U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2012-03-28T15:30:25Z
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
=============================================================================
VXX IPATH-S&P S VXX US 05/19/12 C17 80.9 79.8 2.35 6.8 771
AMLN AMYLIN PHAR AMLN US 04/21/12 C10 70.1 148.1 13.00 127.7 238
AMLN AMYLIN PHAR AMLN US 04/21/12 P15 61.5 87.4 0.06 -90.8 7430
AMLN AMYLIN PHAR AMLN US 04/21/12 P14 57.8 89.7 0.04 -85.7 520
AMLN AMYLIN PHAR AMLN US 04/21/12 P16 57.3 86.4 0.08 -92.5 702
AMLN AMYLIN PHAR AMLN US 04/21/12 C14 53.8 85.6 8.76 353.9 424
AMLN AMYLIN PHAR AMLN US 04/21/12 C16 52.5 85.0 6.70 1035.6 329
AMLN AMYLIN PHAR AMLN US 04/21/12 C11 52.2 140.7 11.80 151.1 271
AMLN AMYLIN PHAR AMLN US 04/21/12 P21 48.7 75.3 0.92 -82.1 736
YELP YELP INC YELP US 04/21/12 C28 46.0 74.0 4.10 228.0 439
AMLN AMYLIN PHAR AMLN US 04/21/12 P17 40.7 81.1 0.15 -91.9 785
AMLN AMYLIN PHAR AMLN US 05/19/12 P22 39.1 72.1 2.14 0.0 292
AMLN AMYLIN PHAR AMLN US 04/21/12 P20 37.5 76.8 0.71 -79.3 1483
YELP YELP INC YELP US 04/21/12 C26 37.4 72.3 5.20 131.1 217
AMLN AMYLIN PHAR AMLN US 04/21/12 C17 36.2 80.1 5.71 1486.1 501
YELP YELP INC YELP US 04/21/12 P27 35.3 85.7 0.95 -38.7 706
AMLN AMYLIN PHAR AMLN US 05/19/12 P21 34.6 73.0 1.71 0.0 337
AMLN AMYLIN PHAR AMLN US 05/19/12 P17 34.4 74.0 0.44 -81.3 417
YELP YELP INC YELP US 04/21/12 C30 33.9 71.5 2.55 240.0 687
AMLN AMYLIN PHAR AMLN US 07/21/12 P12 32.1 72.8 0.23 -51.1 254
AMLN AMYLIN PHAR AMLN US 05/19/12 P18 31.9 74.0 0.67 0.0 244
AMLN AMYLIN PHAR AMLN US 04/21/12 P22 30.7 74.8 1.35 0.0 2825
YELP YELP INC YELP US 04/21/12 C25 29.8 72.6 6.20 143.1 270
AMLN AMYLIN PHAR AMLN US 07/21/12 P14 29.5 70.5 0.40 -62.6 1062
AMLN AMYLIN PHAR AMLN US 07/21/12 P13 29.2 71.8 0.31 -60.8 802
XLI SPDR-INDU S XLI US 04/21/12 P39 28.1 14.9 1.81 24.0 1310
AMLN AMYLIN PHAR AMLN US 04/21/12 C18 26.6 77.9 5.00 2280.9 907
AMLN AMYLIN PHAR AMLN US 05/19/12 P20 26.5 73.0 1.25 0.0 405
AMLN AMYLIN PHAR AMLN US 04/21/12 P18 25.8 78.6 0.27 -89.8 204
AMLN AMYLIN PHAR AMLN US 07/21/12 P15 25.4 68.0 0.44 -74.9 11121
PBY PEP BOYS MM PBY US 07/21/12 C15 25.2 3.9 0.05 0.0 330
AMLN AMYLIN PHAR AMLN US 07/21/12 P16 24.9 67.5 0.76 -62.9 10724
FMCN FOCUS MEDIA FMCN US 04/21/12 P21 24.6 84.8 0.40 263.6 656
YELP YELP INC YELP US 05/19/12 C30 24.2 61.2 3.00 140.0 1330
DTV DIRECTV-A DTV US 04/21/12 C49 23.8 18.1 1.00 100.0 952
