U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2012-06-25T19:00:26Z
The following are the U.S. stock options that had the biggest percentage changes in implied volatility from the previous trading day as of 3:00 p.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 500 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
=============================================================================
STZ CONSTELLATI STZ US 07/21/12 P20 72.2 48.8 0.45 -52.6 597
XOM EXXON MOBIL XOM US 07/21/12 P85 67.5 18.1 4.30 38.7 2189
VXX IPATH-S&P S VXX US 07/21/12 P17 43.1 85.6 1.43 -28.1 1867
STZ CONSTELLATI STZ US 08/18/12 C22.5 40.6 39.8 1.00 0.0 596
STZ CONSTELLATI STZ US 10/20/12 C22.5 40.2 36.8 1.30 333.3 652
SUN SUNOCO INC SUN US 07/21/12 C48 38.4 15.7 0.49 22.5 2000
VXX IPATH-S&P S VXX US 07/21/12 P16 32.5 82.8 0.91 -26.0 5036
RIMM RESEARCH IN RIMM US 07/21/12 P6 29.9 115.3 0.07 250.0 810
VXX IPATH-S&P S VXX US 08/18/12 P18 29.4 86.8 2.75 -22.5 3090
BAC BANK OF AME BAC US 07/21/12 C5 28.6 91.7 2.61 -8.4 1229
XOM EXXON MOBIL XOM US 07/21/12 P82.5 28.3 19.5 2.51 53.0 2073
CAH CARDINAL HE CAH US 07/21/12 C42 26.3 21.8 0.40 -33.3 2168
CIGX STAR SCIENT CIGX US 08/18/12 P3 25.6 96.9 0.05 0.0 1510
SPY SPDR S&P 50 SPY US 07/21/12 C126 25.0 22.0 6.24 -23.8 1103
TWI TITAN INTL TWI US 07/21/12 C20 24.8 49.9 2.20 18.9 550
AOL AOL INC AOL US 07/21/12 C26 23.4 36.1 1.40 -12.5 580
RIMM RESEARCH IN RIMM US 07/21/12 P7 23.3 97.5 0.17 183.3 4960
VXX IPATH-S&P S VXX US 07/21/12 P14 23.2 77.1 0.26 -23.5 7272
RIMM RESEARCH IN RIMM US 07/21/12 P8 23.2 90.6 0.36 140.0 12666
CHK CHESAPEAKE CHK US 07/21/12 C17 23.1 67.5 1.15 -42.8 1929
AMRN AMARIN CORP AMRN US 07/21/12 C13 22.6 78.2 1.20 33.3 611
RIMM RESEARCH IN RIMM US 07/21/12 C8 21.6 91.4 1.47 -26.5 782
SVM SILVERCORP SVM US 07/21/12 P5 21.3 64.7 0.11 10.0 908
XLV SPDR-HEALTH XLV US 07/21/12 C37 21.3 18.1 0.69 -23.3 944
SAN BANCO SANTA SAN US 07/21/12 C6 20.8 49.4 0.30 -33.3 521
SPY SPDR S&P 50 SPY US 07/21/12 C127 20.1 21.4 5.52 -18.0 2263
NLY ANNALY CAPI NLY US 08/18/12 C17 20.0 12.5 0.17 -5.6 591
TWX TIME WARNER TWX US 07/21/12 P37 19.5 24.2 1.15 94.9 12245
XOM EXXON MOBIL XOM US 07/21/12 P80 19.5 21.5 1.32 63.0 4427
VXX IPATH-S&P S VXX US 08/18/12 P17 19.1 84.8 2.12 -21.2 3940
SPY SPDR S&P 50 SPY US 07/21/12 C128 18.9 20.8 4.74 -26.5 3064
GDXJ MARKET VECT GDXJ US 07/21/12 C16 18.9 57.9 3.30 -25.0 1250
RIMM RESEARCH IN RIMM US 07/21/12 C9 18.8 83.0 0.85 -30.9 2550
