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 04/21/12 P8      129.0 237.6   0.71  -11.2    200
FAS    DIR FIN BUL  FAS1 US 04/21/12 P7      124.4 234.2   0.52  -22.4    200
GRPN   GROUPON INC  GRPN US 01/21/12 C18      73.0  61.9   4.70   20.5    301
WFR    MEMC ELEC M  WFR US 02/18/12 C2        45.0 111.4   2.06    0.0    537
VVUS   VIVUS INC    VVUS US 02/18/12 P8       38.2  99.5   0.87   45.0    465
VVUS   VIVUS INC    VVUS US 02/18/12 P7       38.1 108.0   0.56   51.4    898
VVUS   VIVUS INC    VVUS US 03/17/12 C8       38.0 185.6   3.40   41.7    307
VVUS   VIVUS INC    VVUS US 03/17/12 C9       37.1 178.9   3.05   43.9    399
VVUS   VIVUS INC    VVUS US 02/18/12 P6       36.6 114.6   0.32  113.3    339
VVUS   VIVUS INC    VVUS US 03/17/12 P8       36.5 186.3   2.40   35.6    851
VVUS   VIVUS INC    VVUS US 03/17/12 P9       36.1 180.9   2.95   31.1    284
RMBS   RAMBUS INC   RMBS US 01/21/12 C7.5     33.0  60.1   1.11  296.4    843
RMBS   RAMBUS INC   RMBS US 01/21/12 P7.5     29.3  57.2   0.18  -63.3    316
KMR    KINDER MORG  KMR US 02/18/12 C75       26.6  18.1   2.25   21.6   1500
CHS    CHICO'S FAS  CHS US 01/21/12 C11       24.8  44.7   0.65  160.0   2305
JNS    JANUS CAPIT  JNS US 01/21/12 C6        23.8  47.4   0.45   50.0    830
SLE    SARA LEE CO  SLE US 01/21/12 P17.5     22.7  28.1   0.13  160.0    716
CHS    CHICO'S FAS  CHS US 01/21/12 C10       19.6  49.9   0.95   50.8    762
CHS    CHICO'S FAS  CHS US 02/18/12 C11       19.2  47.3   0.90   50.0    968
GRPN   GROUPON INC  GRPN US 01/21/12 C15      17.4  65.4   7.70    8.4    333
IBB    ISHARES-NDQ  IBB US 01/21/12 P102      15.7  19.6   1.80    0.0   1000
GRPN   GROUPON INC  GRPN US 01/21/12 C19      15.6  52.2   3.70   12.1   1383
BAC    BANK OF AME  BAC US 01/21/12 C2.5      14.1 137.4   3.00    2.0    295
AMR    AMR CORP     AMR US 01/21/12 P0.5      13.3 233.0   0.09  -25.0    364
CHTP   CHELSEA THE  CHTP US 03/17/12 P4       13.1 187.6   1.05   10.5   2074
CAG    CONAGRA FOO  CAG US 01/21/12 P25       12.9  20.4   0.05  -50.0    231
CIGX   STAR SCIENT  CIGX US 05/19/12 C2       12.9  88.5   0.65    8.3    200
MTH    MERITAGE HO  MTH US 03/17/12 C20       11.8  56.2   4.00   -6.3    252
NETL   NETLOGIC MI  NETL US 01/18/14 P45      11.8   7.9   0.30    0.0    200
MRGE   MERGE HEALT  MRGE US 03/17/12 P5       11.1  63.9   0.75    0.0    300
MNTA   MOMENTA PHA  MNTA US 03/17/12 P17      10.9  53.9   1.40   -6.7   1711
CSCO   CISCO SYSTE  CSCO US 01/21/12 C16      10.7  31.7   2.41   12.1    231
SIRI   SIRIUS XM R  SIRI US 01/18/14 C1       10.2  71.5   0.98    2.1    200

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
AMR    AMR CORP     AMR US 01/21/12 C0.5     -48.1  55.4   0.11   37.5    234
WEN    WENDY'S CO/  WEN US 01/21/12 C5       -27.9  25.1   0.40    8.1    272
DWA    DREAMWORKS   DWA US 01/21/12 C17.5    -20.1  23.7   0.20  -50.0   1544
AONE   A123 SYSTEM  AONE US 03/17/12 P1.5    -18.8 115.0   0.30    0.0   1108
NLY    ANNALY CAPI  NLY US 01/21/12 C17.5    -17.6  15.2   0.02  -33.3    387
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5     -16.8 150.8   2.38  -18.2    668
SFLY   SHUTTERFLY   SFLY US 01/21/12 P22.5   -16.6  73.5   1.45   13.3    417
CROX   CROCS INC    CROX US 01/21/12 C15     -14.2  51.8   1.15    9.5   1102
LDK    LDK SOLAR C  LDK US 01/21/12 C4       -13.8  69.4   1.05  -20.4    248
MJN    MEAD JOHNSO  MJN US 01/21/12 P55      -13.4  63.2   0.90   -1.1    588
T      AT&T INC     T US 01/21/12 P31        -12.9  12.0   1.58  -10.7    209
GDX    MKT VECT-GO  GDX US 01/21/12 C52      -12.2  30.5   2.07    4.5    233
GNTX   GENTEX CORP  GNTX US 01/21/12 C30     -12.0  33.6   0.75  -11.8    483
BAS    BASIC ENERY  BAS US 01/21/12 C17.5    -11.5  58.9   2.90   32.4    254
YNDX   YANDEX NV-A  YNDX US 01/21/12 C20     -11.0  51.0   1.05   31.2    306
ONXX   ONYX PHARM   ONXX US 02/18/12 P40     -11.0  46.0   1.90  -22.4    355
TRGT   TARGACEPT I  TRGT US 02/18/12 P5      -10.7  73.4   0.35  -30.0   1001
GDX    MKT VECT-GO  GDX US 01/21/12 C53      -10.6  30.0   1.57    2.6    237
WEN    WENDY'S CO/  WEN US 01/21/12 P4       -10.6 102.8   0.05    0.0    500
CROX   CROCS INC    CROX US 01/21/12 C16     -10.2  52.3   0.64   -1.5   1702

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.