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
=============================================================================
WSO    WATSCO INC   WSO US 12/17/11 C60       26.6  48.3   4.00    0.0    400
MRX    MEDICIS PHA  MRX US 01/21/12 P30       17.7  48.4   1.35   42.1   1010
NEOP   NEOPROBE CO  NEOP US 01/21/12 C2       17.5  78.5   0.35  -22.2    200
FTR    FRONTIER CO  FTR US 01/21/12 P5        15.4  46.8   0.25   25.0   2318
AMR    AMR CORP     AMR US 12/17/11 P2        13.6 144.8   0.34   41.7    705
LQD    ISHARES-IBO  LQD US 12/17/11 P113      12.8   9.2   1.20    3.5    480
N      NETSUITE IN  N US 12/17/11 P45         12.4  56.3   3.80  -19.1    281
LMT    LOCKHEED MA  LMT US 01/18/14 C75       12.1  25.6   9.50    0.0    300
C      CITIGROUP I  C1 US 01/21/12 P4.5       11.9  51.6   1.72    1.8    200
EEM    ISHARES-EMG  EEM US 09/22/12 C41       10.9  35.4   4.35   -2.2    200
CX     CEMEX SAB-S  CX US 01/19/13 P2         10.6 109.5   0.46    2.2    400
DRI    DARDEN REST  DRI US 12/17/11 C49       10.4  29.2   0.95   18.8   2342
SPY    SPDR S&P 50  SPY US 12/17/11 P129      10.2  25.4   6.56    4.3    298
ATPG   ATP OIL & G  ATPG US 12/17/11 C6       10.2 133.7   1.00   33.3   1023

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
MSFT   MICROSOFT C  MSFT US 12/17/11 C16     -37.8  77.6  10.55   -5.0    249
LPHI   LIFE PARTNE  LPHI US 01/21/12 C5      -36.6  61.7   0.70  -46.1    211
AVP    AVON PRODUC  AVP US 01/21/12 C10      -32.2  69.6   7.60    0.0    200
GDX    MKT VECT-GO  GDX US 01/21/12 P25      -29.5  87.2   0.01  -50.0    475
SPLS   STAPLES INC  SPLS US 12/17/11 P14     -27.2  40.3   0.45  -10.0    369
MSFT   MICROSOFT C  MSFT US 12/17/11 C20     -26.6  50.0   6.60   -2.2    501
SPLS   STAPLES INC  SPLS US 12/17/11 P13     -25.8  42.3   0.18  -10.0    227
SPLS   STAPLES INC  SPLS US 12/17/11 C15     -23.4  40.4   0.50  -54.5    500
MSFT   MICROSOFT C  MSFT US 01/21/12 C15     -22.8  67.1  11.55   -1.7    222
SPWRA  SUNPOWER CO  SPWRA US 12/17/11 P6     -22.6 103.5   0.35  250.0    560
MTL    MECHEL-SPON  MTL US 01/18/14 C5       -22.0  77.4   7.50   -7.4    250
URBN   URBAN OUTFI  URBN US 12/17/11 C27     -22.0  41.9   0.90  -45.5    404
URBN   URBAN OUTFI  URBN US 12/17/11 C26     -20.9  43.8   1.20  -37.8    306
ZAGG   ZAGG INC     ZAGG US 12/17/11 P10     -20.5 103.8   1.05   16.7    470
IOC    INTEROIL CO  IOC US 12/17/11 C40      -18.7  93.0   8.80   30.4    229
ZAGG   ZAGG INC     ZAGG US 12/17/11 P8      -18.5 116.5   0.40   14.3    300
DKS    DICK'S SPOR  DKS US 12/17/11 C42      -18.2  36.4   1.30    4.0    209
FSIN   FUSHI COPPE  FSIN US 12/17/11 C5      -18.1 103.2   2.10    2.4    250
MSFT   MICROSOFT C  MSFT US 12/17/11 C21     -18.0  48.2   5.70   -0.9    209
MSFT   MICROSOFT C  MSFT US 01/21/12 C17.5   -16.8  55.6   9.15   -1.1    406
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P24     -16.8 106.9   2.55  -32.9   1962
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P20     -16.5 126.8   1.35  -41.3    227
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P19     -16.5 132.7   1.05  -46.1    298
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P22     -16.1 116.6   2.10  -28.8    359
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P21     -15.9 122.9   1.80  -30.8   1216
URBN   URBAN OUTFI  URBN US 12/17/11 P22     -15.8  51.7   0.25  -21.9    204
WMT    WAL-MART ST  WMT US 12/17/11 C57.5    -14.9  19.0   1.10  -50.7   1110
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P23     -14.8 114.7   2.01  -39.1    990
WMT    WAL-MART ST  WMT US 12/17/11 P57.5    -14.4  19.2   1.57   49.5   1727
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P25     -14.1 105.1   2.55  -37.8    405
FMCN   FOCUS MEDIA  FMCN US 12/17/11 C24     -14.1 106.8   4.20   16.7   1001
WMT    WAL-MART ST  WMT US 12/17/11 P60      -13.8  18.0   3.35   42.5    526
WMT    WAL-MART ST  WMT US 12/17/11 P55      -13.3  21.6   0.64   39.1    531
HD     HOME DEPOT   HD US 12/17/11 C39       -13.0  25.6   0.62  -31.1   1696
URBN   URBAN OUTFI  URBN US 01/21/12 P27     -12.8  41.0   2.46    9.3    282
COV    COVIDIEN PL  COV US 12/17/11 C50      -12.3  28.9   0.75  -16.7   1533
WMT    WAL-MART ST  WMT US 12/17/11 P52.5    -12.2  25.1   0.26   23.8    415
HD     HOME DEPOT   HD US 12/17/11 P37       -12.1  28.5   0.90   -7.2    480
URBN   URBAN OUTFI  URBN US 01/21/12 C27     -12.1  41.1   1.40  -31.7    492
HD     HOME DEPOT   HD US 12/17/11 C38       -11.8  27.1   1.05  -23.9   1157
HD     HOME DEPOT   HD US 12/17/11 P38       -11.8  27.2   1.34   -5.0    243
PMC    PHARMERICA   PMC US 03/17/12 C15      -11.7  37.5   1.85  -13.9   1056
FMCN   FOCUS MEDIA  FMCN US 12/17/11 C23     -11.6 114.7   4.60   31.4    615
MTOR   MERITOR INC  MTOR US 12/17/11 P5      -11.6 119.5   0.15    0.0   1113
WMT    WAL-MART ST  WMT US 12/17/11 P50      -11.4  29.8   0.13  -13.3   2569
HD     HOME DEPOT   HD US 12/17/11 P36       -11.2  30.3   0.60  -11.8    291
URBN   URBAN OUTFI  URBN US 01/21/12 P25     -11.2  43.7   1.42    1.4    235
HD     HOME DEPOT   HD US 12/17/11 P35       -11.1  32.8   0.44  -13.7    317
IOC    INTEROIL CO  IOC US 12/17/11 P40      -10.7 104.3   2.60  -33.3    422
TJX    TJX COS INC  TJX US 12/17/11 C62.5    -10.6  25.8   0.90  -33.3    273
HD     HOME DEPOT   HD US 12/17/11 C36       -10.2  30.4   2.44  -12.2    245

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.