IBM IBM IBM US 07/21/12 P195 18.3 20.5 5.40 25.6 517
HTZ HERTZ GLOBA HTZ US 07/21/12 P12 18.2 61.1 0.75 50.0 6305
SPY SPDR S&P 50 SPY US 07/21/12 C129 18.0 20.3 3.90 -29.1 1263
RIMM RESEARCH IN RIMM US 07/21/12 P9 17.6 81.9 0.73 102.8 7062
VXX IPATH-S&P S VXX US 07/21/12 P13 17.6 76.2 0.11 -56.0 626
VXX IPATH-S&P S VXX US 08/18/12 P16 17.2 83.2 1.58 -25.1 3797
POT POTASH CORP POT US 07/21/12 C42 17.1 32.0 0.85 54.5 2593
POT POTASH CORP POT US 07/21/12 P40 16.9 34.4 1.13 -5.8 1589
CSTR COINSTAR IN CSTR US 07/21/12 P60 16.8 42.8 0.90 28.6 1857
POT POTASH CORP POT US 07/21/12 C41 16.8 33.3 1.32 37.5 3871
RIMM RESEARCH IN RIMM US 08/18/12 C9 16.7 74.9 1.05 -27.6 606
AGNC AMERICAN CA AGNC US 07/21/12 P33 16.7 15.3 0.92 27.8 2228
APOL APOLLO GROU APOL US 07/21/12 C34 16.7 60.5 1.46 -13.6 713
VNDA VANDA PHARM VNDA US 07/21/12 P3 16.6 111.4 0.05 0.0 593
TWX TIME WARNER TWX US 07/21/12 P36 16.5 26.0 0.65 97.0 768
SID SID NACIONA SID US 08/18/12 P5 16.4 54.3 0.25 0.0 1305
RIMM RESEARCH IN RIMM US 08/18/12 P7 16.3 87.4 0.32 128.6 1907
VXX IPATH-S&P S VXX US 09/22/12 P17 16.1 83.8 2.76 -11.0 3225
VOD VODAFONE GR VOD US 07/21/12 C28 16.1 17.4 0.40 14.3 593
ZNGA ZYNGA INC- ZNGA US 07/21/12 C6 16.1 75.3 0.45 0.0 4016
NWSA NEWS CORP-A NWSA US 07/21/12 C19 16.0 28.9 1.30 -7.1 5000
POT POTASH CORP POT US 07/21/12 C40 15.9 34.5 1.82 21.3 868
XOM EXXON MOBIL XOM US 07/21/12 P77.5 15.9 23.7 0.69 81.6 2562
SPY SPDR S&P 50 SPY US 07/21/12 C130 15.9 19.7 3.25 -31.7 11353
RIMM RESEARCH IN RIMM US 08/18/12 P8 15.8 79.5 0.58 100.0 9393
RIMM RESEARCH IN RIMM US 08/18/12 P9 15.7 74.0 0.98 69.0 6665
F FORD MOTOR F US 07/21/12 P9 15.7 35.0 0.05 66.7 5280
PCYC PHARMACYCLI PCYC US 08/18/12 P38 15.6 69.4 0.60 -14.3 800
GRPN GROUPON INC GRPN US 07/21/12 C8 15.5 73.7 2.00 -23.7 573
VMW VMWARE INC- VMW US 07/21/12 C90 15.4 42.8 2.80 -45.1 1293
CF CF INDUSTRI CF US 07/21/12 C185 15.4 39.0 6.40 68.4 913
VXX IPATH-S&P S VXX US 08/18/12 P15 15.4 80.4 1.07 -28.7 2478
APOL APOLLO GROU APOL US 07/21/12 P34 15.4 59.8 2.90 34.9 632
SNX SYNNEX CORP SNX US 07/21/12 P30 15.4 50.9 0.56 86.7 614
CF CF INDUSTRI CF US 07/21/12 C180 15.2 40.4 8.85 43.9 550
MNST MONSTER BEV MNST US 07/21/12 P67.5 15.1 49.2 1.45 28.3 837
VMW VMWARE INC- VMW US 07/21/12 P90 15.1 42.5 5.50 71.9 719
VXX IPATH-S&P S VXX US 08/18/12 P13 15.0 76.3 0.43 -30.6 759
APOL APOLLO GROU APOL US 07/21/12 P30 15.0 69.0 1.17 46.2 855
BAC BANK OF AME BAC US 07/21/12 C6 14.9 67.1 1.67 -12.6 1123
