U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2011-11-22T16:30:09Z
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
=============================================================================
BEXP BRIGHAM EXP BEXP US 12/17/11 C36 51.4 8.2 0.45 -10.0 300
GRPN GROUPON INC GRPN US 04/21/12 C17 50.5 35.3 4.40 -49.4 273
BEXP BRIGHAM EXP BEXP US 04/21/12 P36 48.0 3.5 0.15 200.0 350
CIM CHIMERA INV CIM US 06/16/12 C2 42.8 60.0 0.70 0.0 200
SWS SWS GROUP I SWS US 12/17/11 C5 38.5 88.8 0.70 0.0 822
GRPN GROUPON INC GRPN US 12/17/11 C20 37.6 54.7 1.80 -53.9 553
SFL SHIP FINANC SFL US 05/19/12 P10 34.3 76.7 1.85 184.6 1593
BEXP BRIGHAM EXP BEXP US 12/17/11 P36 32.9 7.0 0.10 100.0 263
BEXP BRIGHAM EXP BEXP US 01/18/14 P35 32.0 3.6 0.10 100.0 1000
C CITIGROUP I C1 US 01/21/12 P4 31.7 68.8 1.56 3.3 300
SFL SHIP FINANC SFL US 02/18/12 P10 30.2 89.0 1.30 116.7 476
HS HEALTHSPRIN HS US 12/17/11 C55 27.1 5.1 0.15 0.0 2387
BEXP BRIGHAM EXP BEXP US 01/21/12 C35 26.2 10.4 1.46 -2.7 210
SFL SHIP FINANC SFL US 05/19/12 P7.5 25.5 89.3 0.75 66.7 1104
SPPI SPECTRUM PH SPPI US 12/17/11 P13 22.5 69.6 0.85 -3.4 429
LNKD LINKEDIN CO LNKD US 12/17/11 C40 21.6 107.8 28.60 4.8 300
LRN K12 INC LRN US 12/17/11 P22.5 21.5 80.0 1.05 -41.7 362
ETP ENERGY TRAN ETP US 12/17/11 P45 20.5 19.6 1.60 0.0 224
FRX FOREST LABS FRX US 12/17/11 C30 19.4 32.1 0.65 62.5 4387
BEXP BRIGHAM EXP BEXP US 01/21/12 P35 18.7 9.1 0.05 0.0 500
SPPI SPECTRUM PH SPPI US 12/17/11 P12 17.9 72.9 0.50 11.1 330
ENDP ENDO PHARMA ENDP US 12/17/11 P30 17.3 65.3 1.10 22.2 7752
KGC KINROSS GOL KGC US 12/17/11 C11 16.6 59.4 2.08 49.6 2023
GMCR GREEN MOUNT GMCR US 12/17/11 P37 16.2 104.4 0.83 84.4 239
KGC KINROSS GOL KGC US 12/17/11 P12 15.4 53.2 0.34 -27.7 598
VPHM VIROPHARMA VPHM US 12/17/11 P22.5 15.1 48.6 1.15 27.8 343
KGC KINROSS GOL KGC US 12/17/11 C12 14.5 53.9 1.17 44.4 527
GMCR GREEN MOUNT GMCR US 12/17/11 P38 14.3 102.8 0.91 139.5 228
SPPI SPECTRUM PH SPPI US 12/17/11 C13 14.2 67.9 0.95 31.9 258
GMCR GREEN MOUNT GMCR US 12/17/11 P40 13.9 100.5 1.34 127.1 1511
GMCR GREEN MOUNT GMCR US 12/17/11 P35 13.7 106.6 0.52 160.0 421
GMCR GREEN MOUNT GMCR US 12/17/11 P44 12.9 96.4 2.35 94.2 383
GMCR GREEN MOUNT GMCR US 12/17/11 P41 12.7 99.2 1.47 107.0 237
GMCR GREEN MOUNT GMCR US 12/17/11 P46 12.5 94.4 3.09 75.6 818
CLWR CLEARWIRE - CLWR US 12/17/11 P1.5 12.4 226.1 0.30 0.0 382
GMCR GREEN MOUNT GMCR US 12/17/11 P43 12.4 97.1 2.11 108.9 256
GMCR GREEN MOUNT GMCR US 12/17/11 P45 12.4 95.4 2.69 85.5 523
