U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News -
2012-09-19T19:00:32Z
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
=============================================================================
AGNC AMERICAN CA AGNC US 10/20/12 C36 149.2 14.2 0.20 -50.0 758
QCOR QUESTCOR PH QCOR US 10/20/12 P20 145.4 341.1 1.10 1000.0 661
QCOR QUESTCOR PH QCOR US 10/20/12 P25 50.0 236.7 2.45 0.0 2884
QCOR QUESTCOR PH QCOR US 10/20/12 P29 40.9 145.1 3.70 3263.6 554
QCOR QUESTCOR PH QCOR US 01/19/13 C30 39.0 94.6 6.50 -70.8 745
QCOR QUESTCOR PH QCOR US 01/19/13 C31 35.0 90.8 6.29 0.0 588
SNV SYNOVUS FIN SNV US 11/17/12 C2.5 33.0 44.1 0.15 50.0 510
SSRI SILVER STAN SSRI US 10/20/12 C13 31.9 62.0 3.60 24.1 500
ITW ILLINOIS TO ITW US 10/20/12 C55 23.2 27.9 6.40 6.7 630
ASTX ASTEX PHARM ASTX US 01/19/13 C3 21.0 74.1 0.70 0.0 643
QCOR QUESTCOR PH QCOR US 01/19/13 P25 20.0 112.7 3.50 629.2 3134
HEK HECKMANN CO HEK US 10/20/12 P4 19.2 72.3 0.10 0.0 3000
VIAB VIACOM INC- VIAB US 10/20/12 P50 18.6 24.9 0.30 -40.0 533
SCHW SCHWAB (CHA SCHW US 10/20/12 C14 18.4 29.7 0.30 -14.3 655
GE GENERAL ELE GE US 10/20/12 C19 17.3 47.6 3.50 9.4 18543
SNV SYNOVUS FIN SNV US 02/16/13 C2.5 16.8 48.5 0.27 8.0 5195
SPY SPDR S&P 50 SPY US 10/20/12 C135 16.7 22.3 11.97 4.4 6064
IVR INVESCO MOR IVR US 10/20/12 C21 15.9 14.8 0.20 0.0 720
GDXJ MARKET VECT GDXJ US 10/20/12 C20 15.6 52.3 5.20 4.0 587
GE GENERAL ELE GE US 10/20/12 C18 15.5 59.0 4.45 9.9 3697
QCOR QUESTCOR PH QCOR US 10/20/12 P30 14.4 111.4 4.70 4600.0 4029
PPHM PEREGRINE P PPHM US 10/20/12 C5 14.2 126.1 0.65 62.5 524
ARNA ARENA PHARM ARNA US 10/20/12 P7 13.5 76.7 0.07 16.7 1545
QCOR QUESTCOR PH QCOR US 10/20/12 P31 13.0 109.8 4.90 9700.0 669
URBN URBAN OUTFI URBN US 10/20/12 P38 13.0 33.7 0.95 25.0 914
GE GENERAL ELE GE US 11/17/12 C19 12.8 34.1 3.45 11.7 4600
XLB SPDR-MATERI XLB US 10/20/12 C38 12.8 17.6 0.64 16.4 787
VIAB VIACOM INC- VIAB US 10/20/12 C55 12.6 19.5 0.75 316.7 516
ACHN ACHILLION P ACHN US 12/22/12 C7.5 12.6 99.6 2.80 49.7 708
QCOR QUESTCOR PH QCOR US 10/20/12 C32 12.5 109.2 4.00 -76.5 940
STSI STAR SCIENT STSI US 10/20/12 P3.5 12.0 90.6 0.20 -33.3 1060
RSH RADIOSHACK RSH US 10/20/12 P2 11.9 133.9 0.09 -10.0 657
MTU MITSUBISHI MTU US 11/17/12 C5 11.8 29.4 0.25 66.7 507
QCOR QUESTCOR PH QCOR US 10/20/12 C30 11.6 118.0 5.20 -70.8 1577
RENN RENREN INC- RENN US 10/20/12 C4 11.4 49.0 0.40 100.0 683
URBN URBAN OUTFI URBN US 10/20/12 C40 11.2 31.5 1.05 16.7 783
GE GENERAL ELE GE US 11/17/12 C18 11.1 42.4 4.45 3.2 1300
NSM NATIONSTAR NSM US 10/20/12 C30 10.9 47.5 1.60 60.0 630
GDX MKT VECT-GO GDX US 03/16/13 P43 10.9 34.7 1.02 -12.1 1000
QCOR QUESTCOR PH QCOR US 10/20/12 C31 10.9 111.9 4.68 -50.2 652
