Breaking News

Russian Central Bank Raises Key Rate to 7.50%
Tweet TWEET

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
=============================================================================
AGNC   AMERICAN CA  AGNC US 02/18/12 C29     239.6  14.8   0.25   25.0    247
CXS    CREXUS INVE  CXS US 03/17/12 P10       38.4  31.2   0.45    0.0    300
MO     ALTRIA GROU  MO US 01/21/12 C28        37.6  22.6   1.75   27.7    430
AMR    AMR CORP     AMR US 01/21/12 C0.5      27.8 107.7   0.12  -14.3    462
DISH   DISH NETWOR  DISH US 01/21/12 P28      26.7  41.3   1.75  -18.6    525
EUO    PROSH-UL/SH  EUO US 01/21/12 C18       24.8  22.4   1.82  -17.3    214
VZ     VERIZON COM  VZ US 01/21/12 C35        22.8  25.3   3.90    1.3    456
KBH    KB HOME      KBH US 01/21/12 P5        17.6 102.0   0.06    0.0    203
UUP    POWERSHARES  UUP US 01/21/12 C22       17.6  10.0   0.46  -27.0   2203
OPTR   OPTIMER PHA  OPTR US 01/21/12 C10      17.5  61.1   2.10    0.0    200
S      SPRINT NEXT  S US 01/21/12 P2          14.7  84.3   0.11    0.0    218
NLY    ANNALY CAPI  NLY US 01/19/13 C15       13.5  24.5   1.65   10.0    937
SAFM   SANDERSON F  SAFM US 02/18/12 C45      13.5  37.2   5.90   -1.7    212
NLY    ANNALY CAPI  NLY US 01/21/12 C15       13.3  30.1   1.60   19.4   1591
XME    SPDR S&P ME  XME US 01/21/12 C51       12.5  40.6   1.86   86.0    306
OKS    ONEOK PARTN  OKS US 01/21/12 P55       12.3  22.3   0.55  -21.4    805
STD    BANCO SANTA  STD US 01/21/12 P6        12.1  66.1   0.10  -33.3   1118
EWJ    ISHARES-JAP  EWJ US 01/21/12 P9        12.0  23.4   0.24  -25.0    341
DB     DEUTSCHE BA  DB US 01/21/12 P27.5      11.7  86.2   0.40  -24.5   3710
LGF    LIONS GATE   LGF US 01/21/12 C7.5      11.7  39.6   0.80  -23.1    625
PRX    PAR PHARMAC  PRX US 01/21/12 P30       10.8  38.5   0.50   -9.1    632
DAL    DELTA AIR L  DAL US 02/18/12 C5        10.6  93.2   3.70    4.2    267
AGNC   AMERICAN CA  AGNC US 01/21/12 C29      10.3  12.2   0.05  -16.7    808
VZ     VERIZON COM  VZ US 01/21/12 C37        10.1  18.2   2.01   21.8    580

