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
=============================================================================
LGCY   LEGACY RESE  LGCY US 09/22/12 C30      47.6  28.2   2.00   60.0    288
CIM    CHIMERA INV  CIM US 06/16/12 P2.5      30.0  42.1   0.05   66.7    200
KMI    KINDER MORG  KMI US 06/16/12 C30       21.3  21.3   6.80    9.7    263
KO     COCA-COLA C  KO US 04/21/12 C65        18.9  16.2   4.45   18.7    292
DHI    DR HORTON I  DHI US 04/21/12 P12       17.7  49.2   0.18  -18.2    477
MWW    MONSTER WOR  MWW US 04/21/12 C9        17.2  66.7   0.70   75.0    246
PVX    PROVIDENT E  PVX US 04/21/12 C12       16.9  14.0   0.15   50.0    215
SBUX   STARBUCKS C  SBUX US 04/21/12 P52.5    16.4  22.6   2.66  -40.2    314
DHI    DR HORTON I  DHI US 04/21/12 P13       16.4  44.4   0.34  -10.5   1106
DNDN   DENDREON CO  DNDN US 04/21/12 C10      16.0  81.4   0.99  -36.1   4342
DHI    DR HORTON I  DHI US 04/21/12 P14       15.0  40.2   0.67    0.0  54569
HW     HEADWATERS   HW US 05/19/12 C2         14.5  99.0   1.30    8.3    500
DNDN   DENDREON CO  DNDN US 04/21/12 P10      14.3  81.0   1.25  104.9    392
JOE    ST JOE CO    JOE US 04/21/12 C17       13.8  29.8   0.75  114.3    400
COH    COACH INC    COH US 04/21/12 P65       13.7  39.0   0.35  -50.0   1075
SBUX   STARBUCKS C  SBUX US 04/21/12 C52.5    13.5  22.2   0.81  125.0   4550
DHI    DR HORTON I  DHI US 04/21/12 C14       13.3  39.3   0.89   29.0   2149
COH    COACH INC    COH US 04/21/12 P77.5     13.3  28.9   3.20  -44.8    964
MWW    MONSTER WOR  MWW US 06/16/12 C7        13.2  70.5   2.15   26.5    402
NLY    ANNALY CAPI  NLY US 04/21/12 C13       13.1  49.8   3.20  -47.5    200
COH    COACH INC    COH US 05/19/12 C75       13.0  34.7   6.30   85.3    783
COH    COACH INC    COH US 04/21/12 P67.5     12.4  36.1   0.55  -52.6    238
SHLD   SEARS HOLDI  SHLD US 04/21/12 C70      12.3  52.6   9.90   36.5    354
COH    COACH INC    COH US 05/19/12 C77.5     12.2  33.3   4.80  113.3    682
COH    COACH INC    COH US 04/21/12 P72.5     12.0  32.1   1.33  -48.9    667
COH    COACH INC    COH US 04/21/12 P70       11.9  34.1   0.85  -46.5    894
DHI    DR HORTON I  DHI US 05/19/12 P14       11.9  40.9   0.91   -6.2   5388
COH    COACH INC    COH US 05/19/12 P77.5     11.8  33.4   4.40  -36.4    718
SBUX   STARBUCKS C  SBUX US 04/21/12 C50      11.8  23.7   1.93   60.8    737
SBUX   STARBUCKS C  SBUX US 04/21/12 P47      11.5  26.6   0.51  -30.1    258
SHLD   SEARS HOLDI  SHLD US 04/21/12 C75      11.4  55.7   6.85   45.4    308
MDVN   MEDIVATION   MDVN US 06/16/12 C75      11.2  63.3  10.55  142.5   1715
NLY    ANNALY CAPI  NLY US 04/21/12 C15       11.2  25.7   1.22  -15.9    398
COH    COACH INC    COH US 04/21/12 C77.5     11.0  28.8   3.35  179.2    632
LDK    LDK SOLAR C  LDK US 04/21/12 P3        11.0 130.1   0.10   25.0    351
AGNC   AMERICAN CA  AGNC US 06/16/12 C27      11.0  21.8   3.00  -15.5    905
COH    COACH INC    COH US 05/19/12 C80       11.0  31.8   3.50  141.4   1086
DHI    DR HORTON I  DHI US 05/19/12 P13       10.8  43.6   0.57  -16.2    705
MWW    MONSTER WOR  MWW US 06/16/12 C8        10.8  68.3   1.55   29.2    554
COH    COACH INC    COH US 05/19/12 C62.5     10.6  43.1  14.70   25.6    500