AVP AVON PRODUC AVP US 10/20/12 P16 10.8 41.2 0.75 19.1 1480
URBN URBAN OUTFI URBN US 10/20/12 P39 10.6 32.1 1.30 4.0 995
LCC US AIRWAYS LCC US 10/20/12 P9 10.5 76.9 0.24 -14.3 506
URBN URBAN OUTFI URBN US 10/20/12 P37 10.3 34.0 0.55 0.0 1659
DRYS DRYSHIPS IN DRYS US 10/20/12 C2.5 10.3 61.7 0.26 36.8 1701
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
GE GENERAL ELE GE US 10/20/12 C21 -56.0 9.4 1.49 21.1 4706
AGNC AMERICAN CA AGNC US 10/20/12 P36 -55.5 14.0 1.30 18.2 873
GE GENERAL ELE GE US 10/20/12 C20 -41.7 18.8 2.48 13.2 49308
AGNC AMERICAN CA AGNC US 10/20/12 P34 -32.9 17.7 0.30 20.0 2005
TWO TWO HARBORS TWO US 12/22/12 C10 -31.1 27.6 1.90 8.6 2383
AGNC AMERICAN CA AGNC US 10/20/12 P33 -25.2 20.3 0.16 23.1 1033
NOV NATL OILWEL NOV US 11/17/12 P55 -22.9 51.5 0.11 -78.0 500
AGNC AMERICAN CA AGNC US 12/22/12 P34 -19.3 14.5 1.08 11.3 596
QCOR QUESTCOR PH QCOR US 10/20/12 P28 -18.1 111.2 3.50 900.0 818
NLY ANNALY CAPI NLY US 04/20/13 C17 -18.0 10.9 0.44 -2.2 558
AZO AUTOZONE IN AZO US 10/20/12 P360 -15.8 22.0 5.40 -57.3 577
AZO AUTOZONE IN AZO US 10/20/12 P310 -15.7 32.7 0.40 -73.3 877
STSI STAR SCIENT STSI US 11/17/12 C4 -15.7 78.1 0.55 0.0 701
AZO AUTOZONE IN AZO US 10/20/12 C370 -14.4 21.2 8.30 36.7 1094
STSI STAR SCIENT STSI US 02/16/13 C3.5 -14.1 70.9 0.90 5.9 1100
KMB KIMBERLY-CL KMB US 10/20/12 C87.5 -13.7 10.7 0.15 50.0 541
GIS GENERAL MIL GIS US 10/20/12 C39 -13.3 12.0 1.20 71.4 679
HK HALCON RESO HK US 10/20/12 C6 -13.2 84.3 1.60 -3.0 2020
GIS GENERAL MIL GIS US 10/20/12 C40 -13.1 11.0 0.46 91.7 2456
NLY ANNALY CAPI NLY US 01/19/13 C17.5 -12.8 9.9 0.18 5.9 1479
NOV NATL OILWEL NOV US 11/17/12 P60 -12.4 45.9 0.22 29.4 502
NGD NEW GOLD IN NGD US 10/20/12 C10 -12.1 46.7 2.56 4.5 3000
JCP J.C. PENNEY JCP US 10/20/12 P30 -11.9 51.4 2.23 -7.5 566
NAVB NAVIDEA BIO NAVB US 10/20/12 P3 -11.4 75.9 0.25 25.0 544
YHOO YAHOO! INC YHOO US 10/20/12 P16 -11.3 22.6 0.45 -16.7 2164
JCP J.C. PENNEY JCP US 10/20/12 C30 -11.0 51.1 1.49 -1.3 833
JCP J.C. PENNEY JCP US 10/20/12 C29 -10.6 51.8 1.97 -1.5 1506
JCP J.C. PENNEY JCP US 10/20/12 P29 -10.6 51.6 1.47 -22.6 1837
JCP J.C. PENNEY JCP US 10/20/12 P28 -10.5 51.6 1.06 -26.4 1721
SPY SPDR S&P 50 SPY US 10/20/12 C141 -10.4 13.6 6.15 8.7 4591
HCA HCA HOLDING HCA US 10/20/12 C32 -10.2 29.3 1.55 34.8 1021
x - Ex-dividend. * - Ex-earnings.
To contact Bloomberg News for this story: newsdev@bloomberg.net
Sponsored Link
Rate this Page
Bloomberg moderates all comments. Comments that are abusive or off-topic will not be posted to the site. Excessively long comments may be moderated as well. Bloomberg cannot facilitate requests to remove comments or explain individual moderation decisions.