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
=============================================================================
CLWR   CLEARWIRE -  CLWR US 03/17/12 C2       66.9 125.8   0.50   25.0    611
LF     LEAPFROG EN  LF US 06/16/12 C5         55.7  59.6   2.85    7.5    200
K      KELLOGG CO   K US 03/17/12 P47.5       48.8  22.7   0.05  -75.0    241
K      KELLOGG CO   K US 03/17/12 P50         48.7  18.8   0.21  -80.9   1207
K      KELLOGG CO   K US 03/17/12 C50         44.2  18.8   3.29  448.3    898
SPY    SPDR S&P 50  SPY US 03/17/12 P142      42.1   9.9   7.46   -2.5    228
BPAX   BIOSANTE PH  BPAX US 06/16/12 C0.5     40.8  89.4   0.55   83.3   1154
MVG    MAG SILVER   MVG US 03/17/12 C7.5      38.4  74.1   1.80  157.1   3200
K      KELLOGG CO   K US 03/17/12 P52.5       37.2  16.1   0.90  -71.9    336
BPAX   BIOSANTE PH  BPAX US 03/17/12 P0.5     33.6 270.9   0.05    0.0    220
ELNK   EARTHLINK I  ELNK US 03/17/12 P8       28.7  40.2   0.35  -50.0   1922
MVG    MAG SILVER   MVG US 03/17/12 P7.5      28.2  73.6   0.20   -9.1    440
BPAX   BIOSANTE PH  BPAX US 01/19/13 C0.5     26.8  86.2   0.60   50.0    562
EWJ    ISHARES-JAP  EWJ US 03/17/12 C9        23.9  26.7   0.95   37.7    266
FTE    FRANCE TELE  FTE US 08/18/12 P15       23.8  20.6   1.50    3.5    300
SPY    SPDR S&P 50  SPY US 03/17/12 P141      22.3  11.4   6.37   -5.2    306
ELOS   SYNERON MED  ELOS US 03/17/12 C10      21.6  61.9   1.55   34.8   1000
NBIX   NEUROCRINE   NBIX US 05/19/12 C9       21.2  55.3   0.80  -23.8    981
ANH    ANWORTH MOR  ANH US 07/21/12 P6        21.1  16.2   0.17   13.3   1093
K      KELLOGG CO   K US 06/16/12 C55         20.7  14.0   0.80  471.4   1213
INFA   INFORMATICA  INFA US 06/16/12 C37.5    20.4  43.4  11.30    0.9    760
MRGE   MERGE HEALT  MRGE US 06/16/12 P5       19.6  78.0   0.55   -8.3    210
OSG    OVERSEAS SH  OSG US 01/19/13 P5        19.2 100.7   0.80    6.7    552
CAKE   CHEESECAKE   CAKE US 03/17/12 P30      19.2  39.7   0.90    5.9    625
EPM    EVOLUTION P  EPM US 04/21/12 C7.5      18.5  55.4   2.10   31.2    432
CAKE   CHEESECAKE   CAKE US 03/17/12 C31      18.0  37.5   1.50   25.0    263
K      KELLOGG CO   K US 06/16/12 C52.5       18.0  14.8   1.95  333.3    916
CAKE   CHEESECAKE   CAKE US 03/17/12 C32      17.2  36.1   1.00   56.2    444
BSBR   BANCO SANTA  BSBR US 03/17/12 C11      17.0  33.7   0.30  200.0    317
CAKE   CHEESECAKE   CAKE US 03/17/12 P29      16.9  41.3   0.55   22.2    941
VLY    VALLEY NATL  VLY US 03/17/12 C12       16.8  25.5   0.40    5.3    680
MTL    MECHEL-SPON  MTL US 04/21/12 C5        16.6 119.1   5.80  -12.1    248
CAKE   CHEESECAKE   CAKE US 03/17/12 P31      16.3  38.0   1.25    0.0    242
K      KELLOGG CO   K US 09/22/12 C55         15.9  14.4   1.35  285.7    213
AAPL   APPLE INC    AAPL US 03/17/12 P535     15.7  33.7  26.40  -21.0    533
ITRI   ITRON INC    ITRI US 03/17/12 P35      15.5  65.7   0.90   50.0    354
AAPL   APPLE INC    AAPL US 03/17/12 P545     15.3  33.7  32.70  -24.6    317
AAPL   APPLE INC    AAPL US 03/17/12 P525     15.2  33.7  20.60  -22.1   1437
AAPL   APPLE INC    AAPL US 03/17/12 C530     15.2  33.8  17.60   88.2   9426
