U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2012-01-12T16:30:22Z
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
=============================================================================
BZH BEAZER HOME BZH US 02/18/12 C2 52.0 124.0 1.15 -8.0 500
SIRI SIRIUS XM R SIRI US 03/17/12 C1.5 50.0 59.6 0.61 8.9 520
STX SEAGATE TEC STX US 01/18/14 C20 47.6 46.1 3.35 21.4 209
ALNY ALNYLAM PHA ALNY US 03/17/12 C7.5 36.2 55.4 2.20 10.0 310
HOV HOVNANIAN E HOV US 05/19/12 C1.5 28.5 88.4 1.15 15.0 310
HOV HOVNANIAN E HOV US 05/19/12 C2.5 26.3 87.0 0.45 28.6 210
LNG CHENIERE EN LNG US 02/18/12 C9 25.2 88.9 1.31 54.1 361
NAT NORDIC AMER NAT US 02/18/12 C14 23.4 37.0 0.85 70.0 1515
LNG CHENIERE EN LNG US 03/17/12 C9 22.9 86.5 1.55 34.8 2405
ETM ENTERCOM CO ETM US 06/16/12 P7.5 22.6 54.0 1.30 0.0 500
LNG CHENIERE EN LNG US 03/17/12 P9 21.6 87.0 1.05 -19.2 273
DKS DICK'S SPOR DKS US 02/18/12 C41 21.0 32.4 1.30 0.0 204
TSCO TRACTOR SUP TSCO US 02/18/12 P70 18.4 39.7 0.90 -50.0 221
GTIV GENTIVA HEA GTIV US 02/18/12 C7.5 16.9 101.6 0.85 0.0 303
LNG CHENIERE EN LNG US 02/18/12 P8 16.3 89.0 0.40 0.0 1175
MPEL MELCO CROWN MPEL US 02/18/12 C10 15.6 56.1 0.90 5.9 3204
NWL NEWELL RUBB NWL US 02/18/12 C17 15.2 37.3 0.90 20.0 550
PLD PROLOGIS IN PLD US 02/18/12 P30 14.8 31.5 1.70 0.0 200
RIMM RESEARCH IN RIMM US 02/18/12 C12 14.7 75.8 4.25 14.9 210
S SPRINT NEXT S US 02/18/12 C0.5 14.1 261.4 1.85 7.6 218
ASIA ASIAINFO-LI ASIA US 02/18/12 C8 13.8 75.4 0.75 7.1 300
QLGC QLOGIC CORP QLGC US 02/18/12 C15 13.5 47.0 1.40 12.9 1065
INHX INHIBITEX I INHX US 02/18/12 P5 13.4 267.4 0.05 0.0 300
CE CELANESE CO CE US 02/18/12 C47.5 13.3 42.0 2.10 50.0 3052
RIMM RESEARCH IN RIMM US 02/18/12 P11 13.0 74.8 0.07 16.7 6686
WWW WOLVERINE W WWW US 06/16/12 C35 13.0 37.2 2.25 -29.7 200
EP EL PASO COR EP US 02/18/12 P26 12.8 18.1 0.34 13.3 741
RIMM RESEARCH IN RIMM US 02/18/12 P12 12.6 74.5 0.16 6.7 1192
RENN RENREN INC- RENN US 02/18/12 C3 12.5 89.8 0.90 -5.3 207
TSCO TRACTOR SUP TSCO US 04/21/12 P70 11.7 36.5 2.45 -30.0 303
RIMM RESEARCH IN RIMM US 02/18/12 P17 11.5 69.3 1.92 -9.4 747
EFA ISHARES-MSC EFA US 02/18/12 P36 11.2 47.2 0.03 50.0 337
SHLD SEARS HOLDI SHLD US 03/17/12 P17.5 11.2 140.8 1.19 58.7 657
NWL NEWELL RUBB NWL US 03/17/12 C18 10.9 32.9 0.60 71.4 10165