FAF FIRST AMERI FAF US 12/17/11 P10 12.2 57.9 0.15 50.0 683
VPHM VIROPHARMA VPHM US 12/17/11 C22.5 12.0 47.8 1.00 0.0 1000
GMCR GREEN MOUNT GMCR US 12/17/11 P47 11.8 93.9 3.50 67.5 536
KGC KINROSS GOL KGC US 12/17/11 C13 11.8 52.4 0.60 76.5 2665
NMR NOMURA HLDG NMR US 12/17/11 P2.5 11.8 103.0 0.10 0.0 522
GMCR GREEN MOUNT GMCR US 12/17/11 C50 11.4 91.0 4.60 -24.0 585
GMCR GREEN MOUNT GMCR US 12/17/11 P49 10.8 92.2 4.35 59.9 704
NLY ANNALY CAPI NLY US 01/21/12 C12.5 10.7 42.7 3.45 -10.4 345
HLIT HARMONIC IN HLIT US 12/17/11 C5 10.5 64.4 0.35 -36.4 972
ANR ALPHA NATUR ANR US 12/17/11 C21 10.5 91.8 1.68 -19.6 914
GMCR GREEN MOUNT GMCR US 12/17/11 P48 10.5 92.6 3.95 69.5 663
GMCR GREEN MOUNT GMCR US 12/17/11 P50 10.1 91.9 4.95 54.7 1704
MU MICRON TECH MU US 12/17/11 C6 10.1 73.0 0.55 17.0 9793
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
FRO FRONTLINE L FRO US 01/21/12 P2 -41.5 140.1 0.25 0.0 203
KRG KITE REALTY KRG US 05/19/12 P2.5 -40.3 59.1 0.10 -33.3 1000
OSG OVERSEAS SH OSG US 12/17/11 C9 -36.3 98.4 1.50 0.0 200
BRCD BROCADE COM BRCD US 12/17/11 C5 -35.5 54.6 0.26 18.2 1151
CPB CAMPBELL SO CPB US 12/17/11 P30 -31.7 24.2 0.25 92.3 211
BRCD BROCADE COM BRCD US 12/17/11 P4.5 -28.8 65.5 0.14 -67.4 423
PSS COLLECTIVE PSS US 12/17/11 P12 -27.3 62.5 0.80 45.5 480
FRO FRONTLINE L FRO US 12/17/11 P3 -27.0 127.2 0.40 0.0 243
STP SUNTECH POW STP US 12/17/11 C2 -27.0 75.5 0.44 10.0 1350
OSG OVERSEAS SH OSG US 12/17/11 C10 -26.8 94.8 0.95 0.0 200
JBLU JETBLUE AIR JBLU US 12/17/11 C3 -25.4 54.9 0.60 -20.0 228
HPQ HEWLETT-PAC HPQ US 12/17/11 P26 -25.1 44.5 1.37 3.0 2550
EP EL PASO COR EP US 04/21/12 C24 -24.9 24.3 1.75 0.0 500
HPQ HEWLETT-PAC HPQ US 12/17/11 C26 -24.4 45.6 1.07 -48.1 3929
LDK LDK SOLAR C LDK US 12/17/11 P2 -24.0 208.3 0.19 -45.7 908
HPQ HEWLETT-PAC HPQ US 12/17/11 P25 -23.6 47.3 0.94 -2.1 1800
HPQ HEWLETT-PAC HPQ US 12/17/11 C25 -23.5 47.5 1.62 -40.0 1568
BRCD BROCADE COM BRCD US 12/17/11 P5 -23.3 58.6 0.34 -54.0 450
HPQ HEWLETT-PAC HPQ US 12/17/11 C27 -23.2 44.9 0.66 -57.7 3953
BRCD BROCADE COM BRCD US 12/17/11 C4.5 -23.1 67.4 0.60 39.5 524
LDK LDK SOLAR C LDK US 12/17/11 P1 -22.9 303.1 0.09 -10.0 336
HPQ HEWLETT-PAC HPQ US 12/17/11 P24 -22.3 49.4 0.60 -7.7 567
FRO FRONTLINE L FRO US 01/21/12 P3 -21.9 120.3 0.60 200.0 214
CIM CHIMERA INV CIM US 03/17/12 C2.5 -21.4 44.0 0.30 0.0 500
HPQ HEWLETT-PAC HPQ US 12/17/11 P23 -21.2 51.8 0.38 -17.4 1712
CHS CHICO'S FAS CHS US 12/17/11 P10 -21.1 51.6 0.75 400.0 568
LNG CHENIERE EN LNG US 12/17/11 C11 -20.9 94.0 1.55 -6.1 1931