AAPL   APPLE INC    AAPL US 03/17/12 C535     15.1  33.8  15.65  100.6   3392
AAPL   APPLE INC    AAPL US 03/17/12 C540     15.0  33.8  13.70  109.2   5115
AAPL   APPLE INC    AAPL US 03/17/12 C545     14.7  33.9  11.88  116.0   2764
AAPL   APPLE INC    AAPL US 03/17/12 C515     14.6  33.8  25.25   67.8   6081
AAPL   APPLE INC    AAPL US 03/17/12 C525     14.5  33.8  20.00   80.2   7134
AAPL   APPLE INC    AAPL US 03/17/12 P515     14.5  33.7  15.75  -23.2   3407
AAPL   APPLE INC    AAPL US 03/17/12 P530     14.5  33.5  23.45  -20.9    729
AAPL   APPLE INC    AAPL US 03/17/12 P540     14.4  33.5  30.10  -18.9    482
AAPL   APPLE INC    AAPL US 03/17/12 C505     14.3  34.1  31.30   56.5   4226
AAPL   APPLE INC    AAPL US 03/17/12 P520     14.3  33.6  18.05  -22.6   3228
AAPL   APPLE INC    AAPL US 03/17/12 C520     14.2  33.7  22.55   73.5  12858
S      SPRINT NEXT  S US 03/17/12 C2          13.9  66.0   0.34    0.0    204
AAPL   APPLE INC    AAPL US 03/17/12 P505     13.9  33.8  11.90  -22.5   2121
NG     NOVAGOLD RE  NG US 03/17/12 C9         13.8  62.9   0.52    4.0    440
AAPL   APPLE INC    AAPL US 03/17/12 P505     13.7  33.7  11.90  -22.5   2121
AAPL   APPLE INC    AAPL US 03/17/12 P510     13.7  33.6  13.80  -22.2   4650
AAPL   APPLE INC    AAPL US 03/17/12 P495     13.6  34.0   8.50  -24.4   6373
SPY    SPDR S&P 50  SPY US 03/17/12 P140      13.5  12.2   5.60   -4.1    388
AAPL   APPLE INC    AAPL US 03/17/12 C500     13.4  34.0  34.65   51.6   7632
AAPL   APPLE INC    AAPL US 03/17/12 C510     13.4  33.9  28.10   61.5   4582
AAPL   APPLE INC    AAPL US 03/17/12 C480     13.4  35.0  49.60   36.8   2333
AAPL   APPLE INC    AAPL US 03/17/12 C495     13.3  34.2  38.00   48.1   1194
PLAB   PHOTRONICS   PLAB US 03/17/12 P7.5     13.3  61.9   0.50    0.0    205
AAPL   APPLE INC    AAPL US 03/17/12 P480     12.9  34.7   5.20  -22.3   2185
AAPL   APPLE INC    AAPL US 03/17/12 P485     12.7  34.3   6.23  -21.8   3209
AAPL   APPLE INC    AAPL US 03/17/12 C485     12.7  34.5  45.40   39.7    695
K      KELLOGG CO   K US 06/16/12 P52.5       12.7  15.1   1.90  -45.7    453
AAPL   APPLE INC    AAPL US 03/17/12 P470     12.6  35.3   3.60  -20.9   2238
KORS   MICHAEL KOR  KORS US 03/17/12 P40      12.6  54.5   1.50    7.1    203
JNPR   JUNIPER NET  JNPR US 03/17/12 C24      12.3  42.0   1.40  233.3   1136
CMCSA  COMCAST COR  CMCSA US 04/21/12 P30     12.3  23.2   1.91  -55.8    264
AAPL   APPLE INC    AAPL US 03/17/12 C465     12.2  35.7  61.50   30.9    355
ZNGA   ZYNGA INC-   ZNGA US 03/17/12 C10      12.1  61.9   2.40  -46.7    638
JNPR   JUNIPER NET  JNPR US 03/17/12 P24      12.0  41.7   0.85  -57.1    434
AAPL   APPLE INC    AAPL US 03/17/12 C475     12.0  34.9  53.43   33.6   1767
AAPL   APPLE INC    AAPL US 03/17/12 P465     12.0  35.5   2.96  -21.1   2571
OCR    OMNICARE IN  OCR US 03/17/12 C35       11.9  39.3   1.10   83.3    221
AAP    ADVANCE AUT  AAP US 03/17/12 C60       11.9  48.9  20.00    1.5    251
AAPL   APPLE INC    AAPL US 04/21/12 C400     11.8  37.0 125.40   13.5    558
AAPL   APPLE INC    AAPL US 04/21/12 C400     11.8  37.0 125.40   13.5    558
AAPL   APPLE INC    AAPL US 03/17/12 P460     11.5  35.9   2.49  -20.9   2398
