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
=============================================================================
FAS    DIR FIN BUL  FAS1 US 01/21/12 P27     407.0 735.7  14.95    0.0   1800
FAS    DIR FIN BUL  FAS1 US 01/21/12 P29     100.5 282.6  17.00    0.9    244
HGSI   HUMAN GENOM  HGSI US 01/19/13 C5       66.1 138.3   3.00   -7.7    200
QQQ    POWERSH-QQQ  QQQ US 01/21/12 C51       32.8  26.0   4.20  -18.6    375
XOM    EXXON MOBIL  XOM US 01/21/12 C50       31.1  72.0  32.72    3.1   1688
NLY    ANNALY CAPI  NLY US 01/21/12 C16       24.3  17.1   0.73   25.9   2217
AMR    AMR CORP     AMR US 02/18/12 C0.5      24.0 117.4   0.10  -23.1    737
OPEN   OPENTABLE I  OPEN US 01/21/12 C40      22.5  68.5   6.00    4.3   1253
AMR    AMR CORP     AMR US 01/21/12 C0.5      20.9 108.5   0.08  -33.3    661
LDK    LDK SOLAR C  LDK US 01/21/12 C4.5      20.0  61.6   0.62   -3.1    384
MSFT   MICROSOFT C  MSFT US 01/21/12 C20      19.9  43.8   5.90   -2.5    250
MO     ALTRIA GROU  MO US 01/21/12 C28        17.9  28.4   2.15    9.7    450
MO     ALTRIA GROU  MO US 01/21/12 C29        14.5  17.9   1.15   26.4    587
RIMM   RESEARCH IN  RIMM US 01/21/12 P10      14.2  82.4   0.12  -33.3    504
ORCL   ORACLE CORP  ORCL US 06/16/12 C16      13.5  49.8   9.59    0.0   1000
QQQ    POWERSH-QQQ  QQQ US 01/21/12 C53       12.5  23.7   2.51  -24.6    947
CHTP   CHELSEA THE  CHTP US 03/17/12 P5       12.5 154.2   1.35    3.9    500
RIMM   RESEARCH IN  RIMM US 02/18/12 P11      12.2  76.0   0.50  -23.1    236
AMGN   AMGEN INC    AMGN US 01/21/12 C60      12.1  24.3   2.96   35.2    474
RIMM   RESEARCH IN  RIMM US 01/21/12 P11      12.1  77.6   0.24  -35.1    958
RIMM   RESEARCH IN  RIMM US 02/18/12 C12      11.9  76.4   2.57   60.6   2266
INHX   INHIBITEX I  INHX US 01/21/12 C7.5     11.8 138.2   3.50    9.4    340
TEN    TENNECO INC  TEN US 01/21/12 P28       11.8  53.0   2.15  -17.3   1250
RIMM   RESEARCH IN  RIMM US 02/18/12 P12      11.4  75.7   0.84  -22.2   1735
RIMM   RESEARCH IN  RIMM US 02/18/12 P13      11.3  75.9   1.26  -24.1   1160
MDVN   MEDIVATION   MDVN US 01/21/12 P40      11.0  61.7   1.00  132.6    337
RIMM   RESEARCH IN  RIMM US 01/21/12 C12      10.8  77.1   2.20   71.9    815
VXX    IPATH-S&P S  VXX US 01/21/12 P29       10.6  55.3   0.22   15.8    619
VVUS   VIVUS INC    VVUS US 01/21/12 C7.5     10.4  95.2   2.80   -5.7    474
AMGN   AMGEN INC    AMGN US 01/21/12 P60      10.2  24.3   0.79  -24.8   3160
RIMM   RESEARCH IN  RIMM US 01/21/12 P12      10.2  75.7   0.45  -40.0   4260

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
DFG    DELPHI FINL  DFG US 07/21/12 P40      -61.0  15.5   0.75    0.0    600
UNG    US NAT GAS   UNG US 01/19/13 P5       -46.8  36.1   0.23    0.0    462
KMX    CARMAX INC   KMX US 01/21/12 P29      -40.4  30.7   1.10   22.2   3058
CTAS   CINTAS CORP  CTAS US 01/21/12 C35     -39.8  20.3   0.40    0.0    242
KMX    CARMAX INC   KMX US 01/21/12 C30      -38.9  30.7   0.55  -77.1    601
KMX    CARMAX INC   KMX US 01/21/12 P27.5    -36.7  33.4   0.60   20.0    297
WAG    WALGREEN CO  WAG US 01/21/12 C30      -36.3  31.8   2.14  -47.8   3373
WAG    WALGREEN CO  WAG US 01/21/12 P30      -35.9  31.6   0.47  -17.5   2329