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
NETL   NETLOGIC MI  NETL US 04/21/12 C47     -53.1  11.1   2.90   -3.3    400
MELA   MELA SCIENC  MELA US 07/21/12 P3.5    -49.7 113.4   1.05    0.0    300
AGNC   AMERICAN CA  AGNC US 01/21/12 C28     -45.2  14.1   0.45  -50.0   1061
AGNC   AMERICAN CA  AGNC US 02/18/12 P28     -43.5  18.8   0.90    0.0    257
PLCE   CHILDRENS P  PLCE US 01/21/12 C45     -38.8  43.0   9.19  -12.7    368
AGNC   AMERICAN CA  AGNC US 01/21/12 P28     -36.3  14.9   0.51  -43.3    705
PGNX   PROGENICS P  PGNX US 01/21/12 C7      -32.8  75.1   1.45  107.1   2068
AGNC   AMERICAN CA  AGNC US 01/21/12 P29     -29.8  16.0   1.20  -22.1    220
AGNC   AMERICAN CA  AGNC US 01/21/12 P27     -25.9  17.8   0.25  -39.0   1720
RHT    RED HAT INC  RHT US 01/21/12 C44      -25.2  38.5   1.25  -68.0    247
RHT    RED HAT INC  RHT US 01/21/12 P40      -24.8  42.0   1.20   60.0    846
RHT    RED HAT INC  RHT US 01/21/12 P39      -24.7  42.0   0.90   38.5   1061
RHT    RED HAT INC  RHT US 01/21/12 P36      -24.5  44.0   0.30   50.0    213
RHT    RED HAT INC  RHT US 01/21/12 P44      -23.3  38.5   2.65   43.2    292
RHT    RED HAT INC  RHT US 01/21/12 P41      -23.1  41.1   1.35   42.1    807
JEF    JEFFERIES G  JEF US 01/21/12 C14      -22.0  52.9   1.00  270.4   2099
STP    SUNTECH POW  STP US 01/21/12 C2       -21.6  55.3   0.33   17.9    637
TRGT   TARGACEPT I  TRGT US 05/19/12 P5      -21.5  85.7   0.90   38.5   3010
JEF    JEFFERIES G  JEF US 01/21/12 P14      -20.6  64.2   0.95  -57.0   3817
BSBR   BANCO SANTA  BSBR US 01/21/12 C8      -20.1  33.2   0.25    0.0    205
SVM    SILVERCORP   SVM US 01/21/12 C6       -19.5  54.5   0.55   10.0   2433
CMC    COMMERCIAL   CMC US 01/21/12 C14      -19.2  24.4   0.45   28.6    284
ZMH    ZIMMER HLDG  ZMH US 01/21/12 C40      -18.8  39.9  10.50   31.2    265
BKU    BANKUNITED   BKU US 02/18/12 C22.5    -18.6  30.7   0.75    7.1   1436
RF     REGIONS FIN  RF US 01/21/12 P4        -17.5  46.7   0.20  -42.9   1311
CAG    CONAGRA FOO  CAG US 01/21/12 C26      -17.3  14.0   0.55  120.0    712
CVS    CVS CAREMAR  CVS US 01/21/12 C41      -16.7  21.2   0.30  328.6   1417
RPT    RAMCO-GERSH  RPT US 03/17/12 P7.5     -16.7  53.8   0.25    0.0    250
JEF    JEFFERIES G  JEF US 01/21/12 C11      -16.7  58.6   3.20  128.6    243
AGNC   AMERICAN CA  AGNC US 06/16/12 C29     -15.6  15.1   0.50    0.0    259
VXX    IPATH-S&P S  VXX US 01/21/12 P28      -15.6  54.4   0.10   66.7    297
CIE    COBALT INTE  CIE US 01/21/12 C12.5    -14.8  94.8   1.50   87.5   2042
BRCD   BROCADE COM  BRCD US 01/21/12 C5.5    -14.5  42.0   0.18   20.0   2328
LDK    LDK SOLAR C  LDK US 03/17/12 C5       -14.4  46.9   0.48    6.7    846
NAV    NAVISTAR IN  NAV US 01/21/12 C40      -14.4  41.6   1.58   85.9    202
IWM    ISHARES-RUS  IWM US 01/21/12 P77      -14.4  28.1   4.85  -29.0    241
JEF    JEFFERIES G  JEF US 04/21/12 C13      -14.2  55.6   2.30   58.6    253
AGNC   AMERICAN CA  AGNC US 03/17/12 C28     -14.1  17.8   0.90  -10.0    228
T      AT&T INC     T US 01/21/12 C30        -14.0  12.1   0.05    0.0   2613
CVS    CVS CAREMAR  CVS US 01/21/12 C40      -13.6  21.8   0.63  293.8   2614
