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 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
=============================================================================
SPY    SPDR S&P 50  SPY US 12/21/13 P110     806.6  25.4   4.09    0.0    476
EBAY   EBAY INC     EBAY US 01/19/13 C25     261.9  67.9  23.85    0.0    300
SPY    SPDR S&P 50  SPY US 01/19/13 P134     148.5   6.8   2.24    0.0   1403
LL     LUMBER LIQU  LL US 11/17/12 C40       133.7  52.8  13.77    0.0    200
SPY    SPDR S&P 50  SPY US 12/31/12 P130     133.0   9.8   1.23    0.0    741
SPY    SPDR S&P 50  SPY US 02/16/13 P140      57.9   9.3   4.92    0.0    547
HOGS   ZHONGPIN IN  HOGS US 11/17/12 C10      39.8  69.4   1.75    0.0    200
SPY    SPDR S&P 50  SPY US 12/21/13 P105      38.4   5.2   3.21    0.0    490
SPY    SPDR S&P 50  SPY US 01/19/13 P133      31.2   3.1   2.09    0.0   8490
NXY    NEXEN INC    NXY US 11/17/12 P22       29.1  59.4   0.80    0.0    234
HBAN   HUNTINGTON   HBAN US 12/22/12 C6       21.3  28.0   0.48    0.0    290
SPY    SPDR S&P 50  SPY US 12/22/12 P125      17.9   4.5   0.57    0.0   6307
IWM    ISHARES-RUS  IWM US 11/17/12 P85       17.3  17.6   4.12    0.0   1113
SPY    SPDR S&P 50  SPY US 01/19/13 P135      17.2   5.1   2.55    0.0   4114
CLGX   CORELOGIC I  CLGX US 11/17/12 C20      16.6  40.1   2.50    0.0    200
SPY    SPDR S&P 50  SPY US 12/31/12 P134      15.6   4.0   1.73    0.0    247
SPY    SPDR S&P 50  SPY US 01/19/13 P132      14.9   3.6   1.83    0.0   1292
NFLX   NETFLIX INC  NFLX US 11/17/12 C50      14.8  82.8  17.25    0.0    437
IWM    ISHARES-RUS  IWM US 11/17/12 P84       11.9  17.8   3.29    0.0   8894
SPY    SPDR S&P 50  SPY US 02/16/13 P142      11.1   6.0   5.58    0.0    354

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SPY    SPDR S&P 50  SPY US 12/31/12 P131     -78.4   1.9   1.42    0.0    223
SPY    SPDR S&P 50  SPY US 12/21/13 P100     -58.6   2.3   2.58    0.0    713
SPY    SPDR S&P 50  SPY US 02/16/13 P137     -56.6   2.3   3.90    0.0    288
SPY    SPDR S&P 50  SPY US 12/31/12 P128     -31.4   1.8   0.91    0.0   2942
SPY    SPDR S&P 50  SPY US 02/16/13 P139     -28.7   5.5   4.55    0.0    218
GNOM   COMPLETE GE  GNOM US 01/19/13 P2.5    -25.3  37.9   0.05    0.0    400
SPY    SPDR S&P 50  SPY US 02/16/13 P136     -22.7   4.5   3.50    0.0    325
DTG    DOLLAR THRI  DTG US 11/17/12 P72.5    -19.5  59.4   1.75    0.0    216
SPY    SPDR S&P 50  SPY US 01/19/13 P129     -15.2   5.7   1.47    0.0    960
CVC    CABLEVISION  CVC US 11/17/12 C16      -13.0  33.8   1.95    0.0   1000
SPY    SPDR S&P 50  SPY US 03/16/13 P140     -12.8   9.6   5.98    0.0    221
SPY    SPDR S&P 50  SPY US 02/16/13 P135     -12.8   5.7   3.32    0.0    272
SPY    SPDR S&P 50  SPY US 01/19/13 P130     -12.5   3.9   1.62    0.0   3094
BJRI   BJ'S RESTAU  BJRI US 11/17/12 P30     -12.4  35.3   0.35    0.0    562
EEM    ISHARES-EMG  EEM US 12/22/12 C34      -11.4  29.2   7.25    0.0    210
ERIC   ERICSSON LM  ERIC US 11/17/12 P9      -11.0  27.4   0.40    0.0   2699
FTR    FRONTIER CO  FTR US 12/22/12 C4.5     -10.5  33.5   0.35    0.0    305
CAG    CONAGRA FOO  CAG US 11/17/12 C27      -10.1  20.1   1.30    0.0    400

x - Ex-dividend. * - Ex-earnings.

-- Bloomberg News

To contact Bloomberg News for this story: newsdev@bloomberg.net

Press spacebar to pause and continue. Press esc to stop.

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.