SBUX   STARBUCKS C  SBUX US 04/21/12 C49      10.6  24.4   2.55   45.7    862
DNDN   DENDREON CO  DNDN US 04/21/12 P9       10.5  82.3   0.72  118.2   9370
SBUX   STARBUCKS C  SBUX US 04/21/12 C48      10.5  25.3   3.35   39.6    252

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
AGNC   AMERICAN CA  AGNC US 06/16/12 P30     -22.6  14.4   1.20   14.3    415
WMT    WAL-MART ST  WMT US 06/16/12 C50      -21.9  22.3   9.65   -1.8    411
AGNC   AMERICAN CA  AGNC US 04/21/12 P29     -20.3  13.4   0.36   50.0   1208
TBT    PROSHARES U  TBT US 04/21/12 C14      -18.9  29.2   5.20    1.0    376
AGNC   AMERICAN CA  AGNC US 04/21/12 P28     -18.0  16.8   0.19    5.6    286
MCD    MCDONALDS C  MCD US 04/21/12 C95      -16.5  15.8   3.25  -44.9    623
ONTY   ONCOTHYREON  ONTY US 08/18/12 P5      -16.3  65.9   0.72  -34.5   1000
AGNC   AMERICAN CA  AGNC US 06/16/12 P29     -16.1  16.2   0.77   14.9    660
WMT    WAL-MART ST  WMT US 01/19/13 C40      -15.0  28.6  19.70   -0.8    427
TBT    PROSHARES U  TBT US 04/21/12 C13      -14.9  37.5   6.20    6.9    207
HDY    HYPERDYNAMI  HDY US 06/16/12 C1       -14.9 115.2   0.55    0.0    835
HRB    H&R BLOCK I  HRB US 04/21/12 P15      -14.7  30.6   0.35  -22.2    306
TBT    PROSHARES U  TBT US 04/21/12 C16      -14.4  28.5   3.25   10.2    304
AGNC   AMERICAN CA  AGNC US 04/21/12 P30     -13.9  12.8   0.85   70.0   1679
ILMN   ILLUMINA IN  ILMN US 04/21/12 C52.5   -13.8  24.4   1.05  -19.2    470
KMI    KINDER MORG  KMI US 06/16/12 C35      -13.6  11.3   2.00   25.0    360
XLS    EXELIS INC   XLS US 07/21/12 P7.5     -13.6  54.9   0.20  -60.0    200
MCD    MCDONALDS C  MCD US 04/21/12 P92.5    -13.6  17.2   0.71   77.5    934
AGNC   AMERICAN CA  AGNC US 06/16/12 P28     -13.3  18.1   0.56   19.1    737
MCD    MCDONALDS C  MCD US 04/21/12 P75      -13.0  33.5   0.05    0.0    341
NAV    NAVISTAR IN  NAV US 04/21/12 P35      -12.8  39.8   0.60  -11.8    912
AIG    AMERICAN IN  AIG US 04/21/12 C30      -12.8  30.4   0.67  -43.2   1134
SONC   SONIC CORP   SONC US 04/21/12 C7.5    -12.5  42.8   0.65  -18.8    300
MCD    MCDONALDS C  MCD US 04/21/12 P95      -12.4  15.7   1.25   95.3   1431
MCD    MCDONALDS C  MCD US 04/21/12 P90      -12.4  19.3   0.40   42.9   1698
SQNM   SEQUENOM IN  SQNM US 04/21/12 P4      -12.2  69.4   0.36  -35.7   2000
NAV    NAVISTAR IN  NAV US 04/21/12 C35      -12.0  41.7   4.00  -30.4    286
SAH    SONIC AUTOM  SAH US 04/21/12 C17.5    -11.8  35.8   1.05  -38.2    250
MCD    MCDONALDS C  MCD US 04/21/12 C97.5    -11.7  14.8   1.71  -55.6   1846
AIG    AMERICAN IN  AIG US 04/21/12 C29      -11.5  30.8   1.08  -39.0   2973
NLY    ANNALY CAPI  NLY US 04/21/12 P15      -11.1  17.6   0.14   16.7    278
SMTC   SEMTECH COR  SMTC US 06/16/12 P27     -11.0  34.6   1.80   11.8    309
AGNC   AMERICAN CA  AGNC US 04/21/12 C29     -10.8  14.7   0.85  -39.7    390
NAV    NAVISTAR IN  NAV US 04/21/12 P40      -10.6  36.3   2.66   33.0    635
NLY    ANNALY CAPI  NLY US 07/21/12 P16      -10.5  12.9   1.02   13.3    235
AGNC   AMERICAN CA  AGNC US 06/16/12 P27     -10.2  20.6   0.36    5.9    215
JBLU   JETBLUE AIR  JBLU US 04/21/12 C4      -10.0  55.9   0.95   -5.0    234

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.