U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2011-11-21T16:30:24Z
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
=============================================================================
PGF POWERSHARES PGF US 12/17/11 P17 75.5 17.4 0.80 33.3 250
GILD GILEAD SCIE GILD US 01/21/12 C30 49.1 46.5 5.95 -54.0 1238
ALXA ALEXZA PHAR ALXA US 12/17/11 P1 39.5 313.5 0.30 20.0 500
TOO TEEKAY OFFS TOO US 12/17/11 P22.5 33.1 80.6 0.65 85.7 984
SNV SYNOVUS FIN SNV US 12/17/11 P1.5 27.1 95.1 0.10 0.0 350
P PANDORA MED P US 12/17/11 P11 26.4 155.1 1.35 50.0 680
SAI SAIC INC SAI US 12/17/11 P12 25.4 39.3 0.85 0.0 250
YONG YONGYE INTE YONG US 12/17/11 C4.5 23.1 86.7 0.30 -57.1 200
FIO FUSION-IO I FIO US 12/17/11 C35 22.4 77.6 3.20 -39.6 473
EUO PROSH-UL/SH EUO US 12/17/11 C18 21.2 35.3 0.95 -5.0 263
MHS MEDCO HEALT MHS US 01/21/12 P42.5 20.8 60.6 0.95 72.7 260
BKS BARNES & NO BKS US 12/17/11 P11 20.4 110.0 0.10 -47.4 303
FOE FERRO CORP FOE US 12/17/11 C5 19.9 106.8 0.90 -21.7 1485
P PANDORA MED P US 12/17/11 P12 18.9 144.8 1.70 36.0 464
GILD GILEAD SCIE GILD US 12/17/11 C37 18.6 39.1 0.80 0.0 239
GILD GILEAD SCIE GILD US 01/21/12 C37 18.1 37.0 1.45 -62.3 319
SPRD SPREADTRUM- SPRD US 12/17/11 C25 17.7 90.8 2.20 -49.8 1942
GILD GILEAD SCIE GILD US 12/17/11 P36 17.4 41.1 1.83 381.6 590
MWE MARKWEST EN MWE US 12/17/11 P50 17.0 39.8 1.20 14.3 686
PAA PLAINS ALL PAA US 12/17/11 C65 16.9 18.3 0.45 -40.0 258
PWRD PERFECT WOR PWRD US 12/17/11 P11 16.8 92.0 0.85 70.0 276
CRL CHARLES RIV CRL US 12/17/11 P25 15.9 48.8 0.50 100.0 300
YONG YONGYE INTE YONG US 01/21/12 P4.5 15.2 95.7 0.75 50.0 500
PWRD PERFECT WOR PWRD US 03/17/12 P9 15.2 88.2 0.95 0.0 470
TIVO TIVO INC TIVO US 12/17/11 C10 15.1 65.5 0.48 -25.0 229
PWRD PERFECT WOR PWRD US 03/17/12 P10 15.1 85.7 1.45 52.6 338
GILD GILEAD SCIE GILD US 12/17/11 C36 14.9 40.5 1.17 -75.7 818
AGNC AMERICAN CA AGNC US 12/17/11 P28 14.8 21.2 0.70 27.3 413
YONG YONGYE INTE YONG US 12/17/11 P4.5 14.6 96.0 0.40 33.3 320
X US STEEL CO X US 12/17/11 P25 14.3 83.0 2.70 55.2 229
MMI MOTOROLA MO MMI US 01/21/12 P35 14.3 26.0 0.35 16.7 696
TIVO TIVO INC TIVO US 12/17/11 P10 14.2 64.7 0.79 23.4 555
HPQ HEWLETT-PAC HPQ US 12/17/11 P27 14.1 60.1 2.02 65.6 1407
