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 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
=============================================================================
KMT    KENNAMETAL   KMT US 10/20/12 C30       81.9  42.1   6.40  -22.9    776
SNI    SCRIPPS NET  SNI US 09/22/12 C50       51.6  42.4   9.40    9.3    500
SIRI   SIRIUS XM R  SIRI US 01/19/13 C2       21.8  33.0   0.55    3.8   1393
NCR    NCR CORP     NCR US 10/20/12 C23       20.6  38.0   1.45  -56.1   1997
P      PANDORA MED  P US 09/22/12 C9          19.7  90.6   1.15   -4.2    604
CALL   MAGICJACK V  CALL US 09/22/12 C15      16.9  53.3   6.90    3.0   1020
DUK    DUKE ENERGY  DUK US 10/20/12 C60       16.6  28.6   8.10   37.3   1300
EMR    EMERSON ELE  EMR US 09/22/12 C44       16.5  39.5   7.70   32.8   3204
TTC    TORO CO      TTC US 09/22/12 P37.5     15.6  30.4   1.90   22.6   1000
FMCN   FOCUS MEDIA  FMCN US 01/18/14 P17      13.6  43.0   1.25   25.0   1740
TWC    TIME WARNER  TWC US 10/20/12 C90       13.2  18.1   3.00   27.7   1112
ARNA   ARENA PHARM  ARNA US 09/22/12 P7       12.9  73.9   0.28  -42.9    941
WAG    WALGREEN CO  WAG US 10/20/12 C29       12.8  37.8   6.70   -5.6   3250
STSI   STAR SCIENT  STSI US 11/17/12 C4       12.7  83.9   0.85   -5.6    862
OCN    OCWEN FINL   OCN US 01/19/13 C20       12.6  45.7   5.20   13.0    514
WAG    WALGREEN CO  WAG US 10/20/12 C28       12.4  42.8   7.70   -3.8   1450
DELL   DELL INC     DELL US 09/22/12 C12      12.4  41.6   0.75    1.4   3811
TTC    TORO CO      TTC US 09/22/12 P35       12.4  32.7   0.70   16.7   1000
DELL   DELL INC     DELL US 09/22/12 C11      12.3  46.2   1.46    0.0    714
SVNT   SAVIENT PHA  SVNT US 09/22/12 C0.5     12.0 128.7   0.55   17.0   2170
DUK    DUKE ENERGY  DUK US 09/22/12 C65       12.0  17.5   3.10    8.8    620
SPY    SPDR S&P 50  SPY US 09/22/12 P145      11.8  11.5   5.37   -1.3    635
HFC    HOLLYFRONTI  HFC US 09/22/12 C42       11.8  39.5   1.20   41.2   1592
DELL   DELL INC     DELL US 09/22/12 P11      11.6  46.8   0.26   18.2   5749
KO     COCA-COLA C  KO US 09/22/12 C40        11.4  12.4   0.35   20.7   1115
STSI   STAR SCIENT  STSI US 09/22/12 P3.5     11.3  95.5   0.15    0.0    718
OCZ    OCZ TECHNOL  OCZ US 09/22/12 P5        11.2  95.0   0.65   30.0   5437
XRAY   DENTSPLY IN  XRAY US 09/22/12 C40      10.6  20.9   0.55    0.0    500

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
GRPN   GROUPON INC  GRPN US 09/22/12 C5      -42.0  87.7   0.90  -66.0   1049
GRPN   GROUPON INC  GRPN US 09/22/12 P4      -41.0  99.0   0.15  -25.0   2083
GRPN   GROUPON INC  GRPN US 09/22/12 P5      -40.4  95.5   0.43    7.5   3849
GRPN   GROUPON INC  GRPN US 10/20/12 P5      -28.0 102.4   0.65    8.3   1424
GRPN   GROUPON INC  GRPN US 10/20/12 P4      -27.9 107.3   0.30    0.0   1211
GRPN   GROUPON INC  GRPN US 10/20/12 C5      -26.2  90.2   1.05  -65.0   1056
DKS    DICK'S SPOR  DKS US 09/22/12 C50      -24.9  24.9   0.90  -62.5    532
SVNT   SAVIENT PHA  SVNT US 01/19/13 C1      -22.0  48.4   0.15    7.1  14402
EL     ESTEE LAUDE  EL US 09/22/12 C60       -21.9  25.6   2.16  188.0    634
GRPN   GROUPON INC  GRPN US 01/19/13 P5      -19.6 101.3   1.10   10.0   1343
SVNT   SAVIENT PHA  SVNT US 12/22/12 C1      -19.6  49.8   0.14    0.0    566
WAG    WALGREEN CO  WAG US 01/19/13 C26      -19.0  36.9   9.70   15.5   1300
KORS   MICHAEL KOR  KORS US 09/22/12 P48     -18.9  47.6   2.30    0.0    627
RENN   RENREN INC-  RENN US 09/22/12 P4      -18.6  42.7   0.25  -44.4   5172
EL     ESTEE LAUDE  EL US 09/22/12 C55       -18.5  28.7   5.80  127.5    577
IWM    ISHARES-RUS  IWM US 09/22/12 P55      -18.5  42.8   0.02  -60.0    650
SKS    SAKS INC     SKS US 09/22/12 C12      -16.9  32.1   0.30   50.0    822
MWE    MARKWEST EN  MWE US 09/22/12 P50      -16.7  19.8   1.05  162.5   1238
GRPN   GROUPON INC  GRPN US 01/19/13 P3      -16.7 118.6   0.35  -12.5   2796
MSFT   MICROSOFT C  MSFT US 01/19/13 C20     -16.3  37.0  10.10   -2.6   1953
GRPN   GROUPON INC  GRPN US 01/19/13 P4      -15.9 104.9   0.70   34.6   1286
TJX    TJX COS INC  TJX US 09/22/12 C45      -14.0  20.0   1.15    9.5    632
FMCN   FOCUS MEDIA  FMCN US 09/22/12 P24     -13.7  31.0   0.45  -18.2   1525
VXX    IPATH-S&P S  VXX US 09/22/12 C9       -13.6  58.0   2.67   14.6   2389
KORS   MICHAEL KOR  KORS US 09/22/12 P45     -13.4  50.9   1.25  -72.2    589
KORS   MICHAEL KOR  KORS US 09/22/12 C48     -12.6  48.0   3.70  196.0   1076
KORS   MICHAEL KOR  KORS US 09/22/12 C43     -11.4  52.0   6.32  103.9    550
LGF    LIONS GATE   LGF US 09/22/12 C12      -11.0  39.1   2.15   19.4   1010
HD     HOME DEPOT   HD US 09/22/12 P57.5     -10.7  17.5   3.25  -35.0   2440
XLF    SPDR-FINL S  XLF US 10/20/12 P12      -10.6  32.6   0.04  -63.6    748
HD     HOME DEPOT   HD US 09/22/12 C57.5     -10.4  16.7   0.26  116.7   1259
AGNC   AMERICAN CA  AGNC US 09/22/12 C35     -10.4  13.5   0.40   25.0    878
KORS   MICHAEL KOR  KORS US 09/22/12 P36     -10.2  59.8   0.20  -82.1    506

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.