U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2011-10-18T15:30:05Z
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
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PPDI PHARM PROD PPDI US 11/19/11 C32.5 69.8 18.1 1.00 25.0 1401
PPDI PHARM PROD PPDI US 01/21/12 C32.5 52.3 16.2 1.35 35.0 2608
HGSI HUMAN GENOM HGSI US 11/19/11 C13 46.5 126.5 1.45 163.6 314
HGSI HUMAN GENOM HGSI US 11/19/11 C12 42.0 123.5 1.95 137.8 353
HGSI HUMAN GENOM HGSI US 11/19/11 P11 40.7 124.1 0.99 -4.8 295
HGSI HUMAN GENOM HGSI US 11/19/11 C11 39.0 124.6 2.41 100.8 622
HGSI HUMAN GENOM HGSI US 11/19/11 P10 32.3 123.4 0.65 -7.1 300
MOO MKT VECT-AG MOO US 05/19/12 P38 25.4 54.6 2.60 0.0 11393
BEXP BRIGHAM EXP BEXP US 01/21/12 C30 21.2 28.1 6.70 -1.5 251
HGSI HUMAN GENOM HGSI US 01/21/12 C10 18.5 95.8 3.60 53.2 488
ACH ALUMINUM CO ACH US 05/19/12 C12 16.7 60.4 2.15 19.4 443
SHFL SHUFFLE MAS SHFL US 11/19/11 C10 15.7 54.5 0.85 41.7 435
EK EASTMAN KOD EK US 01/21/12 C1 15.2 177.2 0.54 5.9 6512
DYN DYNEGY INC DYN US 11/19/11 P3 13.8 169.4 0.40 14.3 378
SIRI SIRIUS XM R SIRI US 01/21/12 C1 12.0 74.7 0.79 2.6 376
EWH ISHARES-HON EWH US 11/19/11 C16 11.0 33.3 0.30 -45.5 526
ETE ENERGY TRAN ETE US 11/19/11 C35 10.9 34.9 2.00 0.0 361
SHFL SHUFFLE MAS SHFL US 11/19/11 P9 10.5 59.8 0.20 -77.8 261
PLCM POLYCOM INC PLCM US 01/21/12 P16.25 10.0 79.6 0.95 35.7 250
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
MELA MELA SCIENC MELA US 04/21/12 C4 -28.8 58.5 2.60 -7.1 585
MELA MELA SCIENC MELA US 01/21/12 C5 -28.3 61.3 1.85 5.7 688
HSP HOSPIRA INC HSP US 11/19/11 C30 -27.8 54.3 2.05 0.0 403
MELA MELA SCIENC MELA US 01/21/12 C4.5 -26.8 63.0 2.05 -14.6 500
BEXP BRIGHAM EXP BEXP US 01/21/12 C28 -25.1 26.7 8.70 0.0 472
SDS PROSHARES U SDS US 11/19/11 C18 -24.9 31.2 4.45 6.0 305
CROX CROCS INC CROX US 11/19/11 C17 -22.5 87.3 1.45 0.0 416
IBM IBM IBM US 11/19/11 P180 -21.5 25.0 6.80 56.3 1802
ATPG ATP OIL & G ATPG US 01/21/12 C7.5 -21.4 51.8 3.00 -17.8 200
IBM IBM IBM US 11/19/11 P185 -21.0 24.1 9.95 61.8 1173
FTR FRONTIER CO FTR US 11/19/11 C5 -20.9 35.0 0.95 0.0 217
IBM IBM IBM US 11/19/11 C185 -20.4 24.0 2.09 -71.0 2501
IBM IBM IBM US 11/19/11 P175 -19.5 26.9 4.43 47.2 1452
IBM IBM IBM US 11/19/11 C180 -19.4 25.2 4.05 -61.1 2452
IBM IBM IBM US 11/19/11 P170 -18.8 28.7 2.90 52.6 2439
OVTI OMNIVISION OVTI US 12/17/11 P7 -18.8 105.8 0.05 0.0 205
VMW VMWARE INC- VMW US 11/19/11 C95 -18.2 46.7 4.70 20.5 239
SMH SEMICONDUCT SMH US 11/19/11 C31.5 -17.1 29.0 0.47 -33.8 304
VMW VMWARE INC- VMW US 11/19/11 P90 -17.1 49.2 3.50 -45.3 593
VMW VMWARE INC- VMW US 11/19/11 P87.5 -17.1 50.9 2.70 -48.1 302
BAC BANK OF AME BAC US 11/19/11 P2 -17.0 167.1 0.01 -50.0 2536