AAPL   APPLE INC    AAPL US 03/17/12 C470     11.5  35.1  57.50   30.0   1119
CVX    CHEVRON COR  CVX US 03/17/12 C110      11.4  17.9   0.67   -4.3    328
JNPR   JUNIPER NET  JNPR US 03/17/12 P25      11.4  40.8   1.30  -55.2    401
QQQ    POWERSH-QQQ  QQQ US 03/17/12 P66       11.4  15.7   2.77  -14.0   4525
AAPL   APPLE INC    AAPL US 03/17/12 C450     11.1  37.2  75.70   22.5   1299
CMCSA  COMCAST COR  CMCSA US 04/21/12 C29     11.1  23.8   0.99  160.5    509
AAPL   APPLE INC    AAPL US 03/17/12 P455     10.7  36.4   2.06  -21.4   1563
AAPL   APPLE INC    AAPL US 04/21/12 C430     10.5  36.2  97.42   16.9    450
AAPL   APPLE INC    AAPL US 03/17/12 P450     10.5  36.8   1.70  -23.4   2881
SA     SEABRIDGE G  SA US 03/17/12 P23        10.5  49.2   0.95  -24.0    451
AAPL   APPLE INC    AAPL US 04/21/12 C410     10.3  37.1 115.15   13.9    327
AAPL   APPLE INC    AAPL US 04/21/12 C450     10.3  35.3  79.75   20.8   1472
SA     SEABRIDGE G  SA US 03/17/12 C25        10.2  48.5   0.90   50.0    243
AAPL   APPLE INC    AAPL US 04/21/12 P425     10.2  36.8   3.07   -4.1    378
AAPL   APPLE INC    AAPL US 04/21/12 C475     10.1  34.3  60.00   28.2    307
INFN   INFINERA CO  INFN US 07/21/12 C7       10.1  55.9   1.80   24.1   1679
AAPL   APPLE INC    AAPL US 04/21/12 P470     10.1  34.5   9.77   -9.1   1284
AAPL   APPLE INC    AAPL US 04/21/12 P490     10.1  33.9  15.00  -14.0    331
AAPL   APPLE INC    AAPL US 04/21/12 P420     10.1  37.2   2.52   -7.7    285
AAPL   APPLE INC    AAPL US 04/21/12 P420     10.1  37.2   2.52   -7.7    285
XLF    SPDR-FINL S  XLF US 03/17/12 C12       10.1  41.6   2.59    2.8    457
AAPL   APPLE INC    AAPL US 04/21/12 P460     10.1  34.9   7.55  -10.7    881
CMCSA  COMCAST COR  CMCSA US 03/17/12 C27     10.1  27.1   2.00  127.3    353
EMC    EMC CORP/MA  EMC US 04/21/12 C23       10.1  34.0   4.15   20.3   1515

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
NETL   NETLOGIC MI  NETL US 07/21/12 P49     -93.1   2.9   0.15  -50.0    540
BPAX   BIOSANTE PH  BPAX US 03/17/12 C1      -63.8  60.6   0.10    0.0   3164
BPAX   BIOSANTE PH  BPAX US 06/16/12 C1      -58.9  46.6   0.15    0.0   5172
WTW    WEIGHT WATC  WTW US 03/17/12 C80      -52.4  29.3   1.35  -75.9   1429
WTW    WEIGHT WATC  WTW US 03/17/12 C77.5    -51.9  30.4   2.25  -66.4   1651
WTW    WEIGHT WATC  WTW US 03/17/12 P75      -47.7  33.6   2.28  -40.0    827
WTW    WEIGHT WATC  WTW US 03/17/12 P72.5    -46.9  34.9   1.40  -50.0   1724
WTW    WEIGHT WATC  WTW US 03/17/12 P70      -46.2  36.0   0.90  -61.7    341
WTW    WEIGHT WATC  WTW US 03/17/12 P67.5    -44.7  37.6   0.50  -69.9    420
WTW    WEIGHT WATC  WTW US 04/21/12 C80      -34.1  33.5   2.95  -55.3    604
WTW    WEIGHT WATC  WTW US 03/17/12 P60      -33.4  48.2   0.20  -69.2    286
RAX    RACKSPACE H  RAX US 03/17/12 C38      -30.3  42.8  16.94   -7.1    304
ZNGA   ZYNGA INC-   ZNGA US 03/17/12 C12     -28.4  70.0   1.15  -61.0   1264
ZNGA   ZYNGA INC-   ZNGA US 03/17/12 P9      -27.4  85.5   0.13  -35.0    785
ZNGA   ZYNGA INC-   ZNGA US 03/17/12 P11     -26.6  87.2   0.65   18.2   2075
FTI    FMC TECHNOL  FTI US 03/17/12 C50      -26.2  34.2   2.33  -40.3    533
