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
=============================================================================
NBG    NATL BANK G  NBG1 US 01/21/12 P1      273.9 737.4   0.70   55.6    510
CQP    CHENIERE EN  CQP US 01/21/12 C16       62.7  61.2   1.65   32.0   1460
AGNC   AMERICAN CA  AGNC US 01/21/12 C28      61.2  19.1   1.00    0.0   1057
MO     ALTRIA GROU  MO US 01/21/12 C25        42.4  35.3   3.75   -5.1   4201
MMP    MAGELLAN MI  MMP US 01/21/12 C65       42.1  21.2   1.95   44.4   1222
EDMC   EDUCATION M  EDMC US 01/21/12 C22.5    29.7  33.3   0.85  -32.0   2501
AGNC   AMERICAN CA  AGNC US 01/21/12 C29      28.0  13.2   0.20    0.0    686
AGNC   AMERICAN CA  AGNC US 03/17/12 C28      25.5  19.9   1.10    0.0    211
MO     ALTRIA GROU  MO US 01/21/12 C27        20.4  21.3   1.75  -10.7    996
RPTP   RAPTOR PHAR  RPTP US 01/21/12 C5       19.9  63.8   1.50   42.9    200
PM     PHILIP MORR  PM US 01/21/12 C60        19.4  44.2  15.23   -6.8   1750
GLD    SPDR GOLD T  GLD US 12/30/11 C160      19.1  27.8   1.10  -57.5    729
GLD    SPDR GOLD T  GLD US 01/21/12 C157      17.7  26.4   3.45  -36.7  14397
SPRD   SPREADTRUM-  SPRD US 01/21/12 P14      17.6 111.5   0.80   77.8    237
HDY    HYPERDYNAMI  HDY US 03/17/12 C1        17.4 207.0   1.20  -35.1    680
GLD    SPDR GOLD T  GLD US 12/30/11 P159      17.4  26.9   6.22   82.9    605
GLD    SPDR GOLD T  GLD US 01/21/12 C158      17.2  26.3   3.00  -39.4    484
GLD    SPDR GOLD T  GLD US 01/21/12 P159      17.2  25.9   8.65   80.6    345
GLD    SPDR GOLD T  GLD US 12/30/11 P157      16.8  27.3   6.00  141.9    286
GLD    SPDR GOLD T  GLD US 01/21/12 C160      16.6  26.2   2.40  -39.2   2236
GLD    SPDR GOLD T  GLD US 12/30/11 P155      16.0  28.0   4.90  170.7   1105
GLD    SPDR GOLD T  GLD US 12/30/11 C158      15.9  28.0   1.65  -54.2    402
GLD    SPDR GOLD T  GLD US 01/21/12 P157      15.8  25.8   7.50   94.8  14618
DIA    SPDR DJIA T  DIA US 12/30/11 P123      15.8  20.7   5.30   10.4    277
GLD    SPDR GOLD T  GLD US 01/21/12 C156      15.8  26.4   3.85  -36.9   1418
GLD    SPDR GOLD T  GLD US 01/21/12 P155      15.7  26.1   6.20  105.3   1740
GLD    SPDR GOLD T  GLD US 01/21/12 C159      15.6  26.1   2.45  -44.9    332
GLD    SPDR GOLD T  GLD US 01/21/12 P156      15.4  26.0   6.80  100.0    617
AVP    AVON PRODUC  AVP US 01/21/12 C17.5     15.2  37.2   0.80  220.0    352
GLD    SPDR GOLD T  GLD US 01/21/12 P153      15.1  26.7   5.14  113.3    224
IAU    ISHARES GOL  IAU US 01/21/12 C16       14.7  26.0   0.25  -37.5    305
HDY    HYPERDYNAMI  HDY US 01/21/12 P2        14.6 190.4   0.45  125.0    506
GLD    SPDR GOLD T  GLD US 01/21/12 P152      14.3  26.8   4.66  120.8    538
GLD    SPDR GOLD T  GLD US 01/21/12 C155      14.2  26.6   4.30  -35.3   1588
GLD    SPDR GOLD T  GLD US 12/30/11 C156      14.1  28.3   2.29  -52.3    222
AGQ    PRSH-ULT SI  AGQ US 01/21/12 P45       14.0 102.1   5.40  100.0    204
GLD    SPDR GOLD T  GLD US 01/21/12 P151      13.9  27.0   4.30  119.4    929
GLD    SPDR GOLD T  GLD US 12/30/11 P156      13.8  27.3   5.50  161.9    272
GLD    SPDR GOLD T  GLD US 01/21/12 P154      13.7  26.2   5.70  110.3   1638
SAM    BOSTON BEER  SAM US 03/17/12 P90       13.6  35.2   2.50  108.3    502
GLD    SPDR GOLD T  GLD US 12/30/11 P154      13.5  28.1   4.30  175.6    473
YHOO   YAHOO! INC   YHOO US 04/21/12 P9       13.4  57.3   0.11  120.0    398
QQQ    POWERSH-QQQ  QQQ US 12/30/11 P57       13.2  23.2   2.63   32.8   2313
GLD    SPDR GOLD T  GLD US 01/21/12 P150      13.0  27.1   4.00  139.5   3713
SPY    SPDR S&P 50  SPY US 12/30/11 P126      12.8  22.6   5.60   21.7    560
GLD    SPDR GOLD T  GLD US 02/18/12 C160      12.8  26.7   3.90  -32.8    372
MRK    MERCK & CO   MRK US 01/21/12 C34       12.8  24.2   1.84   21.9    918
GLD    SPDR GOLD T  GLD US 01/21/12 P149      12.7  27.4   3.65  148.3   1111
AVP    AVON PRODUC  AVP US 01/21/12 P17.5     12.3  37.2   0.90  -34.3    911
GLD    SPDR GOLD T  GLD US 01/21/12 C150      12.2  27.4   6.50  -37.8    413
GLD    SPDR GOLD T  GLD US 01/21/12 P148      12.2  27.7   3.20  152.0    395
SLV    ISHARES SIL  SLV US 01/21/12 C29       12.2  48.3   1.28  -37.6   2213
MRK    MERCK & CO   MRK US 01/21/12 C35       12.1  21.8   1.14   29.6   1302
GLD    SPDR GOLD T  GLD US 02/18/12 C156      12.0  26.7   5.55  -29.3    240
SLV    ISHARES SIL  SLV US 01/21/12 C28       11.8  49.9   1.75  -35.2   2478
GLD    SPDR GOLD T  GLD US 12/30/11 P151      11.4  29.2   3.10  237.0    490
NG     NOVAGOLD RE  NG US 01/21/12 P9         11.4  78.2   0.95   58.3    463
SLV    ISHARES SIL  SLV US 01/21/12 P29       11.4  48.7   2.35   86.5   1189
GLD    SPDR GOLD T  GLD US 01/21/12 P147      11.3  28.0   2.90  150.0   2730
GLD    SPDR GOLD T  GLD US 03/17/12 P157      11.1  27.0   9.50   33.8    217
GLD    SPDR GOLD T  GLD US 12/30/11 P149      11.1  30.4   2.26  213.9    526
GLD    SPDR GOLD T  GLD US 02/18/12 P155      11.1  26.5   8.10   72.3    289
SLV    ISHARES SIL  SLV US 01/21/12 C27       11.0  51.4   2.29  -33.6    949
GLD    SPDR GOLD T  GLD US 01/21/12 C152      10.9  26.8   5.70  -37.0    224
MPEL   MELCO CROWN  MPEL US 01/21/12 C7.5     10.8  75.9   1.30  -16.1   2317
MRK    MERCK & CO   MRK US 01/21/12 C36       10.6  19.9   0.59   47.5   1808
SLV    ISHARES SIL  SLV US 01/21/12 P28       10.6  50.0   1.82  100.0   9572
GLD    SPDR GOLD T  GLD US 01/21/12 P145      10.5  28.7   2.42  160.2   1692
GLD    SPDR GOLD T  GLD US 03/17/12 P155      10.5  27.0   9.50   56.5   1163
MRK    MERCK & CO   MRK US 01/21/12 P34       10.4  24.0   0.54    3.9   1688
GLD    SPDR GOLD T  GLD US 01/21/12 P146      10.4  28.2   2.73  157.6    558
GLD    SPDR GOLD T  GLD US 02/18/12 P150      10.1  27.1   5.56   85.3    574