WAG    WALGREEN CO  WAG US 01/21/12 C31      -35.4  31.6   1.37  -59.0    777
WAG    WALGREEN CO  WAG US 01/21/12 P29      -35.3  32.6   0.26  -31.6    825
WAG    WALGREEN CO  WAG US 01/21/12 P31      -34.9  31.2   0.77   -7.2   2512
KMX    CARMAX INC   KMX US 01/21/12 P26      -34.6  35.8   0.20  -20.0    605
WAG    WALGREEN CO  WAG US 01/21/12 P28      -34.0  34.0   0.13  -50.0   3466
WAG    WALGREEN CO  WAG US 01/21/12 C32      -33.6  31.6   1.04  -60.3   2165
WAG    WALGREEN CO  WAG US 01/21/12 P32      -33.3  31.3   1.30   14.0   4754
DFG    DELPHI FINL  DFG US 07/21/12 P35      -33.3  24.4   0.35    0.0    427
WAG    WALGREEN CO  WAG US 01/21/12 C33      -31.0  32.2   0.67  -67.6    538
WAG    WALGREEN CO  WAG US 01/21/12 P33      -30.9  31.7   1.90   21.8    364
ORCL   ORACLE CORP  ORCL US 01/21/12 P21     -30.9  42.1   0.10  100.0    313
ORCL   ORACLE CORP  ORCL US 01/21/12 P20     -29.3  45.9   0.06   20.0    424
NKE    NIKE INC -C  NKE US 01/21/12 P97.5    -28.8  22.2   2.76  -53.6    413
NKE    NIKE INC -C  NKE US 01/21/12 C100     -28.2  21.6   1.17    8.3   3812
C      CITIGROUP I  C1 US 01/21/12 P4        -26.4  53.1   1.46    4.3    250
NKE    NIKE INC -C  NKE US 01/21/12 P95      -26.4  23.0   1.70  -58.5   2711
NKE    NIKE INC -C  NKE US 01/21/12 C95      -25.5  23.0   3.59   28.2   1028
NKE    NIKE INC -C  NKE US 01/21/12 P92.5    -25.4  24.2   0.99  -67.0    979
FAS    DIR FIN BUL  FAS1 US 01/21/12 P33.33  -25.1 158.2  21.50    0.0    285
ORCL   ORACLE CORP  ORCL US 01/21/12 C22.5   -24.4  38.2   2.77  -58.7    222
ORCL   ORACLE CORP  ORCL US 01/21/12 P22.5   -24.1  37.8   0.22  266.7   4818
ORCL   ORACLE CORP  ORCL US 01/21/12 P19     -23.9  48.6   0.03   50.0   1311
NKE    NIKE INC -C  NKE US 01/21/12 P90      -23.4  25.4   0.55  -72.9   3520
NKE    NIKE INC -C  NKE US 01/21/12 P87.5    -21.5  26.9   0.30  -77.6   1067
ORCL   ORACLE CORP  ORCL US 01/21/12 P24     -21.3  34.7   0.52  372.7  12342
VVUS   VIVUS INC    VVUS US 02/18/12 P9      -21.1  85.0   0.75    0.0    204
SHFL   SHUFFLE MAS  SHFL US 01/21/12 C12     -20.9  35.0   0.34  126.7    431
WAG    WALGREEN CO  WAG US 02/18/12 C33      -20.9  30.7   0.98  -56.8    224
NKE    NIKE INC -C  NKE US 01/21/12 P85      -20.8  28.0   0.18  -79.8    436
WAG    WALGREEN CO  WAG US 01/21/12 C17.5    -19.7  89.3  14.25   -2.1    500
JBL    JABIL CIRCU  JBL US 01/21/12 C20      -19.7  40.7   0.65  -45.4    388
ATU    ACTUANT COR  ATU US 01/21/12 P22.5    -19.5  29.6   0.60  -72.7    283
WAG    WALGREEN CO  WAG US 01/21/12 P25      -19.3  44.8   0.04  -33.3    230
ORCL   ORACLE CORP  ORCL US 01/21/12 C25     -19.3  33.7   1.05  -75.8   3105
NKE    NIKE INC -C  NKE US 01/21/12 P82.5    -19.2  29.7   0.07  -86.8    290
LDK    LDK SOLAR C  LDK US 01/21/12 C3.5     -18.9  56.3   1.46   -5.2    311
ORCL   ORACLE CORP  ORCL US 02/18/12 P21     -18.6  42.1   0.28    0.0    508
ORCL   ORACLE CORP  ORCL US 01/21/12 P25     -18.2  33.4   0.91  506.7   8035
CLWR   CLEARWIRE -  CLWR US 01/21/12 P0.5    -17.8 384.4   0.10  -33.3    400
NKE    NIKE INC -C  NKE US 02/18/12 C100     -16.3  23.0   2.36   24.2    256
CTAS   CINTAS CORP  CTAS US 01/21/12 P32.5   -16.3  22.5   0.35  -79.4    685