BMY BRISTOL-MYE BMY US 07/21/12 C35 14.7 14.8 0.12 -78.6 1154
GE GENERAL ELE GE US 07/21/12 P20 14.7 24.2 0.82 46.4 1138
DIA SPDR DJIA T DIA US 07/21/12 C125 14.6 16.2 1.90 -31.9 1185
DIA SPDR DJIA T DIA US 07/21/12 C124 14.6 16.8 2.47 -29.4 1120
SPY SPDR S&P 50 SPY US 07/21/12 C132 14.5 18.5 2.10 -33.8 20403
DIA SPDR DJIA T DIA US 07/21/12 C127 14.5 14.9 0.97 -39.0 1408
NOK NOKIA CORP- NOK US 07/21/12 C2 14.5 94.9 0.33 -26.7 11487
SPY SPDR S&P 50 SPY US 07/21/12 C131 14.4 19.1 2.64 -34.5 22793
WMT WAL-MART ST WMT US 07/21/12 P65 14.4 17.7 0.28 -12.5 1787
CALL MAGICJACK V CALL US 08/18/12 P20 14.2 96.0 3.20 18.5 1054
TRIP TRIPADVISOR TRIP US 07/21/12 C46 14.2 43.2 1.34 -21.2 1024
PII POLARIS IND PII US 07/21/12 C70 14.1 40.9 2.71 -20.3 778
DBA POWERSHARES DBA US 07/21/12 C26 14.0 20.2 1.35 42.1 1260
SPY SPDR S&P 50 SPY US 07/21/12 C133 13.8 17.9 1.60 -36.8 19999
AGNC AMERICAN CA AGNC US 07/21/12 P31 13.7 20.5 0.21 40.0 1114
KFN KKR FINANCI KFN US 08/18/12 C8 13.7 32.1 0.56 -20.0 1000
APOL APOLLO GROU APOL US 07/21/12 P29 13.6 71.5 0.95 46.1 881
SPY SPDR S&P 50 SPY US 07/21/12 C136 13.6 16.0 0.58 -47.3 13374
CHK CHESAPEAKE CHK US 07/21/12 P17 13.5 67.2 1.29 111.5 6427
SVU SUPERVALU I SVU US 08/18/12 P4 13.4 78.7 0.24 26.3 3220
XOM EXXON MOBIL XOM US 07/21/12 P75 13.4 26.1 0.32 77.8 2683
SPY SPDR S&P 50 SPY US 07/21/12 C135 13.4 16.6 0.84 -44.0 25056
SPY SPDR S&P 50 SPY US 07/21/12 C134 13.3 17.3 1.20 -40.6 42193
VMW VMWARE INC- VMW US 07/21/12 P87.5 13.2 43.3 3.80 68.1 2284
MOS MOSAIC CO/T MOS US 07/21/12 C52.5 13.2 38.5 1.27 5.8 741
HRB H&R BLOCK I HRB US 07/21/12 C14 13.1 49.2 1.50 -9.1 500
MSFT MICROSOFT C MSFT US 07/21/12 P31 13.0 25.3 1.65 68.4 956
V VISA INC-CL V US 07/21/12 C125 12.9 22.0 1.42 -39.3 2115
SPY SPDR S&P 50 SPY US 07/21/12 C137 12.9 15.5 0.39 -48.0 6782
DIA SPDR DJIA T DIA US 07/21/12 C129 12.9 13.8 0.40 -45.2 518
ARNA ARENA PHARM ARNA US 01/19/13 C4 12.9 136.4 5.95 -9.2 675
SWN SOUTHWESTRN SWN US 07/21/12 P27 12.8 46.7 0.64 33.3 506
BGS B&G FOODS I BGS US 08/18/12 C22.5 12.8 45.7 4.40 -2.2 1227
XLF SPDR-FINL S XLF US 07/21/12 C13 12.7 30.7 1.12 -20.6 1672
XLF SPDR-FINL S XLF US 07/21/12 C14 12.7 25.9 0.39 -32.8 5627
WMT WAL-MART ST WMT US 08/18/12 P65 12.6 18.9 0.88 0.0 4885
WPX WPX ENERGY WPX US 07/21/12 P15 12.6 53.1 1.15 4.5 1001
VXX IPATH-S&P S VXX US 09/22/12 P14 12.4 78.9 1.12 -24.3 1962
JEC JACOBS ENGI JEC US 07/21/12 P33 12.3 35.6 0.70 180.0 7142
PRGO PERRIGO CO PRGO US 08/18/12 C120 12.1 25.8 2.60 4.0 965
