U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2012-08-07T15:30:06Z
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
=============================================================================
AGNC AMERICAN CA AGNC US 09/22/12 P34 6781.0 9.0 2.15 104.8 239
RDNT RADNET INC RDNT US 09/22/12 C2.5 82.2 123.0 0.10 0.0 2250
AGNC AMERICAN CA AGNC US 09/22/12 C34 39.3 24.0 0.60 -26.8 541
AXE ANIXTER INT AXE US 09/22/12 C60 30.9 36.9 3.20 166.7 1755
AGNC AMERICAN CA AGNC US 09/22/12 P33 30.0 13.4 1.49 144.3 662
NLY ANNALY CAPI NLY US 01/18/14 C17 27.8 14.7 0.29 -17.1 263
AGNC AMERICAN CA AGNC US 09/22/12 P32 26.4 18.2 1.00 156.4 875
TWO TWO HARBORS TWO US 03/16/13 P10 26.2 13.5 0.55 37.5 250
XLF SPDR-FINL S XLF US 09/22/12 C13 25.5 25.1 2.02 2.0 221
CIM CHIMERA INV CIM US 09/22/12 C2 22.8 55.4 0.45 80.0 296
CIM CHIMERA INV CIM US 03/16/13 C2 21.9 43.4 0.45 50.0 210
NLY ANNALY CAPI NLY US 10/20/12 C17 21.0 13.2 0.11 -47.6 409
AGNC AMERICAN CA AGNC US 09/22/12 P31 20.5 21.5 0.68 209.1 607
AXE ANIXTER INT AXE US 02/16/13 C60 19.5 35.4 6.20 195.2 654
ARR ARMOUR RESI ARR US 10/20/12 C7.5 18.0 19.1 0.15 0.0 460
KWK QUICKSILVER KWK US 12/22/12 P4 18.0 114.9 0.95 11.8 3634
NLY ANNALY CAPI NLY US 09/22/12 C17 17.8 13.8 0.10 -44.4 1230
RES RPC INC RES1 US 09/22/12 C10 16.5 71.4 3.80 2.7 2910
NLY ANNALY CAPI NLY US 09/22/12 P17 16.4 12.9 0.69 72.5 202
AGNC AMERICAN CA AGNC US 12/22/12 C34 16.3 19.5 0.77 -26.7 239
AIG AMERICAN IN AIG US 09/22/12 C31 15.7 28.6 2.09 22.2 314
AGNC AMERICAN CA AGNC US 09/22/12 P30 14.5 24.4 0.45 136.8 1064
OZM OCH-ZIFF CA OZM US 09/22/12 C7.5 14.1 45.5 0.85 30.8 327
AGNC AMERICAN CA AGNC US 09/22/12 C32 12.0 25.9 1.65 -31.2 710
VXX IPATH-S&P S VXX US 09/22/12 P9 11.7 61.2 0.11 -8.3 213
AGNC AMERICAN CA AGNC US 12/22/12 C33 11.3 19.9 1.15 -35.0 481
PSSI PSS WORLD M PSSI US 09/22/12 C22.5 11.1 46.4 1.30 217.1 1122
AIG AMERICAN IN AIG US 09/22/12 C32 11.0 27.5 1.39 20.9 3870
YHOO YAHOO! INC YHOO US 09/22/12 P17 10.9 22.2 0.98 -10.9 272
WMT WAL-MART ST WMT US 09/22/12 C65 10.5 27.6 9.51 1.2 313
AEP AMERICAN EL AEP US 09/22/12 C41 10.2 13.1 1.25 -7.4 498
AZN ASTRAZENECA AZN US 01/19/13 C40 10.2 28.0 8.10 -2.4 3800
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
ELN ELAN CORP-A ELN US 09/22/12 C11 -50.9 45.2 0.49 -67.5 287
ELN ELAN CORP-A ELN US 09/22/12 P11 -49.9 45.8 1.00 -21.3 1203
ELN ELAN CORP-A ELN US 09/22/12 P10 -47.7 45.0 0.45 -35.7 461
FOSL FOSSIL INC FOSL US 09/22/12 P95 -46.9 43.0 7.60 -73.6 412
BWP BOARDWALK P BWP US 09/22/12 C25 -46.8 17.0 1.95 -7.1 453
ELN ELAN CORP-A ELN US 09/22/12 C10 -44.5 48.3 0.90 -54.3 250
CVI CVR ENERGY CVI US 03/16/13 P27.5 -41.2 19.2 0.85 0.0 205
CIM CHIMERA INV CIM US 09/22/12 C2.5 -38.8 29.4 0.10 100.0 322
FOSL FOSSIL INC FOSL US 09/22/12 P90 -38.0 45.3 5.20 -69.4 295
CVI CVR ENERGY CVI US 12/22/12 P27.5 -37.5 19.7 0.55 -69.4 278
FOSL FOSSIL INC FOSL US 09/22/12 P85 -35.4 47.3 3.10 -81.0 324
CVI CVR ENERGY CVI US 09/22/12 P27.5 -34.5 21.6 0.20 -81.8 416
AMLN AMYLIN PHAR AMLN US 10/20/12 C31 -33.7 0.4 0.01 -50.0 394
FOSL FOSSIL INC FOSL US 09/22/12 C95 -32.9 44.7 4.21 419.8 397