ARNA ARENA PHARM ARNA US 04/21/12 C2 23.3 170.7 0.98 -24.6 329
DTV DIRECTV-A DTV US 04/21/12 C47 23.2 20.2 2.56 48.8 920
DTV DIRECTV-A DTV US 04/21/12 C48 22.8 18.9 1.65 48.6 415
DTV DIRECTV-A DTV US 04/21/12 P48 22.4 18.7 0.42 -23.6 498
DTV DIRECTV-A DTV US 04/21/12 C50 22.3 17.3 0.55 175.0 1616
JNK SPDR BARCLA JNK US 04/21/12 C40 22.0 10.6 0.15 0.0 1000
SWK STANLEY BLA SWK US 04/21/12 P80 21.8 25.8 3.30 78.4 233
FMCN FOCUS MEDIA FMCN US 04/21/12 P22 21.7 77.9 0.50 233.3 298
QCOR QUESTCOR PH QCOR US 04/21/12 C30 21.6 69.7 8.30 -7.8 277
SPY SPDR S&P 50 SPY US 04/21/12 C125 21.3 28.2 15.90 -5.5 10000
DTV DIRECTV-A DTV US 04/21/12 P49 21.2 17.8 0.74 -40.3 821
AMLN AMYLIN PHAR AMLN US 04/21/12 P19 21.2 77.7 0.45 -87.3 1291
AMLN AMYLIN PHAR AMLN US 05/19/12 C21 20.8 73.9 3.50 0.0 271
LNG CHENIERE EN LNG US 04/21/12 P14 19.3 81.6 0.85 88.9 996
SWK STANLEY BLA SWK US 04/21/12 C77.5 19.2 27.7 2.55 -4.5 942
DAL DELTA AIR L DAL US 04/21/12 C8 19.1 64.8 2.15 18.1 500
BAC BANK OF AME BAC US 04/21/12 C7 19.0 76.2 2.76 4.9 2321
DTV DIRECTV-A DTV US 04/21/12 P50 18.8 17.0 1.29 -34.5 210
SWK STANLEY BLA SWK US 04/21/12 P77.5 18.7 27.4 1.90 106.5 1539
LNG CHENIERE EN LNG US 04/21/12 C15 17.9 81.0 1.10 0.0 10858
LNG CHENIERE EN LNG US 04/21/12 P13 17.6 81.8 0.45 80.0 232
SWK STANLEY BLA SWK US 04/21/12 P75 17.5 29.4 1.05 90.9 958
WAG WALGREEN CO WAG US 04/21/12 C33 17.2 25.4 2.26 15.3 220
YELP YELP INC YELP US 04/21/12 P30 16.7 82.4 2.05 -39.7 377
LNG CHENIERE EN LNG US 05/19/12 C15 16.5 78.9 1.55 -8.8 432
LNG CHENIERE EN LNG US 05/19/12 C13 16.3 82.5 2.60 -10.3 548
AMLN AMYLIN PHAR AMLN US 07/21/12 C19 16.0 65.3 5.25 458.5 754
FMCN FOCUS MEDIA FMCN US 04/21/12 P18 15.9 100.6 0.20 300.0 350
AMLN AMYLIN PHAR AMLN US 05/19/12 C23 15.7 72.3 2.34 0.0 6118
AMLN AMYLIN PHAR AMLN US 04/21/12 C19 15.3 75.7 4.05 2431.2 1045
F FORD MOTOR F US 04/21/12 C11 15.3 29.6 1.28 -4.5 387
ALU ALCATEL-LUC ALU US 06/16/12 P2 15.2 79.3 0.15 0.0 401
AMLN AMYLIN PHAR AMLN US 07/21/12 C20 15.1 65.1 4.60 607.7 2244
FNFG FIRST NIAGA FNFG US 10/20/12 C7.5 14.8 37.2 2.60 -5.5 300
NOK NOKIA CORP- NOK US 04/21/12 P4 14.8 86.3 0.04 0.0 502
MMR MCMORAN EXP MMR US 04/21/12 P11 14.7 87.6 1.11 38.8 5090
ARO AEROPOSTALE ARO US 04/21/12 C23 14.3 38.4 0.45 50.0 4297
BAC BANK OF AME BAC US 04/21/12 P7 14.3 74.1 0.02 -33.3 518
NYX NYSE EURONE NYX US 04/21/12 P29 14.3 26.4 0.61 69.4 2909
