U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2011-10-19T15:30:19Z
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
=============================================================================
SMH SEMICONDUCT SMH US 11/19/11 C30.5 75.2 30.3 1.03 8.4 224
XLY SPDR-CONS D XLY US 01/21/12 C34 58.6 36.2 5.45 -0.9 3274
NGD NEW GOLD IN NGD US 11/19/11 C11 51.4 87.8 1.24 55.0 41525
NGD NEW GOLD IN NGD US 11/19/11 P11 42.4 85.5 0.95 46.1 1782
NGD NEW GOLD IN NGD US 11/19/11 P10 41.1 88.7 0.60 71.4 649
NGD NEW GOLD IN NGD US 11/19/11 P9 37.6 94.3 0.30 100.0 306
NGD NEW GOLD IN NGD US 01/21/12 C10 32.9 80.2 2.34 41.8 587
NGD NEW GOLD IN NGD US 01/21/12 C11 29.7 75.5 1.75 29.6 849
EEM ISHARES-EMG EEM US 01/21/12 P37 27.9 39.8 2.35 -20.6 400
NGD NEW GOLD IN NGD US 01/21/12 P11 27.5 75.7 1.55 10.7 475
NGD NEW GOLD IN NGD US 01/21/12 P10 25.3 76.3 1.10 37.5 403
NGD NEW GOLD IN NGD US 02/18/12 P10 23.2 74.6 1.25 25.0 758
ARIA ARIAD PHARM ARIA US 11/19/11 C11 21.3 60.2 0.60 71.4 1342
DKS DICK'S SPOR DKS US 11/19/11 C32 21.2 59.7 5.80 114.8 200
BAC BANK OF AME BAC US 11/19/11 C4 17.2 116.7 2.80 5.3 247
PPDI PHARM PROD PPDI US 01/21/12 C32.5 15.4 16.3 1.40 3.7 598
C CITIGROUP I C1 US 01/21/12 P4 14.2 45.4 0.99 -2.9 6284
MPEL MELCO CROWN MPEL US 11/19/11 P8 13.7 101.3 0.25 25.0 4802
GNK GENCO SHIPP GNK US 11/19/11 P7 13.3 142.0 0.35 -36.4 1487
SPY SPDR S&P 50 SPY US 11/19/11 P128 13.3 23.7 6.76 2.6 321
WLT WALTER ENER WLT US 11/19/11 C80 12.4 98.4 7.15 23.3 388
NEWP NEWPORT COR NEWP US 11/19/11 C12.5 12.3 73.9 0.75 7.1 416
WLT WALTER ENER WLT US 11/19/11 P70 12.3 97.2 5.10 1.0 304
MPEL MELCO CROWN MPEL US 11/19/11 P9 11.9 93.6 0.45 12.5 220
ALU ALCATEL-LUC ALU US 03/17/12 P2.5 11.9 88.4 0.50 25.0 288
SPY SPDR S&P 50 SPY US 11/19/11 P127 11.3 24.4 6.12 0.7 539
ARIA ARIAD PHARM ARIA US 11/19/11 P10 11.2 63.0 0.45 -25.0 1231
IWM ISHARES-RUS IWM US 11/19/11 P74 10.6 35.9 4.87 -3.4 3515
NI NISOURCE IN NI US 01/21/12 C22.5 10.5 31.1 1.40 47.4 1536
BBEP BREITBURN E BBEP US 11/19/11 P17.5 10.3 36.6 1.00 -4.8 200
KMP KINDER MORG KMP US 11/19/11 C77.5 10.2 21.1 0.71 47.9 310
SPY SPDR S&P 50 SPY US 11/19/11 P125 10.1 25.9 4.89 -6.0 1996
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
XME SPDR S&P ME XME US 11/19/11 P44 -37.4 66.1 1.32 -14.8 599
VSEA VARIAN SEMI VSEA US 02/18/12 P60 -31.9 7.5 0.20 -79.0 263
CVS CVS CAREMAR CVS US 01/21/12 C17.5 -30.8 51.9 17.55 0.0 218
VSEA VARIAN SEMI VSEA US 11/19/11 P60 -27.3 12.7 0.10 -77.8 1365
VSEA VARIAN SEMI VSEA US 01/21/12 P60 -26.3 8.1 0.25 -72.2 310