FOSL FOSSIL INC FOSL US 09/22/12 C90 -30.1 45.6 7.20 370.6 284
STE STERIS CORP STE US 09/22/12 C35 -28.4 19.3 0.40 -20.0 862
FOSL FOSSIL INC FOSL US 09/22/12 P80 -28.2 49.6 1.65 -88.2 646
XLS EXELIS INC XLS US 09/22/12 C10 -27.3 24.9 0.45 -2.2 1021
ELN ELAN CORP-A ELN US 01/19/13 C10 -27.1 46.7 1.55 -39.2 428
ELN ELAN CORP-A ELN US 01/19/13 P10 -25.9 45.6 1.00 -16.7 805
FOSL FOSSIL INC FOSL US 09/22/12 P75 -25.6 51.8 1.00 -90.9 203
FOSL FOSSIL INC FOSL US 09/22/12 P70 -24.9 54.2 0.55 -92.5 208
MDR MCDERMOTT I MDR US 09/22/12 P11 -21.2 47.3 0.60 9.1 317
ISIS ISIS PHARM ISIS US 09/22/12 C12 -20.9 58.3 1.60 -20.0 250
MDR MCDERMOTT I MDR US 09/22/12 C11 -20.7 47.1 0.95 -38.7 255
FOSL FOSSIL INC FOSL US 09/22/12 P65 -20.5 58.9 0.30 -94.0 245
ISIS ISIS PHARM ISIS US 09/22/12 P12 -20.4 57.8 0.78 11.4 739
CIM CHIMERA INV CIM US 12/22/12 C2.5 -20.0 30.9 0.10 0.0 450
ITUB ITAU UNIBAN ITUB US 09/22/12 P12 -19.8 60.2 0.10 0.0 1000
NIHD NII HOLDING NIHD US 09/22/12 P6 -19.4 80.5 0.85 240.0 444
SHAW SHAW GROUP SHAW US 09/22/12 C41 -17.8 18.7 0.80 6.7 856
CVS CVS CAREMAR CVS US 09/22/12 P43 -16.6 19.6 0.74 5.7 1050
CVS CVS CAREMAR CVS US 09/22/12 P44 -16.4 18.7 1.09 17.2 2511
EMR EMERSON ELE EMR US 09/22/12 C52.5 -16.3 18.3 0.40 14.3 273
BECN BEACON ROOF BECN US 09/22/12 P25 -15.9 37.0 1.70 3.0 1000
CHK CHESAPEAKE CHK US 09/22/12 C20 -15.8 47.2 1.12 86.7 873
CVC CABLEVISION CVC US 09/22/12 C16 -15.0 33.1 0.75 0.0 216
CVS CVS CAREMAR CVS US 09/22/12 C45 -14.9 18.1 0.72 -46.7 310
VRNG VRINGO INC VRNG US 11/17/12 C2.5 -14.9 115.8 1.85 15.6 241
CVS CVS CAREMAR CVS US 09/22/12 C46 -14.1 17.6 0.50 -41.9 230
TBT PRO ULTSHRT TBT US 09/22/12 C13 -14.0 27.3 2.45 17.8 2889
LOPE GRAND CANYO LOPE US 09/22/12 P17.5 -13.8 48.8 0.45 -78.6 301
CHK CHESAPEAKE CHK US 09/22/12 P19 -13.7 49.7 1.16 -48.7 579
TPLM TRIANGLE PE TPLM US 10/20/12 C5 -13.5 60.2 1.50 15.4 670
HALO HALOZYME TH HALO US 09/22/12 C5 -13.4 97.9 1.25 66.7 260
PFE PFIZER INC PFE US 09/22/12 C24 -13.0 14.6 0.40 -46.0 6960
MGM MGM RESORTS MGM US 09/22/12 P10 -12.8 37.5 0.57 -43.0 351
PFE PFIZER INC PFE US 09/22/12 P24 -12.8 14.5 0.60 39.5 3271
CHK CHESAPEAKE CHK US 09/22/12 C19 -12.4 50.6 1.65 85.4 757
LLY ELI LILLY & LLY US 10/20/12 P38 -12.2 23.9 0.41 7.9 1601
KCG KNIGHT CAPI KCG US 09/22/12 C2.5 -12.0 85.9 0.79 12.9 3489
PFE PFIZER INC PFE US 09/22/12 C23 -11.9 16.4 1.05 -28.1 270
PFE PFIZER INC PFE US 09/22/12 P23 -11.5 16.2 0.22 22.2 312
SHAW SHAW GROUP SHAW US 10/20/12 C42 -11.4 21.0 0.80 -5.9 330
LLY ELI LILLY & LLY US 10/20/12 P39 -11.3 23.6 0.62 17.0 979
MGM MGM RESORTS MGM US 09/22/12 C10 -11.3 38.8 0.48 37.1 996
SHAW SHAW GROUP SHAW US 10/20/12 C41 -11.2 24.1 1.35 -2.9 348
CHK CHESAPEAKE CHK US 09/22/12 P18 -11.0 53.6 0.81 -50.6 248
BSFT BROADSOFT I BSFT US 09/22/12 P30 -10.8 68.4 0.87 -85.0 545
VRNG VRINGO INC VRNG US 10/20/12 C3.5 -10.4 132.4 1.20 20.0 317
LLY ELI LILLY & LLY US 10/20/12 P40 -10.3 23.4 0.97 31.1 3893
CHK CHESAPEAKE CHK US 10/20/12 P20 -10.1 48.3 2.00 -36.7 275
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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