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
=============================================================================
SPY    SPDR S&P 50  SPY US 02/18/12 P135      61.2  15.1   5.63  -13.2    407
BIOD   BIODEL INC   BIOD US 03/17/12 P0.5     58.6 166.5   0.05    0.0    261
SDS    PROSHARES U  SDS US 03/17/12 C15       49.3  33.8   3.05   -9.0    773
PVX    PROVIDENT E  PVX US 03/17/12 C8        48.2  57.4   3.30  144.4    695
INHX   INHIBITEX I  INHX US 02/18/12 C26      43.7  34.4   0.55  103.7   6631
INHX   INHIBITEX I  INHX US 05/19/12 C26      31.8  17.0   0.55   83.3   1234
SPY    SPDR S&P 50  SPY US 02/18/12 P134      31.5  15.6   4.94  -17.8    462
EGLE   EAGLE BULK   EGLE US 03/17/12 P1       29.8  97.7   0.10    0.0   1000
AMRN   AMARIN CORP  AMRN US 02/18/12 C8       28.8 106.0   0.75   66.7   1459
CLWR   CLEARWIRE -  CLWR US 02/18/12 C2       27.2  99.8   0.15    0.0    251
AMRN   AMARIN CORP  AMRN US 02/18/12 P6       24.6 100.0   0.25    0.0    559
EEM    ISHARES-EMG  EEM US 01/19/13 P32       23.5  36.4   2.33   -1.3    512
CVS    CVS CAREMAR  CVS US 02/18/12 C36       22.6  35.6   6.55   11.0    284
SPY    SPDR S&P 50  SPY US 02/18/12 P133      22.5  16.3   4.37  -12.2    621
INHX   INHIBITEX I  INHX US 02/18/12 P24      22.2  65.5   1.45    3.6    226
RVSN   RADVISION L  RVSN US 03/17/12 C5       21.5 116.0   4.70   21.1    200
CTL    CENTURYLINK  CTL US 02/18/12 P37       21.3  17.4   1.15  -17.9   4105
INHX   INHIBITEX I  INHX US 02/18/12 C25      19.2  51.0   1.40   25.0   3271
INHX   INHIBITEX I  INHX US 05/19/12 C25      17.6  27.2   1.45   26.1    287
INHX   INHIBITEX I  INHX US 02/18/12 C24      17.2  66.2   2.20   12.8    635
RIMM   RESEARCH IN  RIMM US 02/18/12 P17      17.2  75.7   1.43  -20.6    469
RIMM   RESEARCH IN  RIMM US 02/18/12 C17      16.9  76.1   1.60   70.2   1138
BPAX   BIOSANTE PH  BPAX US 03/17/12 C0.5     16.6  71.1   0.10    0.0   6262
HEK    HECKMANN CO  HEK US 03/17/12 C6        16.2  54.2   0.45  -50.0    280
RIMM   RESEARCH IN  RIMM US 02/18/12 P16      16.0  74.4   0.95  -20.8    942
SPY    SPDR S&P 50  SPY US 02/18/12 P132      15.9  16.8   3.72  -12.5    498
RVSN   RADVISION L  RVSN US 03/17/12 C7.5     15.8  89.0   2.40   23.1    204
EPD    ENTERPRISE   EPD US 02/18/12 P46       15.7  19.7   0.85    0.0   1076
VXX    IPATH-S&P S  VXX US 03/17/12 C31       15.5  74.1   3.25  -21.7    344
RIMM   RESEARCH IN  RIMM US 02/18/12 P15      15.5  74.3   0.63  -17.1   1278
RIMM   RESEARCH IN  RIMM US 02/18/12 C15      15.0  75.9   2.72   43.2    414
EEM    ISHARES-EMG  EEM US 01/19/13 P31       14.6  37.2   2.08   -0.9    775
WFR    MEMC ELEC M  WFR US 02/18/12 C3        14.6 108.2   1.78   20.3    332
SPY    SPDR S&P 50  SPY US 03/17/12 P134      14.4  16.7   6.42  -11.9    203
SPY    SPDR S&P 50  SPY US 02/18/12 P131      14.3  17.5   3.23  -15.2    953
MDVN   MEDIVATION   MDVN US 02/18/12 P55      14.0 106.7   7.25   20.8    280
RIMM   RESEARCH IN  RIMM US 02/18/12 P10      13.9  87.6   0.02  -33.3    201
VFC    VF CORP      VFC US 02/18/12 P135      13.8  29.2   5.70    5.6    277
RIMM   RESEARCH IN  RIMM US 02/18/12 P14      13.6  74.6   0.38  -13.6    845