IBM IBM IBM US 11/19/11 C175 -16.9 27.0 6.85 -51.6 741
CROX CROCS INC CROX US 12/17/11 C17 -16.8 79.1 1.82 0.0 272
VMW VMWARE INC- VMW US 11/19/11 C92.5 -16.8 48.3 5.90 22.9 289
HRBN HARBIN ELEC HRBN US 12/17/11 C22.5 -16.3 30.3 1.27 1.6 696
VMW VMWARE INC- VMW US 11/19/11 C90 -15.9 49.7 6.80 9.7 467
VMW VMWARE INC- VMW US 11/19/11 P82.5 -14.7 53.3 1.65 -54.4 605
HRBN HARBIN ELEC HRBN US 11/19/11 C23 -14.6 33.1 0.65 -13.3 1528
HRBN HARBIN ELEC HRBN US 03/17/12 P20 -14.6 52.8 1.80 -20.0 506
EMC EMC CORP/MA EMC US 11/19/11 P24 -14.2 32.7 1.09 -40.1 325
IBM IBM IBM US 11/19/11 P160 -14.0 33.4 1.27 49.4 828
EMC EMC CORP/MA EMC US 11/19/11 C24 -13.8 33.4 0.75 41.5 1877
PII POLARIS IND PII US 11/19/11 P50 -13.3 54.2 1.75 66.7 204
EMC EMC CORP/MA EMC US 11/19/11 C22 -13.0 37.5 2.22 47.0 246
GS GOLDMAN SAC GS US 11/19/11 C95 -12.9 48.2 7.25 -2.7 845
EMC EMC CORP/MA EMC US 11/19/11 C23 -12.9 35.5 1.38 45.3 1439
VMW VMWARE INC- VMW US 11/19/11 P80 -12.8 54.8 1.15 -57.4 290
GS GOLDMAN SAC GS US 11/19/11 P100 -12.7 45.4 5.85 -23.5 451
IBM IBM IBM US 01/21/12 P185 -12.4 24.8 13.32 33.2 682
IBM IBM IBM US 11/19/11 P155 -12.3 36.0 0.86 45.8 632
GS GOLDMAN SAC GS US 11/19/11 C90 -12.1 52.2 10.80 0.5 361
GS GOLDMAN SAC GS US 11/19/11 C100 -11.9 45.8 4.57 -1.7 1605
IBM IBM IBM US 01/21/12 P175 -11.8 26.8 8.46 33.0 322
CROX CROCS INC CROX US 11/19/11 P15 -11.8 91.8 1.00 0.0 551
PII POLARIS IND PII US 11/19/11 C55 -11.8 48.5 2.50 -57.3 374
EMC EMC CORP/MA EMC US 11/19/11 P23 -11.6 35.4 0.66 -47.2 905
IBM IBM IBM US 01/21/12 P180 -11.5 25.7 10.70 30.5 363
IBM IBM IBM US 01/21/12 C185 -11.5 24.8 5.75 -47.7 495
IBM IBM IBM US 01/21/12 C175 -11.1 26.8 10.93 -38.4 653
IBM IBM IBM US 01/21/12 C180 -11.0 25.8 8.00 -43.5 744
GS GOLDMAN SAC GS US 11/19/11 P90 -11.0 52.2 2.53 -29.7 722
APH AMPHENOL CO APH US 11/19/11 C40 -10.9 39.1 3.40 -8.1 620
DMD DEMAND MEDI DMD US 05/19/12 P5 -10.7 103.4 1.05 -19.2 310
UNH UNITEDHEALT UNH US 11/19/11 P41 -10.7 41.0 0.90 95.7 358
EMC EMC CORP/MA EMC US 11/19/11 P22 -10.6 38.0 0.35 -57.3 628
CIM CHIMERA INV CIM US 12/17/11 P3 -10.6 33.5 0.25 0.0 210
IBM IBM IBM US 01/21/12 P170 -10.6 28.1 6.78 41.2 527
IBM IBM IBM US 01/21/12 C170 -10.4 28.1 14.15 -33.6 232
IBM IBM IBM US 01/21/12 P165 -10.3 29.5 5.20 26.8 1054
UNH UNITEDHEALT UNH US 11/19/11 P43 -10.3 37.7 1.24 40.9 766
HRBN HARBIN ELEC HRBN US 03/17/12 P19 -10.2 59.0 1.65 -23.3 512
EMC EMC CORP/MA EMC US 11/19/11 P21 -10.2 39.9 0.20 -58.3 374
GS GOLDMAN SAC GS US 11/19/11 P85 -10.2 56.9 1.45 -39.8 506
AONE A123 SYSTEM AONE US 12/17/11 C3 -10.0 86.0 0.60 -50.0 2840
UNH UNITEDHEALT UNH US 11/19/11 C45 -10.0 34.8 1.61 -49.7 1481
x - Ex-dividend. * - Ex-earnings.
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