WAG WALGREEN CO WAG US 04/21/12 C35 13.8 22.1 0.76 26.7 2582
FMCN FOCUS MEDIA FMCN US 04/21/12 P20 13.7 88.2 0.30 200.0 2686
YELP YELP INC YELP US 05/19/12 P30 13.4 78.1 3.29 -28.2 299
AMLN AMYLIN PHAR AMLN US 07/21/12 P20 13.3 65.0 1.89 -64.3 15161
ONTY ONCOTHYREON ONTY US 05/19/12 C4 13.2 54.9 0.70 55.6 400
WAG WALGREEN CO WAG US 04/21/12 P33 12.8 24.9 0.19 5.6 5324
TRLG TRUE RELIGI TRLG US 04/21/12 P23 12.6 40.5 0.15 50.0 595
AMLN AMYLIN PHAR AMLN US 07/21/12 C21 12.6 64.2 3.95 659.6 1090
TQNT TRIQUINT SE TQNT US 04/21/12 C7 12.5 46.6 0.35 40.0 951
MMR MCMORAN EXP MMR US 05/19/12 C11 12.4 85.9 1.17 -29.1 378
POT POTASH CORP POT US 04/21/12 C47.5 12.3 34.4 0.73 -25.5 2168
SODA SODASTREAM SODA US 04/21/12 C32.5 12.2 49.6 1.90 -19.1 331
WAG WALGREEN CO WAG US 04/21/12 C36 12.0 21.3 0.37 42.3 4811
VXX IPATH-S&P S VXX US 09/22/12 P10 12.0 79.4 0.55 -15.4 318
XLI SPDR-INDU S XLI US 04/21/12 P38 11.9 16.1 0.80 5.3 1800
FRO FRONTLINE L FRO US 04/21/12 C6 11.9 99.2 1.90 46.1 200
HYG ISH-IBOXX H HYG US 04/21/12 P92 11.8 7.9 1.80 12.5 289
RVSN RADVISION L RVSN US 09/22/12 P10 11.5 18.8 0.05 0.0 1008
AMLN AMYLIN PHAR AMLN US 04/21/12 C20 11.5 77.1 3.35 3250.0 1090
MMR MCMORAN EXP MMR US 05/19/12 P11 11.4 85.9 1.55 30.2 221
WAG WALGREEN CO WAG US 04/21/12 P34 11.3 22.8 0.36 -10.0 1770
TQNT TRIQUINT SE TQNT US 05/19/12 C6 11.3 59.5 1.25 8.7 207
EPI WISDOMTREE EPI US 04/21/12 P18 11.2 28.4 0.20 33.3 268
UAL UNITED CONT UAL US 04/21/12 P21 11.2 50.1 0.65 -40.4 633
HGSI HUMAN GENOM HGSI US 05/19/12 C7 11.1 72.5 1.35 -4.9 2670
NVDA NVIDIA CORP NVDA US 04/21/12 P15 11.1 33.5 0.35 -35.2 383
HTZ HERTZ GLOBA HTZ US 04/21/12 C15 11.0 41.9 0.50 -9.1 501
VZ VERIZON COM VZ US 04/21/12 C40 11.0 14.6 0.05 -16.7 741
POT POTASH CORP POT US 04/21/12 C45 10.8 34.5 1.67 -26.8 2044
LVS LAS VEGAS S LVS US 04/21/12 C60 10.8 33.1 1.27 1.6 5228
UAL UNITED CONT UAL US 04/21/12 P20 10.8 52.6 0.38 -38.7 887
NLY ANNALY CAPI NLY US 05/19/12 C16 10.6 13.6 0.17 -34.6 1098
LVS LAS VEGAS S LVS US 04/21/12 P60 10.6 32.6 2.78 11.7 946
LVS LAS VEGAS S LVS US 04/21/12 P60 10.6 32.6 2.78 11.7 946
ALXN ALEXION PHA ALXN US 04/21/12 C90 10.5 34.7 3.20 -36.0 319
NVDA NVIDIA CORP NVDA US 04/21/12 C14 10.5 35.4 1.42 39.2 457
XLU SPDR-UTIL S XLU US 06/16/12 C33 10.4 14.3 2.11 1.0 235
UAL UNITED CONT UAL US 04/21/12 C20 10.4 52.4 2.41 57.5 412