HPQ HEWLETT-PAC HPQ US 12/17/11 C27 14.1 60.5 1.46 -31.8 2039
PWRD PERFECT WOR PWRD US 03/17/12 P8 13.7 93.7 0.65 62.5 387
PWRD PERFECT WOR PWRD US 03/17/12 P11 13.6 82.2 1.90 35.7 300
XLV SPDR-HEALTH XLV US 12/17/11 P31 13.5 31.5 0.62 40.9 10365
XLU SPDR-UTIL S XLU US 12/17/11 C35 13.4 17.4 0.26 -40.9 272
AGNC AMERICAN CA AGNC US 12/17/11 C28 13.4 21.1 0.50 -9.1 337
LINE LINN ENERGY LINE US 12/17/11 P34 13.3 40.6 0.75 66.7 3368
HPQ HEWLETT-PAC HPQ US 12/17/11 C26 13.2 61.9 1.93 -31.1 658
CLX CLOROX CO CLX US 12/17/11 P57.5 13.1 31.2 0.28 180.0 809
PCS METROPCS CO PCS US 12/17/11 P8 13.0 61.6 0.55 22.2 200
HPQ HEWLETT-PAC HPQ US 12/17/11 P26 13.0 61.6 1.48 72.1 1385
ACH ALUMINUM CO ACH US 12/17/11 P10 12.9 90.9 0.50 100.0 307
IVN IVANHOE MIN IVN US 12/17/11 P17 12.9 113.9 1.55 46.2 1005
IVN IVANHOE MIN IVN US 12/17/11 P18 12.8 113.7 1.95 25.0 881
GS GOLDMAN SAC GS US 12/17/11 C90 12.7 58.8 5.05 -16.2 4208
TIVO TIVO INC TIVO US 12/17/11 P8 12.7 83.2 0.21 75.0 539
DNDN DENDREON CO DNDN US 12/17/11 C8 12.6 96.9 1.13 18.9 518
ITUB ITAU UNIBAN ITUB US 12/17/11 C17 12.5 49.5 0.65 -38.1 201
FMCN FOCUS MEDIA FMCN US 12/17/11 P22 12.5 120.2 3.00 122.2 1785
X US STEEL CO X US 12/17/11 P24 12.5 83.7 2.09 63.3 634
GILD GILEAD SCIE GILD US 12/17/11 P35 12.5 42.3 1.43 652.6 1682
CYTX CYTORI THER CYTX US 12/17/11 P2.5 12.4 137.9 0.30 20.0 502
UUP POWERSHARES UUP US 12/17/11 P23 12.3 18.0 1.02 -7.3 280
INHX INHIBITEX I INHX US 12/17/11 C10 12.3 93.6 1.35 200.0 225
WLT WALTER ENER WLT US 12/17/11 P60 12.2 76.7 2.02 85.3 232
SPRD SPREADTRUM- SPRD US 01/21/12 C19 12.2 93.0 7.10 -28.6 220
SPRD SPREADTRUM- SPRD US 01/21/12 P20 12.2 90.2 1.35 200.0 366
CCI CROWN CASTL CCI US 12/17/11 P38 12.2 38.3 0.90 63.6 1000
OPK OPKO HEALTH OPK US 12/17/11 P5 12.1 53.5 0.25 0.0 503
EUO PROSH-UL/SH EUO US 12/17/11 C19 12.1 35.7 0.55 0.0 746
RAI REYNOLDS AM RAI US 12/17/11 P39 12.0 28.8 0.80 -14.9 1006
WPZ WILLIAMS PA WPZ US 12/17/11 P55 11.8 33.3 1.25 19.1 1255
ITUB ITAU UNIBAN ITUB US 12/17/11 P17 11.8 50.6 1.20 31.9 420
LO LORILLARD I LO US 12/17/11 C110 11.7 47.3 3.90 -9.3 427
XLV SPDR-HEALTH XLV US 12/17/11 P30 11.7 34.4 0.34 36.0 525
IR INGERSOLL-R IR US 12/17/11 C32 11.7 48.8 1.25 8.7 348
HPQ HEWLETT-PAC HPQ US 12/17/11 P25 11.6 63.2 1.10 83.3 2946