PG PROCTER & G PG US 01/21/12 C50 -22.3 30.3 15.00 -1.6 712
CREE CREE INC CREE US 11/19/11 P22.5 -21.7 79.5 1.00 -9.1 1373
CREE CREE INC CREE US 11/19/11 P25 -21.2 77.4 2.00 5.3 631
SVU SUPERVALU I SVU US 11/19/11 C8 -20.9 56.2 0.40 -42.9 239
CREE CREE INC CREE US 11/19/11 C25 -20.3 77.9 2.50 -43.2 224
CREE CREE INC CREE US 11/19/11 P17.5 -20.0 88.1 0.15 -31.8 256
CREE CREE INC CREE US 11/19/11 P20 -19.8 84.4 0.41 -18.0 364
AAPL APPLE INC AAPL US 11/19/11 P420 -18.1 31.5 21.70 22.6 1526
APOL APOLLO GROU APOL US 11/19/11 C49 -17.9 40.2 1.19 60.8 465
AEM AGNICO-EAGL AEM US 11/19/11 P32.5 -17.8 68.2 0.11 120.0 727
AAPL APPLE INC AAPL US 11/19/11 C420 -17.8 32.0 9.93 -50.8 8319
APH AMPHENOL CO APH US 01/21/12 P40 -17.7 38.3 2.15 -34.9 658
APOL APOLLO GROU APOL US 11/19/11 P46 -17.4 43.8 1.85 -59.3 298
JNPR JUNIPER NET JNPR US 11/19/11 C22 -17.3 50.0 0.81 -32.5 1481
AAPL APPLE INC AAPL US 11/19/11 P410 -17.2 32.5 16.25 20.8 1538
AAPL APPLE INC AAPL US 11/19/11 C425 -17.1 31.8 8.15 -52.8 4492
AAPL APPLE INC AAPL US 11/19/11 P415 -17.1 32.1 19.00 22.2 685
JNPR JUNIPER NET JNPR US 11/19/11 C20 -17.0 53.9 1.85 -22.9 1324
HRBN HARBIN ELEC HRBN US 11/19/11 P24 -16.9 34.3 1.50 -25.0 578
JNPR JUNIPER NET JNPR US 11/19/11 C21 -16.9 52.1 1.32 -25.0 216
AAPL APPLE INC AAPL US 11/19/11 P425 -16.8 31.5 25.00 23.1 483
APOL APOLLO GROU APOL US 11/19/11 C48 -16.6 41.3 1.92 134.2 511
APOL APOLLO GROU APOL US 11/19/11 P47 -16.6 42.4 2.27 -69.5 550
AAPL APPLE INC AAPL US 11/19/11 P405 -16.5 32.8 14.00 21.7 2394
INTC INTEL CORP INTC US 11/19/11 P25 -16.4 27.9 1.33 -36.4 511
AAPL APPLE INC AAPL US 11/19/11 C410 -16.2 32.7 14.35 -44.0 5625
HRBN HARBIN ELEC HRBN US 01/21/12 P19 -16.0 58.1 1.00 -28.6 400
AAPL APPLE INC AAPL US 11/19/11 C415 -15.8 32.4 11.95 -46.2 3270
APOL APOLLO GROU APOL US 11/19/11 P45 -15.7 45.4 1.59 -56.4 427
AAPL APPLE INC AAPL US 11/19/11 C400 -15.6 33.5 19.85 -36.5 8347
ISRG INTUITIVE S ISRG US 11/19/11 C420 -15.6 37.0 19.30 180.5 254
AAPL APPLE INC AAPL US 11/19/11 P400 -15.5 33.2 11.75 19.9 5714
AAPL APPLE INC AAPL US 11/19/11 C405 -15.2 33.2 16.90 -40.8 4792
APOL APOLLO GROU APOL US 11/19/11 P43 -15.2 48.6 0.93 -64.9 291
AAPL APPLE INC AAPL US 11/19/11 P395 -15.0 33.6 9.90 20.0 2428
CREE CREE INC CREE US 12/17/11 P25 -15.0 74.3 2.63 4.8 236
VXX IPATH-S&P S VXX US 01/21/12 P19 -14.9 86.7 0.16 14.3 227
APOL APOLLO GROU APOL US 11/19/11 P44 -14.6 47.0 1.17 -72.1 203
EEM ISHARES-EMG EEM US 01/21/12 P38 -14.4 38.3 2.72 -3.2 450
YHOO YAHOO! INC YHOO US 11/19/11 P13 -14.0 63.7 0.15 -57.1 761