LDK LDK SOLAR C LDK US 12/17/11 C1 -20.8 187.5 1.77 -5.8 347
LNG CHENIERE EN LNG US 12/17/11 C12 -20.4 93.2 1.00 -16.7 2743
EPI WISDOMTREE EPI US 12/17/11 C17 -19.9 32.7 0.40 -11.1 547
FMCN FOCUS MEDIA FMCN US 12/17/11 P14 -19.9 169.4 1.50 -36.2 5030
FIO FUSION-IO I FIO US 12/17/11 P30 -19.8 79.0 1.50 25.0 478
LNG CHENIERE EN LNG US 12/17/11 P11 -19.5 95.7 0.80 -27.3 322
GDX MKT VECT-GO GDX US 01/21/12 C30 -19.4 82.8 26.60 -16.9 235
FMCN FOCUS MEDIA FMCN US 12/17/11 C16 -19.4 153.4 3.10 10.7 491
LDK LDK SOLAR C LDK US 01/21/12 C2.5 -19.0 73.2 0.48 -17.2 210
MRK MERCK & CO MRK US 01/18/14 C25 -19.0 33.0 9.53 0.3 740
HPQ HEWLETT-PAC HPQ US 12/17/11 P22 -18.9 55.2 0.25 -16.7 319
FIO FUSION-IO I FIO US 12/17/11 P25 -18.8 87.1 0.50 25.0 721
TSL TRINA SOLAR TSL US 12/17/11 P5 -18.7 117.4 0.27 -18.2 1361
FIO FUSION-IO I FIO US 12/17/11 C30 -18.6 65.8 3.60 -49.3 313
TSL TRINA SOLAR TSL US 12/17/11 P6 -18.6 104.0 0.59 -14.5 279
FMCN FOCUS MEDIA FMCN US 12/17/11 C14 -18.4 170.5 4.40 10.0 202
LNG CHENIERE EN LNG US 12/17/11 P10 -18.1 99.7 0.42 -44.0 287
FIO FUSION-IO I FIO US 12/17/11 C20 -17.9 80.8 12.40 -23.9 220
LNG CHENIERE EN LNG US 12/17/11 P9 -17.8 103.9 0.25 -44.4 427
EPI WISDOMTREE EPI US 12/17/11 P16 -17.7 38.5 0.40 -33.3 208
FRO FRONTLINE L FRO US 05/19/12 P2 -17.3 122.9 0.45 350.0 901
PSS COLLECTIVE PSS US 01/21/12 P10 -17.3 65.7 0.40 60.0 1026
ADI ANALOG DEVI ADI US 12/17/11 C34 -17.2 36.7 0.75 -54.5 545
FRO FRONTLINE L FRO US 01/18/14 P3 -17.1 70.9 1.80 71.4 231
TRH TRANSATLANT TRH US 12/17/11 P55 -17.0 13.3 0.60 -40.0 400
CPB CAMPBELL SO CPB US 12/17/11 P32 -17.0 20.2 0.95 375.0 347
FMCN FOCUS MEDIA FMCN US 12/17/11 P15 -16.4 163.2 1.80 -34.1 5356
SIRI SIRIUS XM R SIRI US 03/17/12 C1 -16.3 70.1 0.85 -5.6 2011
FRO FRONTLINE L FRO US 12/17/11 C3 -16.2 127.5 0.45 0.0 277
MFN MINEFINDERS MFN US 12/17/11 C11 -16.1 49.6 0.65 0.0 1899
CSTR COINSTAR IN CSTR US 12/17/11 C37.5 -15.8 59.3 5.20 0.0 200
NOK NOKIA CORP- NOK US 12/17/11 C4 -15.7 75.9 1.64 -20.8 260
QQQ POWERSH-QQQ QQQ US 12/17/11 C45 -15.3 42.3 9.09 -5.7 266
EXPE EXPEDIA INC EXPE US 01/21/12 C26 -15.2 34.5 1.60 -26.3 909
BRCD BROCADE COM BRCD US 01/21/12 P4.5 -15.1 67.8 0.37 -35.1 217
CHS CHICO'S FAS CHS US 12/17/11 C10 -15.0 54.4 0.40 -76.5 270
FMCN FOCUS MEDIA FMCN US 01/21/12 P12.5 -14.9 152.3 1.85 -24.5 739
FMCN FOCUS MEDIA FMCN US 12/17/11 P17 -14.9 151.2 2.70 -30.8 1167
LNG CHENIERE EN LNG US 01/21/12 C10 -14.7 98.0 2.80 1.8 280
RIMM RESEARCH IN RIMM US 01/19/13 P3 -14.5 91.6 0.10 -37.5 210
