56.8   0.58   41.5  12186

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
NDN    99 CENTS ON  NDN US 12/17/11 P21      -70.3   9.4   0.20  -90.0    427
NDN    99 CENTS ON  NDN US 11/19/11 P21      -68.6  11.2   0.15  -92.1    503
NDN    99 CENTS ON  NDN US 03/17/12 P21      -66.4  10.6   0.40  -86.0    408
NDN    99 CENTS ON  NDN US 03/17/12 C21      -61.3  11.4   0.89  -25.8   1539
NDN    99 CENTS ON  NDN US 03/17/12 P20      -49.7  15.9   0.25  -85.7    597
NDN    99 CENTS ON  NDN US 03/17/12 C20      -45.2  16.2   1.75  -12.5    615
NDN    99 CENTS ON  NDN US 12/17/11 C20      -43.8  17.3   1.50   20.0    368
NDN    99 CENTS ON  NDN US 03/17/12 P19      -40.4  19.1   0.20  -82.8    685
NDN    99 CENTS ON  NDN US 11/19/11 C19      -38.7  22.2   2.50   66.7    252
NDN    99 CENTS ON  NDN US 03/17/12 C19      -33.0  19.6   2.65   22.7    812
QQQ    POWERSH-QQQ  QQQ US 11/19/11 C38      -28.2  43.3  18.23   14.9    266
LDK    LDK SOLAR C  LDK US 11/19/11 C3       -26.6  34.9   0.35  -12.5    215
SPWRA  SUNPOWER CO  SPWRA US 12/17/11 P6     -18.4 114.0   0.55    0.0    518
C      CITIGROUP I  C1 US 01/21/12 P4.5      -16.9  46.3   1.79  -11.4   7154
SDS    PROSHARES U  SDS US 11/19/11 C20      -15.3  48.4   2.99   -6.6    414
SDS    PROSHARES U  SDS US 11/19/11 P19      -14.0  44.4   0.17  -34.6    699
SWHC   SMITH & WES  SWHC US 11/19/11 C3      -13.9  68.6   0.20   33.3    200
UUP    POWERSHARES  UUP US 11/19/11 C20      -13.8  13.3   2.00    4.2    200
TRH    TRANSATLANT  TRH US 12/17/11 C50      -13.6  23.3   2.60   62.5   2030
HRBN   HARBIN ELEC  HRBN US 11/19/11 C10     -12.8 125.7  11.10    3.7    257
CMED   CHINA MEDIC  CMED US 12/17/11 P5      -12.3 123.5   1.15  -11.5    418
ZSL    PRSH-ULTSH   ZSL US 11/19/11 C14      -11.4 107.4   1.95  -11.0   3394
SDS    PROSHARES U  SDS US 11/19/11 P20      -11.4  48.7   0.41  -25.4   4316
CLMT   CALUMET SPE  CLMT US 11/19/11 C17.5   -11.3  34.0   0.75   15.4    514
ZSL    PRSH-ULTSH   ZSL US 11/19/11 C11      -11.0 101.7   3.50   -5.4    271
QQQ    POWERSH-QQQ  QQQ US 11/19/11 C44      -10.9  44.5  12.36   17.1    293
VIP    VIMPELCOM L  VIP US 03/17/12 P10      -10.4  34.9   1.35   18.4    200
EWG    ISHARES-GER  EWG US 04/21/12 P20      -10.0  47.0   2.65  -17.2    237

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.