ZNGA   ZYNGA INC-   ZNGA US 03/17/12 P10     -25.7  84.5   0.32    6.7   2321
DSX    DIANA SHIPP  DSX US 03/17/12 C7       -24.7  47.2   2.55    4.1    500
ZNGA   ZYNGA INC-   ZNGA US 03/17/12 P12     -23.4  87.1   1.00   17.6   2592
DPS    DR PEPPER S  DPS US 03/17/12 C40      -23.1  19.4   1.00   33.3    249
ZNGA   ZYNGA INC-   ZNGA US 03/17/12 C11     -22.1  66.8   1.65  -54.9    987
WTW    WEIGHT WATC  WTW US 04/21/12 P75      -21.9  41.2   4.40   -2.2    375
BPAX   BIOSANTE PH  BPAX US 01/19/13 C1      -20.8  53.4   0.20   33.3   1515
WTW    WEIGHT WATC  WTW US 04/21/12 P67.5    -20.2  44.8   2.15  -15.7    268
WTW    WEIGHT WATC  WTW US 04/21/12 P70      -19.6  44.0   2.75   -8.3    319
HK     HALCON RESO  HK US 03/17/12 C12.5     -19.2  74.5   0.70  -41.7    926
ASIA   ASIAINFO-LI  ASIA US 03/17/12 P5      -18.6 187.9   0.15  -57.1    450
K      KELLOGG CO   K US 03/17/12 C55        -18.6  15.8   0.25  400.0   1049
ACAS   AMERICAN CA  ACAS US 03/17/12 C9      -17.2  30.4   0.29  -12.1   1059
WSH    WILLIS GRP   WSH US 04/21/12 C35      -17.0  20.5   1.30  -58.1    322
WTW    WEIGHT WATC  WTW US 03/17/12 P50      -16.0  72.4   0.10  -66.7    268
DF     DEAN FOODS   DF US 03/17/12 P13       -14.8  30.5   0.75  -67.1    348
BPAX   BIOSANTE PH  BPAX US 06/16/12 P1      -14.7 139.1   0.30  -33.3    227
FTR    FRONTIER CO  FTR US 03/17/12 C4       -14.0 108.6   0.50   -9.1    480
CVX    CHEVRON COR  CVX US 03/17/12 P105     -13.5  19.7   2.16   -1.8    750
RPTP   RAPTOR PHAR  RPTP US 03/17/12 C7.5    -12.7  50.0   0.50  -21.9   3000
TEVA   TEVA PHARM-  TEVA US 03/17/12 C47.5   -12.7  22.2   0.43  168.8    782
FTI    FMC TECHNOL  FTI US 03/17/12 P50      -12.7  34.3   1.75  105.9    525
FTI    FMC TECHNOL  FTI US 03/17/12 P45      -12.5  39.3   0.45    0.0    560
RENN   RENREN INC-  RENN US 03/17/12 C5      -12.2  81.1   0.60  -20.0    481
EXM    EXCEL MARIT  EXM US 03/17/12 P2       -11.7 126.7   0.25    0.0   1354
RENN   RENREN INC-  RENN US 04/21/12 C5      -11.6  72.1   0.75  -25.0    339
WTW    WEIGHT WATC  WTW US 07/21/12 C80      -11.5  41.5   6.40  -15.8    216
WSH    WILLIS GRP   WSH US 07/21/12 P35      -11.4  21.5   2.05  105.0   5010
DF     DEAN FOODS   DF US 03/17/12 P11       -11.4  36.7   0.05  -91.8    279
DE     DEERE & CO   DE US 03/17/12 P85       -11.3  26.0   2.08   50.7   1129
DE     DEERE & CO   DE US 03/17/12 P87.5     -11.3  24.9   3.29   48.9    214
DE     DEERE & CO   DE US 03/17/12 P82.5     -11.1  27.2   1.26   55.6   1150
ANF    ABERCROMBIE  ANF US 03/17/12 C50      -11.1  40.7   2.40  280.9    911
PG     PROCTER & G  PG US 01/19/13 C47.5     -10.9  23.5  17.50    4.5    200
RENN   RENREN INC-  RENN US 03/17/12 P5      -10.7  88.6   0.40    0.0    361
DE     DEERE & CO   DE US 03/17/12 P80       -10.6  29.0   0.77   28.3   1042
ZNGA   ZYNGA INC-   ZNGA US 06/16/12 P10     -10.6  92.7   1.35    8.0    371
DE     DEERE & CO   DE US 03/17/12 C85       -10.5  26.1   2.92  -46.4    918
DE     DEERE & CO   DE US 03/17/12 C87.5     -10.2  25.2   1.74  -54.2   1271
ANF    ABERCROMBIE  ANF US 03/17/12 C47      -10.1  42.8   3.95  168.7    249

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.