LNG CHENIERE EN LNG US 01/21/12 C12 -13.9 94.3 1.70 -5.6 1770
BRCD BROCADE COM BRCD US 01/21/12 P4 -13.8 71.3 0.18 -47.1 357
EPI WISDOMTREE EPI US 12/17/11 C16 -13.5 40.4 1.00 0.0 690
FMCN FOCUS MEDIA FMCN US 12/17/11 P16 -13.4 158.1 2.20 -33.3 1204
BRCD BROCADE COM BRCD US 01/21/12 C5 -13.4 62.3 0.47 42.4 446
HPQ HEWLETT-PAC HPQ US 01/21/12 C25 -13.3 46.3 2.24 -31.1 409
EXPE EXPEDIA INC EXPE US 01/21/12 C25 -13.3 35.9 2.10 -35.6 922
MDT MEDTRONIC I MDT US 12/17/11 C36 -13.2 26.3 0.35 59.1 293
HPQ HEWLETT-PAC HPQ US 01/21/12 P27 -12.8 43.2 2.55 10.4 323
FMCN FOCUS MEDIA FMCN US 12/17/11 C17 -12.7 150.6 2.60 8.3 607
HPQ HEWLETT-PAC HPQ US 01/21/12 C26 -12.6 44.9 1.65 -35.5 280
HPQ HEWLETT-PAC HPQ US 01/21/12 P26 -12.6 44.4 2.00 8.7 603
FMCN FOCUS MEDIA FMCN US 01/21/12 P14 -12.5 147.3 2.60 -25.7 310
MDT MEDTRONIC I MDT US 12/17/11 C35 -12.3 27.6 0.72 56.5 326
HPQ HEWLETT-PAC HPQ US 01/21/12 P24 -12.3 47.6 1.20 6.2 1153
HPQ HEWLETT-PAC HPQ US 01/21/12 C27 -12.2 43.6 1.25 -37.5 1277
EXEL EXELIXIS IN EXEL US 05/19/12 P3 -12.1 80.3 0.20 0.0 3000
NFLX NETFLIX INC NFLX US 12/17/11 P40 -12.1 102.9 0.08 -42.9 308
CHS CHICO'S FAS CHS US 01/21/12 C10 -11.9 50.8 0.65 -65.8 290
FMCN FOCUS MEDIA FMCN US 01/21/12 P10 -11.9 168.2 1.25 -28.6 377
WLT WALTER ENER WLT US 12/17/11 P65 -11.9 64.2 3.50 1.7 1927
LDK LDK SOLAR C LDK US 12/17/11 C2 -11.8 105.4 0.85 -6.6 990
EXEL EXELIXIS IN EXEL US 05/19/12 P4 -11.7 73.4 0.70 -17.6 869
HPQ HEWLETT-PAC HPQ US 01/21/12 C24 -11.6 48.1 2.84 -27.0 239
IFF INTL FLVR & IFF US 12/17/11 C55 -11.6 23.6 0.50 -16.7 500
BRCD BROCADE COM BRCD US 01/21/12 P5 -11.3 63.4 0.50 -38.3 450
PWER POWER-ONE I PWER US 01/21/12 C4 -11.2 87.3 1.15 -28.1 200
HPQ HEWLETT-PAC HPQ US 01/21/12 P22.5 -11.2 50.8 0.73 -11.0 201
CTRP CTRIP.COM-A CTRP US 12/17/11 P26 -11.2 50.9 1.30 -42.2 346
CIGX STAR SCIENT CIGX US 01/19/13 C2 -10.9 87.5 0.95 -9.5 300
DUK DUKE ENERGY DUK US 01/21/12 C19 -10.6 20.4 1.15 -8.0 3188
MDT MEDTRONIC I MDT US 12/17/11 P34 -10.5 29.3 0.83 -46.5 237
NFLX NETFLIX INC NFLX US 12/17/11 P42.5 -10.5 102.6 0.15 -28.6 211
WLT WALTER ENER WLT US 12/17/11 P60 -10.3 66.1 1.73 -2.8 259
SPRD SPREADTRUM- SPRD US 12/17/11 P18 -10.3 113.9 0.50 -37.5 420
S SPRINT NEXT S US 12/17/11 P2.5 -10.1 61.1 0.14 7.7 1146
SPRD SPREADTRUM- SPRD US 12/17/11 P25 -10.1 93.5 2.60 -16.1 375
HPQ HEWLETT-PAC HPQ US 01/21/12 P21 -10.0 54.6 0.52 -1.9 458
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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