WAG WALGREEN CO WAG US 04/21/12 P35 10.4 21.6 0.69 -15.8 367
AAPL APPLE INC AAPL US 04/21/12 P570 10.3 32.3 4.05 8.0 3104
STD BANCO SANTA STD US 06/16/12 P6 10.3 45.7 0.10 0.0 200
UAL UNITED CONT UAL US 04/21/12 P19 10.3 56.1 0.24 -29.4 375
MMR MCMORAN EXP MMR US 05/19/12 P10 10.1 86.1 0.98 38.0 568
AAPL APPLE INC AAPL US 04/21/12 C550 10.1 36.2 70.20 5.2 1876
WTW WEIGHT WATC WTW US 04/21/12 C80 10.1 32.7 2.20 3.3 2128
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
NLY ANNALY CAPI NLY US 04/21/12 C15 -59.4 18.1 0.70 -43.5 311
PCG PG&E CORP PCG US 04/21/12 C40 -59.3 14.1 3.00 -3.2 500
KERX KERYX BIOPH KERX US 01/18/14 C2.5 -49.0 85.0 3.40 17.2 250
CX CEMEX SAB-S CX US 04/21/12 C7 -40.6 52.3 0.85 -29.2 1000
MHS MEDCO HEALT MHS US 06/16/12 C60 -36.3 28.4 12.40 7.8 220
MHS MEDCO HEALT MHS US 05/19/12 P67.5 -35.7 25.7 1.20 -64.7 251
MHS MEDCO HEALT MHS US 04/21/12 C70 -35.3 27.7 2.65 3.9 1289
ACI ARCH COAL I ACI US 01/19/13 C5 -33.6 61.6 6.00 -6.2 200
MHS MEDCO HEALT MHS US 06/16/12 P65 -33.3 25.0 0.95 -69.5 1989
MHS MEDCO HEALT MHS US 06/16/12 C67.5 -32.4 22.4 5.90 15.7 261
VXX IPATH-S&P S VXX US 05/19/12 P16 -31.5 79.5 1.26 -14.9 494
KFT KRAFT FOODS KFT US 01/19/13 C25 -30.8 31.1 13.30 -1.5 209
MHS MEDCO HEALT MHS US 04/21/12 P67.5 -30.0 33.9 1.00 -63.6 327
NLY ANNALY CAPI NLY US 04/21/12 P16 -29.6 10.6 0.41 2.5 1281
XLI SPDR-INDU S XLI US 01/18/14 P25 -28.2 31.6 1.46 -20.6 223
MHS MEDCO HEALT MHS US 04/21/12 P65 -27.7 39.2 0.70 -65.0 366
NLY ANNALY CAPI NLY US 04/21/12 C16 -27.2 11.3 0.05 -79.2 1925
VXX IPATH-S&P S VXX US 04/21/12 C15 -26.3 74.3 3.00 11.9 359
MHS MEDCO HEALT MHS US 05/19/12 P55 -26.2 43.8 0.30 -72.7 290
STT STATE ST CO STT US 05/19/12 C36 -24.9 33.1 9.40 -11.3 384
BIDU BAIDU INC-S BIDU US 04/21/12 C120 -24.2 34.1 27.75 -10.2 559
FDO FAMILY DOLL FDO US 04/21/12 C60 -22.8 18.2 0.60 -20.0 245
JOSB JOS A BANK JOSB US 04/21/12 P50 -22.6 31.9 1.60 162.3 1013
RBN ROBBINS & M RBN US 04/21/12 C50 -22.2 31.5 1.25 108.3 543
VXX IPATH-S&P S VXX US 06/16/12 P10 -22.1 75.5 0.10 -23.1 226
VXX IPATH-S&P S VXX US 05/19/12 C16 -22.1 77.4 2.90 10.7 502
NLY ANNALY CAPI NLY US 01/18/14 C15 -21.5 16.3 1.02 -20.9 1154
ESRX EXPRESS SCR ESRX US 04/21/12 P55 -20.9 28.5 2.18 -27.3 774
ESRX EXPRESS SCR ESRX US 04/21/12 C55 -20.2 28.8 1.05 -12.5 770
SIGA SIGA TECH I SIGA US 04/21/12 C3 -20.2 71.9 0.56 -6.7 509
FDO FAMILY DOLL FDO US 04/21/12 P57.5 -20.2 20.7 0.60 -46.4 297
