U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2011-10-12T15:30:21Z
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
=============================================================================
WFM WHOLE FOODS WFM US 01/21/12 C35 32.2 73.2 34.40 10.6 500
LIZ LIZ CLAIBOR LIZ US 11/19/11 P6 21.1 91.9 0.30 -81.9 256
RTEC RUDOLPH TEC RTEC US 11/19/11 C7.5 12.9 66.3 0.45 12.5 1025
DSX DIANA SHIPP DSX US 11/19/11 C8 11.5 53.5 0.70 40.0 417
SIRI SIRIUS XM R SIRI US 11/19/11 C1.5 11.1 61.2 0.27 17.4 429
LIZ LIZ CLAIBOR LIZ US 01/21/12 C5 10.5 84.9 2.50 194.1 460
LIZ LIZ CLAIBOR LIZ US 11/19/11 C6 10.3 86.9 1.20 500.0 372
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
INFY INFOSYS LTD INFY US 11/19/11 P57.5 -28.3 35.0 3.30 0.0 2263
RAD RITE AID CO RAD US 04/21/12 P1 -21.1 67.7 0.20 -16.7 246
CNP CENTERPOINT CNP US 11/19/11 C20 -19.9 28.8 0.80 -30.4 1000
AA ALCOA INC AA US 11/19/11 C10 -18.5 51.9 0.63 -35.0 4534
AA ALCOA INC AA US 11/19/11 P10 -17.8 52.0 0.69 -2.8 1516
OGE OGE ENERGY OGE US 11/19/11 C50 -17.7 21.7 1.00 0.0 500
MBT MOBILE TELE MBT US 12/17/11 C12 -17.4 44.2 2.50 90.8 1000
UUP POWERSHARES UUP US 01/21/12 C20 -16.9 9.3 1.78 -11.0 379
ASML ASML HOLDIN ASML US 11/19/11 C40 -16.5 42.7 1.70 70.0 1035
AA ALCOA INC AA US 11/19/11 P9 -16.4 55.9 0.32 -8.6 1535
AA ALCOA INC AA US 11/19/11 C9 -15.8 57.0 1.18 -26.7 1018
DUG PROSHARES U DUG US 01/21/12 P30 -15.1 73.7 3.70 23.3 405
AA ALCOA INC AA US 11/19/11 C8 -15.1 64.1 1.98 -18.5 211
INFY INFOSYS LTD INFY US 11/19/11 P55 -14.9 37.2 2.00 -60.8 2262
PEP PEPSICO INC PEP US 11/19/11 C65 -14.7 18.8 0.71 65.1 842
AMJ JPM-ALERIAN AMJ US 11/19/11 C35 -14.4 23.2 0.90 -10.0 1000
INFY INFOSYS LTD INFY US 11/19/11 C55 -14.1 39.8 3.60 75.6 2804
AONE A123 SYSTEM AONE US 12/17/11 C4 -13.8 81.4 0.50 100.0 1582
INFY INFOSYS LTD INFY US 11/19/11 P52.5 -13.8 39.9 1.00 -71.8 281
AA ALCOA INC AA US 11/19/11 P8 -13.5 63.5 0.16 0.0 273
PEP PEPSICO INC PEP US 11/19/11 C62.5 -12.4 20.9 2.00 62.6 370
CL COLGATE-PAL CL US 11/19/11 C92.5 -11.8 23.0 1.81 -5.7 1728
DPM DCP MIDSTRE DPM US 11/19/11 C40 -11.6 31.1 1.70 47.8 261
ADTN ADTRAN INC ADTN US 11/19/11 C29 -11.6 49.1 1.33 -44.6 405
EWT ISHARES-TAI EWT US 01/21/12 C13 -11.4 33.4 0.68 -2.9 929
SPY SPDR S&P 50 SPY US 11/19/11 P127 -11.3 23.1 7.17 -16.9 224
NGG NATIONAL GR NGG US 12/17/11 C50 -11.0 22.6 1.65 -21.4 760
EWT ISHARES-TAI EWT US 12/17/11 C13 -11.0 32.3 0.60 17.6 1002
AA ALCOA INC AA US 01/21/12 C10 -10.8 51.3 1.00 -27.5 1328
AA ALCOA INC AA US 01/21/12 P9 -10.8 54.6 0.67 -4.3 304
AA ALCOA INC AA US 01/21/12 P10 -10.8 51.3 1.10 0.9 275
RAS RAIT FINANC RAS US 11/19/11 C4 -10.6 62.7 0.35 75.0 250
SDS PROSHARES U SDS US 11/19/11 C18 -10.5 37.1 4.00 -14.9 265
UUP POWERSHARES UUP US 11/19/11 C20 -10.5 14.7 1.78 -11.0 303
C CITIGROUP I C1 US 01/19/13 P7.5 -10.3 52.1 4.65 -6.1 241
AA ALCOA INC AA US 01/21/12 C9 -10.3 54.8 1.59 -20.9 237
NGG NATIONAL GR NGG US 12/17/11 P50 -10.3 23.9 2.60 -29.7 227
IT GARTNER INC IT US 12/17/11 P35 -10.3 35.0 1.25 -34.2 200
ABT ABBOTT LABS ABT US 01/21/12 C40 -10.3 36.2 12.95 2.0 235
CIGX STAR SCIENT CIGX US 11/19/11 P2.5 -10.2 117.7 0.30 0.0 511
x - Ex-dividend. * - Ex-earnings.
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