PMC    PHARMERICA   PMC US 02/18/12 P12.5     13.5  69.8   0.60    9.1    200
VXX    IPATH-S&P S  VXX US 02/18/12 C30       13.5  73.9   2.71  -22.6    299
VFC    VF CORP      VFC US 02/18/12 C135      13.2  29.3   3.30   15.4    601
EPD    ENTERPRISE   EPD US 02/18/12 C47       13.1  17.3   0.90   38.5    237
GGC    GEORGIA GUL  GGC US 02/18/12 P30       12.8  42.9   0.45  -10.0    473
SHLD   SEARS HOLDI  SHLD US 01/19/13 C35      12.7  59.0   9.80   46.3   3569
GE     GENERAL ELE  GE US 02/18/12 P15        12.5  45.8   0.04   33.3    519
VFC    VF CORP      VFC US 02/18/12 P130      12.3  30.5   3.60   12.5    264
JPM    JPMORGAN CH  JPM US 02/18/12 P20       12.2  86.7   0.02  100.0    272
ABX    BARRICK GOL  ABX US 07/21/12 C33       12.2  40.3  16.15    0.0  19875
SPY    SPDR S&P 50  SPY US 02/18/12 P130      12.0  18.3   2.75  -16.2  26264
PVX    PROVIDENT E  PVX US 03/17/12 C10       11.9  28.8   1.45  625.0    498
XL     XL GROUP PL  XL US 02/18/12 P19        11.9  39.5   0.35  -23.9   1904
RIMM   RESEARCH IN  RIMM US 02/18/12 P11      11.6  84.0   0.05  -28.6   2402
INHX   INHIBITEX I  INHX US 02/18/12 P22.5    11.5  81.1   1.30    0.0    788
ITW    ILLINOIS TO  ITW US 02/18/12 C52.5     11.5  24.5   0.95  156.8   1258
SPY    SPDR S&P 50  SPY US 03/17/12 P133      11.4  17.2   5.91  -12.3    429
UNG    US NAT GAS   UNG US 07/21/12 P4        11.3  45.0   0.15   66.7    220
BA     BOEING CO/T  BA US 02/18/12 P55        11.2  47.8   0.04  -33.3    286
QQQ    POWERSH-QQQ  QQQ US 02/18/12 P60       11.1  17.8   1.85  -21.9    784
XLI    SPDR-INDU S  XLI US 02/18/12 P36       11.1  21.7   0.99  -19.5   1160
RIMM   RESEARCH IN  RIMM US 02/18/12 C14      11.1  74.8   3.54   36.7    576
ITW    ILLINOIS TO  ITW US 02/18/12 P50       10.9  27.2   1.05  -49.0    526
WFM    WHOLE FOODS  WFM US 02/18/12 C80       10.8  35.3   1.80  111.8    318
VFC    VF CORP      VFC US 02/18/12 P125      10.8  32.3   2.05    2.5    697
SPY    SPDR S&P 50  SPY US 02/18/12 P129      10.7  18.8   2.38  -15.3   6597
SPY    SPDR S&P 50  SPY US 02/18/12 P128      10.7  19.6   2.05  -16.0  24525
ITW    ILLINOIS TO  ITW US 02/18/12 P47.5     10.6  30.6   0.50  -41.2    403
HUM    HUMANA INC   HUM US 02/18/12 C100      10.6  25.1   1.20   50.0    235
SHLD   SEARS HOLDI  SHLD US 02/18/12 P15      10.6 199.1   0.33  -17.5    297
WY     WEYERHAEUSE  WY US 02/18/12 P20        10.5  33.5   0.60   -7.7    630
GMCR   GREEN MOUNT  GMCR US 02/18/12 P40      10.4  96.9   1.38  -35.2    455
ENER   ENERGY CONV  ENER US 06/16/12 C0.5     10.4  96.4   0.71   77.5    226
GMCR   GREEN MOUNT  GMCR US 02/18/12 P42      10.4  95.4   1.83  -30.4    226
UNG    US NAT GAS   UNG US 04/21/12 P5        10.3  47.4   0.34   70.0   3250
PBR    PETROBRAS S  PBR US 02/18/12 C23       10.3  52.7   6.39   17.2    500
HCN    HEALTH CARE  HCN US 02/18/12 C55       10.3  19.5   1.65   32.0    230
RIMM   RESEARCH IN  RIMM US 03/17/12 P16      10.3  72.7   1.47  -12.5    753
RIMM   RESEARCH IN  RIMM US 03/17/12 C17.5    10.2  72.8   1.84   46.0    295
MWE    MARKWEST EN  MWE US 02/18/12 C55       10.0  18.8   1.60    3.2    227