CVS    CVS CAREMAR  CVS US 01/21/12 P39      -13.6  22.5   1.03  -59.6    221
DD     DU PONT (EI  DD US 02/18/12 P44       -13.6  28.9   1.87  -28.9    593
JEF    JEFFERIES G  JEF US 01/21/12 C12.5    -13.3  57.8   2.00  217.5   4004
LUV    SOUTHWEST A  LUV US 01/21/12 C9       -13.3  32.1   0.20   33.3    344
HIBB   HIBBETT SPO  HIBB US 04/21/12 C40     -13.2  41.2   7.48    6.9    233
OKE    ONEOK INC    OKE US 01/21/12 C85      -13.2  16.7   1.25   25.0   1003
CCE    COCA-COLA E  CCE US 05/19/12 C27      -13.2  23.7   1.20  -27.3    244
WY     WEYERHAEUSE  WY US 01/21/12 C17.5     -13.1  25.7   0.30   50.0    299
NVLS   NOVELLUS SY  NVLS US 01/21/12 C42     -12.9  33.4   0.95   18.8    510
TZA    DIR SMCAP B  TZA US 01/21/12 P19      -12.9  76.0   0.12    0.0    203
VXX    IPATH-S&P S  VXX US 01/21/12 P27      -12.8  54.4   0.05  -28.6    323
MHS    MEDCO HEALT  MHS US 01/21/12 C55      -12.3  31.2   2.50   16.3    506
LIZ    LIZ CLAIBOR  LIZ US 01/21/12 C8       -12.3  54.2   0.40   14.3    274
STEC   STEC INC     STEC US 01/21/12 P9      -12.0  52.6   0.53  -24.3   1011
MSFT   MICROSOFT C  MSFT US 01/21/12 C20     -12.0  44.7   6.05    7.1    425
CHK    CHESAPEAKE   CHK US 01/21/12 C24      -11.9  37.7   0.58   41.5    858
IWM    ISHARES-RUS  IWM US 01/21/12 P76      -11.7  28.9   4.12  -31.8    934
HIBB   HIBBETT SPO  HIBB US 04/21/12 C45     -11.6  39.1   4.42    2.8    233
OLN    OLIN CORP    OLN US 01/21/12 C20      -11.4  28.2   0.50   42.9    215
CLNE   CLEAN ENERG  CLNE US 01/21/12 C12.5   -11.4  42.4   0.50   42.9    266
PLCE   CHILDRENS P  PLCE US 06/16/12 C45     -11.3  42.1  11.29  -15.1    368
CAG    CONAGRA FOO  CAG US 01/21/12 C27      -11.3  15.2   0.20  300.0   1270
CFX    COLFAX CORP  CFX US 01/21/12 P30      -11.2  56.2   1.75  -25.5    502
SDS    PROSHARES U  SDS US 01/21/12 C17      -11.2  30.2   3.05  -26.5    239
LINE   LINN ENERGY  LINE US 01/21/12 C38     -11.0  15.6   0.55   22.2    258
MSI    MOTOROLA SO  MSI US 01/21/12 C48      -11.0  20.8   0.71   10.9    202
NVLS   NOVELLUS SY  NVLS US 01/21/12 C41     -10.9  33.9   1.30   18.2    206
RSX    MKT VECT-RU  RSX US 01/21/12 P27      -10.7  39.3   1.55  -29.6    510
CAT    CATERPILLAR  CAT US 01/21/12 C95      -10.6  29.7   1.44   58.2   1909
LYB    LYONDELLBAS  LYB US 01/21/12 C34.5    -10.4  36.5   0.80  100.0    379
WM     WASTE MANAG  WM US 01/21/12 C32.5     -10.2  20.6   0.46   31.4    472
XLI    SPDR-INDU S  XLI US 01/19/13 C34      -10.1  27.1   3.25    0.6    250
RF     REGIONS FIN  RF US 01/21/12 C4        -10.1  46.7   0.24   50.0   2723
XLE    SPDR-ENERGY  XLE US 01/21/12 C70      -10.0  24.9   0.99   90.4    453
FE     FIRSTENERGY  FE US 01/21/12 C42       -10.0  18.9   1.65   26.9    262
BCSI   BLUE COAT S  BCSI US 07/21/12 C26     -10.0   3.3   0.10    0.0    336
PAA    PLAINS ALL   PAA US 02/18/12 C72.5    -10.0  14.2   0.80   14.3    809

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

-- Bloomberg News

To contact Bloomberg News for this story: newsdev@bloomberg.net

Bloomberg reserves the right to edit or 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.