STD BANCO SANTA STD US 01/19/13 P5 11.5 71.7 1.25 21.4 1987
GORO GOLD RESOUR GORO US 12/17/11 P15 11.4 108.3 0.70 40.0 410
X US STEEL CO X US 12/17/11 C24 11.4 83.5 2.07 -31.2 595
DBA POWERSHARES DBA US 12/17/11 C29 11.2 23.0 0.75 -11.8 238
X US STEEL CO X US 12/17/11 P23 11.2 84.2 1.61 66.0 1100
FMCN FOCUS MEDIA FMCN US 12/17/11 P21 11.2 123.3 2.65 138.7 848
MDY SPDR S&P MI MDY US 12/17/11 P152 11.1 37.7 6.10 41.9 407
GS GOLDMAN SAC GS US 12/17/11 C85 11.1 62.7 8.20 -11.8 2161
PG PROCTER & G PG US 12/17/11 C65 11.0 17.6 0.23 -51.1 1600
WIN WINDSTREAM WIN US 12/17/11 C11 11.0 28.7 0.64 -12.3 300
GILD GILEAD SCIE GILD US 01/21/12 P34 11.0 40.5 1.70 203.6 253
WLT WALTER ENER WLT US 12/17/11 P55 10.8 78.0 0.90 150.0 392
NFLX NETFLIX INC NFLX US 12/17/11 P60 10.7 88.5 1.40 57.3 223
FAS FINL BULL 3 FAS1 US 12/17/11 C15 10.7 100.9 0.15 -57.1 383
FAS FINL BULL 3 FAS1 US 01/21/12 C27 10.7 137.5 0.01 0.0 500
NFLX NETFLIX INC NFLX US 12/17/11 P65 10.7 80.7 2.13 45.9 927
LVS LAS VEGAS S LVS US 12/17/11 C45 10.6 50.2 1.75 -28.3 1810
HPQ HEWLETT-PAC HPQ US 12/17/11 P24 10.6 65.3 0.78 90.2 666
KSU KANSAS CITY KSU US 12/17/11 P65 10.6 47.9 3.30 73.7 254
XOM EXXON MOBIL XOM US 12/17/11 C80 10.6 26.5 0.80 -35.0 2277
WLT WALTER ENER WLT US 12/17/11 P65 10.5 76.4 3.87 64.7 506
BRCD BROCADE COM BRCD US 12/17/11 C4 10.5 100.8 0.68 -19.1 261
GDX MKT VECT-GO GDX US 12/17/11 C58 10.4 41.2 1.39 -28.7 754
SPRD SPREADTRUM- SPRD US 01/21/12 C26 10.4 77.2 2.27 -51.7 1581
TNA SMALL CAP B TNA US 04/21/12 C20 10.4 131.2 22.50 -9.6 200
AIG AMERICAN IN AIG US 12/17/11 P21 10.3 56.0 1.28 33.3 696
GS GOLDMAN SAC GS US 12/17/11 P75 10.3 73.7 1.60 48.1 913
IVR INVESCO MOR IVR US 12/17/11 C15 10.2 24.5 0.30 -40.0 227
HMY HARMONY GOL HMY US 12/17/11 P13 10.2 49.6 0.85 51.8 300
GS GOLDMAN SAC GS US 12/17/11 P80 10.2 67.3 2.50 40.5 810
FAS FINL BULL 3 FAS US 12/17/11 C55 10.0 123.6 6.30 -32.6 202
TLAB TELLABS INC TLAB US 12/17/11 P4 10.0 56.1 0.28 40.0 383
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
VRUS PHARMASSET VRUS US 02/18/12 P110 -45.9 32.9 0.78 0.0 362
VRUS PHARMASSET VRUS US 12/17/11 P105 -45.3 46.8 0.15 0.0 444
REGN REGENERON P REGN US 12/17/11 C55 -43.0 64.4 3.50 6.1 364
VRUS PHARMASSET VRUS US 02/18/12 P105 -39.6 36.5 0.75 0.0 383