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
FIG    FORTRESS IN  FIG US 01/21/12 C2.5     -63.4  62.0   0.80  -11.1    300
COWN   COWEN GROUP  COWN US 01/21/12 C2.5    -48.4  35.8   0.10    0.0   1700
AVP    AVON PRODUC  AVP US 01/21/12 C10      -43.7  70.2   7.80    2.6    219
PXP    PLAINS EXPL  PXP US 01/21/12 C22.5    -37.9  76.5   9.65   89.2    200
IRM    IRON MOUNTA  IRM US 01/21/12 C25      -36.2  31.5   4.30  -10.4    371
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5     -32.7  74.1   1.69   -8.2    551
LNG    CHENIERE EN  LNG US 01/21/12 P8       -19.3  75.8   0.65   30.0   1376
YNDX   YANDEX NV-A  YNDX US 02/18/12 P18     -17.0  58.5   1.70   30.8    250
LNG    CHENIERE EN  LNG US 01/21/12 C8       -14.4  80.6   0.96  -46.7    930
STRA   STRAYER EDU  STRA US 01/21/12 C90     -13.9  47.4   5.00  -31.5    200
MELA   MELA SCIENC  MELA US 04/21/12 C4      -13.0  58.9   0.75  -34.8    200
VNR    VANGUARD NA  VNR US 01/21/12 C25      -12.9  24.3   1.20  -50.0    226
C      CITIGROUP I  C1 US 01/21/12 P7.5      -12.6 131.1   4.95    3.1    872
AGNC   AMERICAN CA  AGNC US 01/21/12 P29     -12.4  14.9   1.50   -3.2    435
CVS    CVS CAREMAR  CVS US 01/19/13 C25      -11.2  35.1  12.98   -9.8    291
NEM    NEWMONT MIN  NEM US 01/21/12 P33      -11.1  80.3   0.03  -57.1    791
SPY    SPDR S&P 50  SPY US 12/30/11 P87      -11.1  57.2   0.01    0.0   1000
AMR    AMR CORP     AMR US 01/19/13 C0.5     -10.9  53.8   0.25   13.6    555
YNDX   YANDEX NV-A  YNDX US 05/19/12 P17     -10.2  61.0   2.10    0.0    400
YNDX   YANDEX NV-A  YNDX US 05/19/12 P19     -10.0  58.2   3.20   68.4    366

x - Ex-dividend. * - Ex-earnings.

-- Bloomberg News

To contact Bloomberg News for this story: 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.