AAPL APPLE INC AAPL US 11/19/11 P390 -13.9 34.1 8.40 19.1 2929
LLTC LINEAR TECH LLTC US 11/19/11 C30 -13.9 32.6 0.85 -55.0 297
APOL APOLLO GROU APOL US 11/19/11 P42 -13.9 50.9 0.80 -63.6 624
JNPR JUNIPER NET JNPR US 11/19/11 P19 -13.7 55.5 0.46 -27.0 1174
YHOO YAHOO! INC YHOO US 11/19/11 P16 -13.7 64.8 1.14 -29.6 1208
YHOO YAHOO! INC YHOO US 11/19/11 P14 -13.5 64.3 0.35 -47.0 949
VSEA VARIAN SEMI VSEA US 11/19/11 P55 -13.4 27.8 0.05 -80.0 1114
AAPL APPLE INC AAPL US 11/19/11 C395 -13.4 33.9 22.90 -35.8 1730
INTC INTEL CORP INTC US 11/19/11 C25 -13.3 28.3 0.42 55.6 7697
AAPL APPLE INC AAPL US 11/19/11 P385 -13.2 34.6 7.00 19.7 2648
RRR RSC HOLDING RRR US 12/17/11 C10 -13.0 63.8 1.00 25.0 205
CREE CREE INC CREE US 12/17/11 P15 -12.9 87.1 0.18 -5.3 303
AAPL APPLE INC AAPL US 11/19/11 C385 -12.8 34.9 29.58 -30.6 1162
YHOO YAHOO! INC YHOO US 11/19/11 C16 -12.7 65.6 1.26 12.5 5042
YHOO YAHOO! INC YHOO US 11/19/11 P15 -12.7 65.5 0.69 -36.1 1171
JNPR JUNIPER NET JNPR US 11/19/11 P18 -12.5 58.8 0.27 -12.9 478
JNK SPDR BARCLA JNK US 11/19/11 C38 -12.4 11.2 0.40 14.3 546
AAPL APPLE INC AAPL US 11/19/11 C380 -12.3 35.4 33.60 -28.6 1470
INFN INFINERA CO INFN US 01/21/12 P7.5 -12.3 63.4 1.00 11.1 448
HRBN HARBIN ELEC HRBN US 12/17/11 P19 -12.1 74.3 1.00 -13.0 2196
AAPL APPLE INC AAPL US 11/19/11 C390 -11.9 34.4 26.20 -32.8 1800
APOL APOLLO GROU APOL US 11/19/11 P41 -11.8 53.5 0.57 -70.0 321
INTC INTEL CORP INTC US 11/19/11 C24 -11.7 29.3 0.87 50.0 9768
AUXL AUXILIUM PH AUXL US 03/17/12 C15 -11.1 49.2 3.00 -3.2 350
INTC INTEL CORP INTC US 11/19/11 P23 -11.1 31.1 0.42 -51.2 6373
AAPL APPLE INC AAPL US 11/19/11 P365 -11.0 36.9 3.15 16.7 1358
C CITIGROUP I C1 US 01/21/12 P5 -11.0 48.9 1.95 -4.4 1143
SVU SUPERVALU I SVU US 01/21/12 C7.5 -10.9 56.6 0.95 -32.1 449
HRBN HARBIN ELEC HRBN US 11/19/11 C24 -10.6 15.6 0.05 -50.0 870
HRBN HARBIN ELEC HRBN US 03/17/12 P18 -10.6 54.2 1.05 -34.4 200
SVU SUPERVALU I SVU US 01/21/12 P7.5 -10.6 57.7 0.79 5.3 669
AAPL APPLE INC AAPL US 12/17/11 P420 -10.5 32.2 27.96 22.1 457
YHOO YAHOO! INC YHOO US 01/21/12 C15 -10.4 56.9 2.41 11.1 582
HRBN HARBIN ELEC HRBN US 12/17/11 C24 -10.4 13.4 0.10 0.0 287
TXT TEXTRON INC TXT US 11/19/11 P17 -10.4 49.9 0.31 -43.6 522
AAPL APPLE INC AAPL US 12/17/11 P410 -10.1 32.8 22.50 22.9 548
HGSI HUMAN GENOM HGSI US 11/19/11 C14 -10.1 113.7 1.70 13.3 745
HRBN HARBIN ELEC HRBN US 11/19/11 P19 -10.1 98.1 0.93 -28.5 836
x - Ex-dividend. * - Ex-earnings.
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