GIVN GIVEN IMAGI GIVN US 05/19/12 C20 -18.5 32.5 0.60 0.0 232
MHS MEDCO HEALT MHS US 04/21/12 P55 -17.1 61.7 0.25 -61.5 1629
AFFY AFFYMAX INC AFFY US 04/21/12 P7 -16.0 125.9 0.05 0.0 357
ESRX EXPRESS SCR ESRX US 04/21/12 C52.5 -15.8 31.5 2.28 -6.9 2440
NKTR NEKTAR THER NKTR US 04/21/12 C8 -15.7 49.5 0.65 0.0 747
VXX IPATH-S&P S VXX US 05/19/12 P18 -15.7 84.2 2.42 -11.7 345
PVH PVH CORP PVH US 04/21/12 C92.5 -15.3 24.4 0.95 -38.7 270
JOSB JOS A BANK JOSB US 04/21/12 C50 -15.2 32.7 1.59 -68.2 11073
ESRX EXPRESS SCR ESRX US 05/19/12 C55 -14.6 31.5 2.00 -7.4 1307
ESRX EXPRESS SCR ESRX US 04/21/12 P52.5 -14.5 31.8 1.11 -34.7 1949
PVH PVH CORP PVH US 04/21/12 P87.5 -13.7 27.1 1.65 -8.3 332
SDS PRO ULTSHRT SDS US 04/21/12 C13 -13.6 25.8 2.03 6.3 303
ARNA ARENA PHARM ARNA US 01/18/14 P1 -13.5 105.9 0.29 -14.7 1012
FTR FRONTIER CO FTR US 04/21/12 C4 -13.5 38.0 0.20 -20.0 576
VXX IPATH-S&P S VXX US 04/21/12 C17 -13.3 79.6 1.79 12.6 2219
XLE SPDR-ENERGY XLE US 04/21/12 P52 -12.8 51.3 0.01 0.0 590
HD HOME DEPOT HD US 04/21/12 P35 -12.6 52.1 0.01 -50.0 413
SRE SEMPRA ENER SRE US 04/21/12 C57.5 -12.5 14.4 1.65 3.1 357
ESRX EXPRESS SCR ESRX US 04/21/12 P50 -12.3 34.5 0.49 -40.2 4311
ESRX EXPRESS SCR ESRX US 05/19/12 P45 -12.3 37.1 0.25 -54.5 725
BPZ BPZ RESOURC BPZ US 06/16/12 C4 -12.1 60.3 0.50 -16.7 244
TOT TOTAL SA-SP TOT US 04/21/12 P50 -11.9 28.0 1.15 -4.2 693
ESRX EXPRESS SCR ESRX US 05/19/12 C47.5 -11.7 36.6 6.50 -8.2 1241
KERX KERYX BIOPH KERX US 04/21/12 P3 -11.4 209.7 0.20 -20.0 466
ESRX EXPRESS SCR ESRX US 05/19/12 P55 -11.4 32.2 3.18 -17.4 639
FDO FAMILY DOLL FDO US 05/19/12 C60 -11.3 18.7 1.10 -15.4 253
CHTP CHELSEA THE CHTP US 04/21/12 P2 -11.3 212.5 0.10 0.0 857
AMLN AMYLIN PHAR AMLN US 04/21/12 C23 -11.2 75.0 1.56 2128.6 2370
CJES C&J ENERGY CJES US 04/21/12 C17.5 -11.1 38.3 0.80 -11.1 318
ARNA ARENA PHARM ARNA US 04/21/12 P2.5 -11.1 145.7 0.22 10.0 361
VXX IPATH-S&P S VXX US 05/19/12 C18 -10.9 82.2 2.05 15.2 852
ISTA ISTA PHARMA ISTA US 04/21/12 C7.5 -10.8 38.9 1.50 0.0 237
ESRX EXPRESS SCR ESRX US 05/19/12 P52.5 -10.8 34.7 2.17 -20.2 741
ESRX EXPRESS SCR ESRX US 05/19/12 P42.5 -10.7 38.4 0.15 -51.6 3473
EPI WISDOMTREE EPI US 05/19/12 C19 -10.4 23.8 0.65 -18.8 456
HUN HUNTSMAN CO HUN US 04/21/12 P14 -10.1 32.5 0.35 52.2 2056
x - Ex-dividend. * - Ex-earnings.
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