PAYX   PAYCHEX INC  PAYX US 01/21/12 C30     -15.8  19.7   0.30  -68.4    267
KBH    KB HOME      KBH US 01/21/12 C5       -15.7  84.7   2.42   -5.8    620
ORCL   ORACLE CORP  ORCL US 02/18/12 P22     -15.7  39.8   0.42  162.5    961
SPY    SPDR S&P 50  SPY US 01/21/12 C100     -15.7  36.4  23.43   -3.0    410
ORCL   ORACLE CORP  ORCL US 01/21/12 P26     -15.5  32.4   1.43  472.0   1001
EGLE   EAGLE BULK   EGLE US 02/18/12 P1      -15.4  44.3   0.10    0.0    511
NKE    NIKE INC -C  NKE US 02/18/12 P95      -15.3  24.8   2.88  -46.0    431
ORCL   ORACLE CORP  ORCL US 02/18/12 P23     -14.8  38.0   0.63  186.4   2151
PAYX   PAYCHEX INC  PAYX US 01/21/12 P27.5   -14.7  26.6   0.30  100.0    202
ORCL   ORACLE CORP  ORCL US 01/21/12 C26     -14.4  32.9   0.59  -82.7   4463
KBH    KB HOME      KBH US 01/21/12 P6       -14.4  69.2   0.13    8.3    653
TZOO   TRAVELZOO I  TZOO US 01/21/12 C15     -14.3  89.8  11.30   -3.4    813
NKE    NIKE INC -C  NKE US 02/18/12 C95      -14.0  25.0   4.75   25.0    315
ORCL   ORACLE CORP  ORCL US 02/18/12 P24     -13.9  36.3   0.92  206.7   2270
ORCL   ORACLE CORP  ORCL US 02/18/12 C23     -13.8  37.8   2.65    0.0    282
SHAW   SHAW GROUP   SHAW US 01/21/12 C27     -13.6  33.6   0.75  650.0    207
ORCL   ORACLE CORP  ORCL US 01/21/12 C24     -13.6  35.1   1.69  -68.0   1679
ORCL   ORACLE CORP  ORCL US 03/17/12 P20     -13.2  43.6   0.33   65.0    587
WAG    WALGREEN CO  WAG US 04/21/12 C32      -13.0  30.6   2.03  -38.5    417
AFFY   AFFYMAX INC  AFFY US 01/21/12 C6      -13.0  57.8   0.65   30.0    428
WAG    WALGREEN CO  WAG US 04/21/12 P27      -13.0  34.1   0.75   10.3    352
WAG    WALGREEN CO  WAG US 04/21/12 P28      -12.8  33.3   0.95   15.8    848
ORCL   ORACLE CORP  ORCL US 06/16/12 P19     -12.8  44.2   0.69   11.3    621
WAG    WALGREEN CO  WAG US 04/21/12 P31      -12.8  31.1   1.97   11.9    243
CTAS   CINTAS CORP  CTAS US 01/21/12 C32.5   -12.7  23.7   1.65  230.0    403
CTXS   CITRIX SYST  CTXS US 01/21/12 P43     -12.6  63.8   0.20  -50.0    272
MHR    MAGNUM HUNT  MHR US 01/19/13 P2.5     -12.1  87.2   0.40  -11.1    250
ORCL   ORACLE CORP  ORCL US 03/17/12 P22     -12.0  39.4   0.66  144.4    826
ORCL   ORACLE CORP  ORCL US 03/17/12 P23     -12.0  37.6   0.89  161.8    854
ORCL   ORACLE CORP  ORCL US 02/18/12 P25     -11.8  34.9   1.33  241.0   1544
QQQ    POWERSH-QQQ  QQQ US 01/21/12 P57      -11.4  19.3   2.67   29.0   1413
AGNC   AMERICAN CA  AGNC US 01/21/12 P29     -11.4  12.8   0.85  -19.1    239
ORCL   ORACLE CORP  ORCL US 06/16/12 P20     -11.4  42.1   0.88   72.5    380
TLT    ISHARES BAR  TLT US 01/19/13 C95      -11.1  21.8  26.20   -6.4    248
ORCL   ORACLE CORP  ORCL US 02/18/12 C26     -10.9  33.7   0.99  -72.9   1989
ORCL   ORACLE CORP  ORCL US 02/18/12 C25     -10.8  34.9   1.47  -67.1   2215
QQQ    POWERSH-QQQ  QQQ US 01/21/12 P56      -10.7  20.4   1.99   30.1   8973
ORCL   ORACLE CORP  ORCL US 03/17/12 C24     -10.4  36.0   2.22  -59.6    347
ORCL   ORACLE CORP  ORCL US 02/18/12 C24     -10.3  36.0   2.07    0.0   1648
LDK    LDK SOLAR C  LDK US 01/21/12 P3.5     -10.2 148.4   0.25    4.2    205

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.