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
ENER   ENERGY CONV  ENER US 02/18/12 C1      -48.8  90.7   0.34   88.9   3358
ENER   ENERGY CONV  ENER US 01/19/13 C1      -46.2  60.1   0.50   47.1    291
ENER   ENERGY CONV  ENER US 06/16/12 C1      -35.3  73.8   0.42  100.0    358
BPAX   BIOSANTE PH  BPAX US 06/16/12 C0.5    -34.6  50.6   0.15    0.0   1554
VQ     VENOCO INC   VQ US 03/17/12 P10       -33.8  42.7   0.45  -81.2    285
REE    RARE ELEMEN  REE US 04/21/12 C4       -33.8  42.0   2.10   -6.7    240
PVX    PROVIDENT E  PVX US 06/16/12 C11      -33.1  17.7   0.60  300.0    578
UNG    US NAT GAS   UNG US 02/18/12 P4       -29.7  58.7   0.02    0.0    211
PVX    PROVIDENT E  PVX US 06/16/12 C10      -27.1  20.3   1.40  300.0    428
RRD    RR DONNELLE  RRD US 03/17/12 P10      -27.0  55.1   0.25    0.0    624
RRD    RR DONNELLE  RRD US 02/18/12 P12      -25.4  44.5   0.70  250.0    736
BPAX   BIOSANTE PH  BPAX US 02/18/12 C0.5    -23.6  62.6   0.13   30.0    345
ENER   ENERGY CONV  ENER US 03/17/12 C1      -23.0 102.0   0.39   77.3    363
DCTH   DELCATH SYS  DCTH US 02/18/12 C2.5    -21.9  83.8   1.16  -25.2    208
ENER   ENERGY CONV  ENER US 02/18/12 P1      -21.2 172.4   0.12  -64.7    376
SPY    SPDR S&P 50  SPY US 02/18/12 C110     -20.8  33.1  20.20    4.2    255
VQ     VENOCO INC   VQ US 06/16/12 C10       -20.0  48.5   1.65  200.0    650
STP    SUNTECH POW  STP US 01/19/13 C2       -18.7  63.2   1.46   15.0    327
TSLA   TESLA MOTOR  TSLA US 02/18/12 C27     -18.4  63.6   2.10  133.3    502
SPY    SPDR S&P 50  SPY US 02/18/12 C119     -18.0  25.8  11.51   11.0   1731
TSLA   TESLA MOTOR  TSLA US 02/18/12 C25     -17.4  68.4   2.85   90.0   1006
CHKP   CHECK POINT  CHKP US 02/18/12 C50     -17.4  32.3   3.80   31.0    440
SPY    SPDR S&P 50  SPY US 02/18/12 C115     -16.9  28.7  15.22    8.4    392
ARAY   ACCURAY INC  ARAY US 02/18/12 C5      -16.2  61.9   0.35   75.0    282
LINC   LINCOLN EDU  LINC US 02/18/12 C7.5    -15.5  47.5   0.77    0.0   1003
HOGS   ZHONGPIN IN  HOGS US 03/17/12 C10     -15.2  33.3   1.15   33.7    499
CCL    CARNIVAL CO  CCL US 02/18/12 P25      -15.1  49.8   0.25  150.0   1439
GTIV   GENTIVA HEA  GTIV US 02/18/12 C7.5    -14.8  93.6   0.45  -35.7    696
SPY    SPDR S&P 50  SPY US 02/18/12 C121     -14.3  24.3   9.76   17.7    227
CCL    CARNIVAL CO  CCL US 02/18/12 P23      -14.2  54.8   0.15    0.0    534
SPY    SPDR S&P 50  SPY US 02/18/12 C120     -13.7  25.0  10.68    5.2    313
XLF    SPDR-FINL S  XLF US 02/18/12 C12      -13.6  36.5   1.90    0.5    258
UNG    US NAT GAS   UNG US 04/21/12 C4       -13.3  49.1   1.39  -21.0    220
GRPN   GROUPON INC  GRPN US 07/21/12 C17     -13.0  34.2   3.10   51.2    203
UNG    US NAT GAS   UNG US 01/19/13 C5       -12.8  38.5   1.02  -18.4    321
ASIA   ASIAINFO-LI  ASIA US 02/18/12 C8      -12.2  69.1   1.10   46.7    399
KNDI   KANDI TECHN  KNDI US 03/17/12 C2.5    -12.0  61.8   0.95  -13.6    318
SPY    SPDR S&P 50  SPY US 02/18/12 C123     -12.0  22.8   8.03   12.6    327
EEM    ISHARES-EMG  EEM US 01/19/13 P30      -11.1  37.9   1.86   -0.5   4002
ONXX   ONYX PHARM   ONXX US 02/18/12 P41     -10.8  41.6   0.90  -40.0    200
XLE    SPDR-ENERGY  XLE US 02/18/12 C62      -10.8  31.8   8.40  -17.6    200
C      CITIGROUP I  C US 02/18/12 C28        -10.8  47.2   2.00  -42.9    215
CCL    CARNIVAL CO  CCL US 02/18/12 P26      -10.5  46.9   0.40  100.0   1465
C      CITIGROUP I  C US 02/18/12 P23        -10.4  55.2   0.16    0.0    243
C      CITIGROUP I  C US 02/18/12 C27        -10.2  48.7   2.72  -36.0    274
C      CITIGROUP I  C US 02/18/12 P28        -10.1  46.9   1.10   26.4   3011
SKS    SAKS INC     SKS US 02/18/12 P9       -10.1  42.7   0.45    0.0    685

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

-- Bloomberg News

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

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.