CSCO CISCO SYSTE CSCO US 07/21/12 P17 12.1 23.2 0.50 42.9 5052
AUY YAMANA GOLD AUY US 07/21/12 C14 12.0 43.3 1.55 18.3 2036
SPY SPDR S&P 50 SPY US 08/18/12 C125 11.9 22.6 8.30 -16.8 549
IBM IBM IBM US 07/21/12 P190 11.9 21.7 3.16 26.4 1677
CVH COVENTRY HE CVH US 07/21/12 C34 11.9 47.6 1.50 -14.3 4440
XOM EXXON MOBIL XOM US 08/18/12 P80 11.8 21.2 2.36 36.4 1941
BIDU BAIDU INC-S BIDU US 07/21/12 C115 11.7 37.7 2.66 -35.1 864
NTAP NETAPP INC NTAP US 07/21/12 P29 11.6 42.4 0.95 26.7 508
RSH RADIOSHACK RSH US 08/18/12 P3.5 11.6 84.6 0.28 86.7 1809
WMT WAL-MART ST WMT US 07/21/12 C67.5 11.6 15.5 1.37 39.8 1287
VMW VMWARE INC- VMW US 07/21/12 P85 11.5 43.9 2.70 116.0 932
DBA POWERSHARES DBA US 10/20/12 C24 11.5 21.3 3.40 17.2 500
SZYM SOLAZYME IN SZYM US 12/22/12 C12.5 11.5 40.2 1.95 69.6 2006
LVS LAS VEGAS S LVS US 07/21/12 P44 11.5 38.7 2.45 72.5 1516
LVS LAS VEGAS S LVS US 07/21/12 C44 11.3 38.9 1.21 -41.5 1331
NOK NOKIA CORP- NOK US 08/18/12 P1.5 11.3 105.1 0.07 0.0 1108
FSIN FUSHI COPPE FSIN US 07/21/12 C7.5 11.3 59.9 0.45 125.0 896
QQQ POWERSH-QQQ QQQ US 07/21/12 C60 11.3 22.1 2.81 -21.9 2517
MOS MOSAIC CO/T MOS US 07/21/12 P45 11.2 48.9 0.58 1.8 676
HOLX HOLOGIC INC HOLX US 09/22/12 P18 11.2 39.0 1.75 -14.6 922
NKE NIKE INC -C NKE US 07/21/12 C100 11.2 34.9 2.69 -14.9 795
HOT STARWOOD HO HOT US 07/21/12 P49 11.2 39.4 1.40 75.0 599
CHK CHESAPEAKE CHK US 07/21/12 P16 11.2 70.5 0.84 140.0 1779
AAPL APPLE INC AAPL US 07/21/12 C590 11.1 25.3 7.65 -30.1 4145
CX CEMEX SAB-S CX US 10/20/12 P5 11.1 72.0 0.46 -8.0 613
TWX TIME WARNER TWX US 08/18/12 P38 10.9 23.7 2.05 19.9 10124
WMT WAL-MART ST WMT US 08/18/12 P67.5 10.9 17.0 1.72 -7.5 2578
GSK GLAXOSMITHK GSK US 08/18/12 C46.84 10.9 16.0 0.70 29.6 1285
NFLX NETFLIX INC NFLX US 07/21/12 C70 10.9 50.3 2.45 0.0 1219
HOT STARWOOD HO HOT US 07/21/12 P48 10.8 40.2 1.09 84.8 524
NFLX NETFLIX INC NFLX US 07/21/12 C67.5 10.8 51.4 3.60 -1.4 962
LOGI LOGITECH IN LOGI US 08/18/12 P9 10.7 63.8 0.50 0.0 2702
BAC BANK OF AME BAC US 07/21/12 C7 10.7 54.8 0.78 -24.3 3529
PFE PFIZER INC PFE US 07/21/12 P22 10.7 17.1 0.21 75.0 782
AWI ARMSTRONG W AWI US 07/21/12 P45 10.7 39.4 1.50 42.9 1139
HBAN HUNTINGTON HBAN US 07/21/12 C6 10.7 36.7 0.33 -17.5 753
MT ARCELORMITT MT US 08/18/12 P14 10.6 57.2 1.16 54.7 2170
NLY ANNALY CAPI NLY US 07/21/12 C17 10.5 9.9 0.12 -7.7 1642
MAR MARRIOTT IN MAR US 07/21/12 P34 10.4 38.4 0.33 65.0 500
JPM JPMORGAN CH JPM US 07/21/12 P36 10.4 35.7 1.92 33.3 1060