VRUS PHARMASSET VRUS US 02/18/12 C105 -26.5 39.1 30.00 3650.0 405
FIG FORTRESS IN FIG US 01/21/12 C2.5 -21.2 62.9 0.80 -27.3 218
FSIN FUSHI COPPE FSIN US 12/17/11 C7.5 -21.1 64.4 0.55 -35.3 739
CMED CHINA MEDIC CMED US 03/17/12 P4 -21.0 87.6 0.80 0.0 1379
CLWR CLEARWIRE - CLWR US 12/17/11 P1.5 -20.6 230.4 0.30 -33.3 265
LDK LDK SOLAR C LDK US 12/17/11 C2 -20.4 84.5 0.92 0.0 857
CMED CHINA MEDIC CMED US 01/21/12 P4 -18.7 89.9 0.55 0.0 1067
TSN TYSON FOODS TSN US 12/17/11 P19 -17.3 33.4 0.60 -4.8 1272
FSIN FUSHI COPPE FSIN US 06/16/12 P7.5 -17.1 47.5 1.05 -12.5 263
TSN TYSON FOODS TSN US 12/17/11 P20 -16.7 30.7 1.15 4.5 588
TRH TRANSATLANT TRH US 12/17/11 C55 -16.6 18.6 1.20 33.3 210
SPPI SPECTRUM PH SPPI US 12/17/11 P12 -14.8 62.7 0.60 -33.3 344
CLWR CLEARWIRE - CLWR US 12/17/11 C1.5 -14.8 237.3 0.45 12.5 537
BSDM BSD MEDICAL BSDM US 05/19/12 C2.5 -14.6 63.2 0.70 27.3 273
SPPI SPECTRUM PH SPPI US 12/17/11 P13 -13.4 62.6 1.10 -21.4 200
VRUS PHARMASSET VRUS US 02/18/12 P80 -13.2 53.6 0.30 -98.0 599
FSIN FUSHI COPPE FSIN US 06/16/12 C7.5 -13.2 50.3 1.20 -16.1 320
CENX CENTURY ALU CENX US 01/21/12 C7.5 -13.2 84.4 1.82 -41.3 200
DUST DIR GLD MNR DUST US 06/16/12 C38 -13.1 73.1 7.35 -3.3 349
XLK SPDR-TECH S XLK US 01/21/12 C20 -12.4 43.2 4.75 -20.2 210
DUST DIR GLD MNR DUST US 06/16/12 C36 -12.1 72.1 8.00 0.0 349
JEF JEFFERIES G JEF US 12/17/11 P10 -11.8 119.7 1.20 -14.3 915
AMR AMR CORP AMR US 01/19/13 P0.5 -11.6 161.2 0.19 -24.0 394
JEF JEFFERIES G JEF US 12/17/11 C9 -11.2 133.5 2.20 7.3 801
SIRI SIRIUS XM R SIRI US 12/17/11 C1.5 -11.2 62.4 0.31 3.3 1190
LDK LDK SOLAR C LDK US 01/21/12 C2.5 -11.1 59.3 0.52 -5.5 385
REXX REX ENERGY REXX US 12/17/11 C15 -10.5 63.3 1.15 -39.5 272
EEM ISHARES-EMG EEM US 03/17/12 C25 -10.5 60.8 12.28 -21.8 421
ETP ENERGY TRAN ETP US 12/17/11 C45 -10.5 15.4 0.40 -11.1 338
ILMN ILLUMINA IN ILMN US 12/17/11 P28 -10.4 61.3 1.95 24.2 1622
UTHR UNITED THER UTHR US 12/17/11 C42.5 -10.2 36.1 0.74 -40.8 287
JEF JEFFERIES G JEF US 12/17/11 P9 -10.2 135.7 0.85 -22.7 1449
LDK LDK SOLAR C LDK US 12/17/11 C3 -10.1 94.7 0.27 -12.9 1829
IBB ISHARES-NDQ IBB US 12/17/11 C99 -10.1 20.0 1.10 214.3 1544
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net
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