EFA ISHARES-MSC EFA US 02/18/12 P37 10.7 46.4 0.05 -28.6 505
S SPRINT NEXT S US 02/18/12 C1.5 10.6 98.4 0.88 7.3 1035
BAC BANK OF AME BAC US 02/18/12 C7 10.5 52.8 0.33 -8.3 17882
DANG E-COMMERCE DANG US 02/18/12 C6 10.4 76.9 0.59 7.3 1290
SHLD SEARS HOLDI SHLD US 06/16/12 P15 10.4 133.2 1.93 0.0 406
RIMM RESEARCH IN RIMM US 02/18/12 P14 10.4 69.6 0.52 -10.3 358
RIMM RESEARCH IN RIMM US 02/18/12 P16 10.3 68.4 1.33 -8.3 375
RIMM RESEARCH IN RIMM US 02/18/12 C16 10.3 68.9 1.45 33.0 863
LINE LINN ENERGY LINE US 02/18/12 C36 10.3 22.7 1.17 -35.0 1048
SHLD SEARS HOLDI SHLD US 06/16/12 P20 10.1 124.1 3.58 32.6 1028
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
EIG EMPLOYERS H EIG US 02/18/12 C17.5 -88.7 23.8 0.80 0.0 550
ENER ENERGY CONV ENER US 03/17/12 C0.5 -65.7 61.8 0.10 0.0 296
VRUS PHARMASSET VRUS US 08/18/12 P135 -51.0 1.6 0.05 -90.9 6865
VRUS PHARMASSET VRUS US 02/18/12 C135 -50.6 2.9 2.00 0.0 1103
VRUS PHARMASSET VRUS US 02/18/12 C130 -49.7 7.1 6.98 0.3 2268
MNKD MANNKIND CO MNKD US 02/18/12 C2.5 -43.1 28.2 0.25 19.1 320
ENER ENERGY CONV ENER US 06/16/12 C0.5 -42.9 58.9 0.15 114.3 263
MNKD MANNKIND CO MNKD US 01/19/13 C2.5 -38.3 18.0 0.32 -20.0 1100
LDK LDK SOLAR C LDK US 03/17/12 C3 -29.4 62.8 2.20 -14.1 369
WSM WILLIAMS-SO WSM US 02/18/12 P33 -26.0 33.1 0.95 137.5 3800
WSM WILLIAMS-SO WSM US 02/18/12 P31 -26.0 36.6 0.55 -15.4 211
WSM WILLIAMS-SO WSM US 02/18/12 P32 -25.9 34.7 0.65 44.4 2178
INFY INFOSYS LTD INFY US 02/18/12 P47.5 -21.2 36.2 0.80 100.0 679
UUP POWERSHARES UUP US 02/18/12 C22 -16.1 9.3 0.68 -16.1 1083
INHX INHIBITEX I INHX US 05/19/12 P25 -14.6 24.5 1.65 -19.5 286
YHOO YAHOO! INC YHOO US 01/19/13 P7.5 -14.5 51.3 0.22 175.0 572
NLY ANNALY CAPI NLY US 02/18/12 C11 -13.9 59.9 5.35 4.5 289
TEF TELEFONICA- TEF US 02/18/12 C15 -12.9 31.1 2.20 7.3 229
INHX INHIBITEX I INHX US 05/19/12 C25 -11.5 23.4 1.15 0.0 1248
EBIX EBIX INC EBIX US 02/18/12 C23 -11.5 34.0 1.10 15.8 1485
OCR OMNICARE IN OCR US 02/18/12 P28 -11.3 55.7 0.35 0.0 500
CYTX CYTORI THER CYTX US 02/18/12 P2.5 -11.2 84.9 0.30 -16.7 234
JASO JA SOLAR HO JASO US 03/17/12 P1.5 -10.3 101.6 0.10 -68.8 200
SOL RENESOLA LT SOL US 02/18/12 C2 -10.1 108.4 0.40 -20.0 2565
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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