JNJ JOHNSON&JOH JNJ US 07/21/12 C67.5 10.4 13.0 0.47 -6.0 880
LVS LAS VEGAS S LVS US 07/21/12 P43 10.4 39.5 1.92 68.4 2969
AMLN AMYLIN PHAR AMLN US 07/21/12 P28 10.3 49.0 1.68 24.4 4339
QQQ POWERSH-QQQ QQQ US 07/21/12 C65 10.3 16.9 0.21 -55.3 2709
ECA ENCANA CORP ECA US 07/21/12 C19 10.3 45.0 0.90 -36.6 978
AAPL APPLE INC AAPL US 07/21/12 C585 10.3 25.6 9.45 -30.3 4254
WMT WAL-MART ST WMT US 07/21/12 P60 10.2 26.3 0.06 -25.0 657
GS GOLDMAN SAC GS US 07/21/12 P95 10.2 34.6 5.85 50.0 536
HD HOME DEPOT HD US 07/21/12 C52.5 10.2 19.9 0.65 -16.7 1404
AAPL APPLE INC AAPL US 07/21/12 C580 10.2 25.8 11.39 -29.7 6849
AAPL APPLE INC AAPL US 07/21/12 P585 10.1 25.1 23.30 42.9 1506
JNJ JOHNSON&JOH JNJ US 07/21/12 P62.5 10.1 15.6 0.08 33.3 1656
XLE SPDR-ENERGY XLE US 07/21/12 C62 10.1 26.1 1.57 -39.1 657
XLU SPDR-UTIL S XLU US 07/21/12 P34 10.0 17.9 0.08 14.3 2007
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
VXX IPATH-S&P S VXX US 07/21/12 C15 -28.2 78.5 2.64 48.3 527
VXX IPATH-S&P S VXX US 07/21/12 C16 -22.4 82.3 2.13 23.8 2843
ALXA ALEXZA PHAR ALXA1 US 09/22/12 C0.5 -21.6 138.9 0.15 50.0 2513
VXX IPATH-S&P S VXX US 08/18/12 C16 -19.8 80.4 2.67 13.6 663
PFCB PF CHANG'S PFCB US 01/19/13 P50 -19.2 2.7 0.05 -50.0 1400
CALL MAGICJACK V CALL US 12/22/12 C12.5 -17.5 41.7 6.90 -6.8 1000
CLSN CELSION COR CLSN US 07/21/12 C3 -17.2 55.4 0.25 400.0 533
VXX IPATH-S&P S VXX US 08/18/12 C17 -17.2 82.9 2.19 31.9 897
XLV SPDR-HEALTH XLV US 01/19/13 P27 -16.7 29.5 0.24 -51.0 1425
CLSN CELSION COR CLSN US 01/19/13 C3 -16.1 94.8 0.85 3.7 1116
VXX IPATH-S&P S VXX US 07/21/12 C18 -16.0 87.9 1.23 17.1 2805
VXX IPATH-S&P S VXX US 09/22/12 C17 -15.2 81.7 2.75 25.0 1574
ALXA ALEXZA PHAR ALXA US 07/21/12 C3.5 -15.2 111.6 1.05 110.0 772
XLI SPDR-INDU S XLI US 07/21/12 P29 -14.4 34.2 0.05 -37.5 1222
VXX IPATH-S&P S VXX US 07/21/12 C17 -14.4 85.1 1.64 21.5 4215
IWM ISHARES-RUS IWM US 07/21/12 P63 -13.4 35.4 0.06 20.0 500
VXX IPATH-S&P S VXX US 08/18/12 C18 -13.3 85.1 1.89 21.1 1722
FTR FRONTIER CO FTR US 08/18/12 P3 -11.5 69.0 0.05 -50.0 4836
ALXA ALEXZA PHAR ALXA1 US 09/22/12 C1 -11.3 174.8 0.05 0.0 2521
BKS BARNES & NO BKS US 01/19/13 P15 -10.8 63.7 2.85 -6.2 1265
TEVA TEVA PHARM- TEVA US 07/21/12 C40 -10.8 24.0 0.95 115.9 2255
SPY SPDR S&P 50 SPY US 07/21/12 P100 -10.4 39.1 0.02 0.0 2001
IWM ISHARES-RUS IWM US 07/21/12 P60 -10.2 39.3 0.02 -33.3 5030
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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