Bloomberg the Company & Products

Bloomberg Anywhere Login

Bloomberg

Connecting decision makers to a dynamic network of information, people and ideas, Bloomberg quickly and accurately delivers business and financial information, news and insight around the world.

Company

Financial Products

Enterprise Products

Media

Customer Support

  • Americas

    +1 212 318 2000

  • Europe, Middle East, & Africa

    +44 20 7330 7500

  • Asia Pacific

    +65 6212 1000

Communications

Industry Products

Media Services

Follow Us

U.S. Stock Options With Biggest Changes in Implied Volatility

Don't Miss Out —
Follow us on:

Nov. 24 (Bloomberg) -- 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
=============================================================================
TTM    TATA MOTORS  TTM US 01/22/11 P35       26.1  82.9   4.20   -6.7   1607
MFE    MCAFEE INC   MFE US 06/18/11 C48       15.1   3.0   0.10    0.0    270
SLE    SARA LEE CO  SLE US 12/18/10 C16       11.9  31.1   0.15   50.0   2069
STD    BANCO SANTA  STD US 06/18/11 P10       11.8  44.7   1.35    8.0    298
MELA   MELA SCIENC  MELA US 01/22/11 C4       11.3  97.7   0.52  -18.8    327
SLE    SARA LEE CO  SLE US 04/16/11 P15       11.1  27.8   1.00   11.1    420
LNG    CHENIERE EN  LNG US 12/18/10 C6        11.1  93.1   0.65   18.2    207
DISH   DISH NETWOR  DISH US 12/18/10 P19      11.0  35.9   0.70   -6.7    859
DF     DEAN FOODS   DF US 12/18/10 C7.5       10.8  41.1   0.25    0.0    279
BBVA   BANCO BILBA  BBVA US 01/22/11 P11      10.7  59.0   1.25    0.0   1011
AAN    AARON'S INC  AAN US 12/18/10 C20       10.2  27.1   0.75   66.7    253

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= TPC TUTOR PERIN TPC US 12/18/10 C20 -40.6 38.9 0.55 -26.7 335 XHB SPDR S&P HO XHB US 12/18/10 P16 -29.7 19.1 0.60 -26.8 737 VRGY VERIGY LTD VRGY US 12/18/10 C9 -29.2 33.2 0.20 -20.0 445 SPY SPDR S&P 50 SPY US 12/18/10 P125 -28.8 12.5 5.92 -19.2 948 SPY SPDR S&P 50 SPY US 12/18/10 P124 -25.2 12.9 5.05 -22.1 3969 BUCY BUCYRUS INT BUCY US 12/18/10 P90 -23.9 2.4 0.85 -21.3 1000 TIF TIFFANY & C TIF US 12/18/10 C60 -23.4 32.5 2.60 49.4 1855 GES GUESS? INC GES US 12/18/10 C50 -22.8 36.8 1.25 98.4 1412 TTM TATA MOTORS TTM US 01/22/11 C35 -20.0 33.8 2.30 109.1 1361 TTM TATA MOTORS TTM US 01/22/11 C36 -19.8 33.5 2.00 100.0 810 SPY SPDR S&P 50 SPY US 12/18/10 P123 -19.4 13.5 4.15 -24.8 7134 DE DEERE & CO DE US 12/18/10 C80 -19.0 25.3 0.69 -36.1 3156 TTM TATA MOTORS TTM US 12/18/10 C36 -18.6 42.6 1.30 136.4 419 DE DEERE & CO DE US 12/18/10 C75 -17.8 26.1 2.85 -8.1 5316 DE DEERE & CO DE US 12/18/10 P75 -17.0 26.2 1.37 -26.3 1164 SPY SPDR S&P 50 SPY US 12/18/10 P122 -15.8 14.1 3.49 -26.2 5947 PGH PENGROWTH E PGH US 01/22/11 C12.5 -15.7 23.3 0.70 16.7 246 NRGY INERGY LP NRGY US 12/18/10 P40 -14.6 21.4 1.18 -19.2 508 EWA ISHARES-AUS EWA US 12/18/10 C25 -14.2 23.5 0.30 50.0 372 TTM TATA MOTORS TTM US 12/18/10 C37 -14.1 43.6 1.10 340.0 505 GOOG GOOGLE INC- GOOG US 12/18/10 C620 -13.6 22.1 4.40 18.9 1126 NRGY INERGY LP NRGY US 12/18/10 C40 -13.3 20.5 0.57 -12.3 555 SPY SPDR S&P 50 SPY US 12/18/10 P121 -13.3 14.7 2.85 -27.3 9485 DTG DOLLAR THRI DTG US 12/18/10 C48 -13.2 17.8 0.25 0.0 312 GXDX GENOPTIX IN GXDX US 12/18/10 C17.5 -12.9 34.6 0.50 25.0 262 SPY SPDR S&P 50 SPY US 01/22/11 P125 -12.4 14.2 6.50 -17.5 481 SPY SPDR S&P 50 SPY US 12/31/10 P122 -11.9 14.5 4.25 -16.8 293 GOOG GOOGLE INC- GOOG US 12/18/10 C610 -11.8 22.6 7.30 25.9 589 TTM TATA MOTORS TTM US 12/18/10 C35 -11.7 43.7 1.91 247.3 202 DTG DOLLAR THRI DTG US 12/18/10 C46 -11.5 14.3 0.95 26.7 422 SMH SEMICONDUCT SMH US 12/18/10 C33 -11.4 19.1 0.17 54.5 1649 STD BANCO SANTA STD US 12/18/10 C10 -11.3 53.4 0.80 -5.9 200 MELA MELA SCIENC MELA US 12/18/10 P4 -11.3 117.0 0.60 9.1 374 DE DEERE & CO DE US 01/22/11 C80 -11.2 25.4 1.64 -16.8 252 SPY SPDR S&P 50 SPY US 12/18/10 P120 -11.0 15.5 2.31 -31.7 23881 AWI ARMSTRONG W AWI US 06/18/11 C50 -10.8 34.3 4.10 -8.9 916 SSO PROSHARES U SSO US 12/18/10 C45 -10.8 28.1 0.57 26.7 366 JRCC JAMES RIVER JRCC US 12/18/10 C20 -10.6 41.0 0.80 0.0 247 TIF TIFFANY & C TIF US 01/22/11 C60 -10.6 32.7 3.75 48.2 2004 JCG J CREW GROU JCG US 01/22/11 P42.5 -10.5 11.2 0.35 16.7 338 NLY ANNALY CAPI NLY US 12/18/10 C18 -10.5 12.9 0.23 9.5 1552 STX SEAGATE TEC STX US 12/18/10 C14 -10.4 49.5 0.76 8.6 3739 TQNT TRIQUINT SE TQNT US 12/18/10 C12 -10.4 33.1 0.40 60.0 1692 PMTI PALOMAR MED PMTI US 12/18/10 C12.5 -10.3 38.5 0.70 -6.7 470 FAS FINL BULL 3 FAS US 12/18/10 P22 -10.2 59.4 1.36 -26.5 345 DIA SPDR DJIA T DIA US 12/18/10 C117 -10.2 11.5 0.09 50.0 236 SPY SPDR S&P 50 SPY US 01/22/11 P124 -10.0 14.6 5.79 -18.4 1364


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


-- Bloomberg News


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


Please upgrade your Browser

Your browser is out-of-date. Please download one of these excellent browsers:

Chrome, Firefox, Safari, Opera or Internet Explorer.