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
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GIGM GIGAMEDIA L GIGM US 10/16/10 C2 71.4 75.2 0.10 100.0 367
BRCD BROCADE COM BRCD US 10/16/10 P6 34.6 54.4 0.24 -47.8 1529
BRCD BROCADE COM BRCD US 10/16/10 C6 32.4 53.4 0.43 330.0 50136
JNJ JOHNSON&JOH JNJ US 10/16/10 P65 30.2 13.7 2.86 -2.0 360
BRCD BROCADE COM BRCD US 11/20/10 C6 25.0 53.6 0.61 144.0 9647
PGNX PROGENICS P PGNX US 10/16/10 C5 23.9 101.5 0.40 33.3 1615
MAT MATTEL INC MAT US 10/16/10 P23 18.3 34.5 0.85 6.2 574
THC TENET HEALT THC US 10/16/10 P4 15.6 43.5 0.10 100.0 391
EV EATON VANCE EV US 2/19/11 P30 14.5 32.7 3.20 -31.9 200
CLNE CLEAN ENERG CLNE US 10/16/10 C15 14.0 51.7 1.10 57.1 215
JOBS 51JOB INC-A JOBS US 1/22/11 C35 13.7 51.7 4.50 -4.3 332
BX BLACKSTONE BX US 10/16/10 C11 13.2 38.3 0.56 -8.2 372
CHS CHICO'S FAS CHS US 10/16/10 C10 12.7 50.6 0.40 -2.4 2179
PTP PLATINUM UN PTP US 10/16/10 P42.5 12.6 19.1 0.40 0.0 205
TSS TOTAL SYS S TSS US 2/19/11 C15 12.4 30.8 1.15 -2.5 250
BRCD BROCADE COM BRCD US 1/22/11 C6 11.6 44.9 0.70 89.2 2745
TLCR TALECRIS BI TLCR US 12/18/10 P22.5 11.4 22.8 0.75 25.0 208
AEO AMER EAGLE AEO US 10/16/10 P14 11.3 43.2 0.45 12.5 250
DSX DIANA SHIPP DSX US 10/16/10 C12 10.4 38.5 0.75 -11.8 270
CLNE CLEAN ENERG CLNE US 10/16/10 C16 10.2 47.8 0.50 100.0 1482
Top Volatility Decreases
Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= ACF AMERICREDIT ACF US 5/21/11 P24 -40.3 3.0 0.05 -50.0 1140 ADBE ADOBE SYS I ADBE US 10/16/10 P26 -34.0 35.6 0.82 720.0 7130 ADBE ADOBE SYS I ADBE US 10/16/10 P27 -29.3 35.7 1.27 1170.0 5112 PM PHILIP MORR PM US 10/16/10 C52.5 -27.2 19.9 2.80 -21.1 352 ADBE ADOBE SYS I ADBE US 10/16/10 C27 -23.1 36.6 0.62 -89.9 15382 GIS GENERAL MIL GIS US 10/16/10 P36.25 -22.3 19.0 0.70 -51.0 2775 JEF JEFFERIES G JEF US 10/16/10 C22.5 -22.2 40.4 1.20 -48.9 218 GIS GENERAL MIL GIS US 10/16/10 C36.25 -21.6 19.4 0.77 32.8 761 GIS GENERAL MIL GIS US 10/16/10 C37.5 -21.2 21.6 0.34 3.0 1380 SFI ISTAR FINAN SFI US 11/20/10 P3 -20.9 135.2 0.70 16.7 2011 ADBE ADOBE SYS I ADBE US 10/16/10 C26 -20.5 36.2 1.10 -84.9 10939 JEF JEFFERIES G JEF US 10/16/10 C24 -19.6 35.8 0.50 -61.5 329 GIS GENERAL MIL GIS US 10/16/10 P35 -19.2 18.2 0.20 -70.2 1271 KMX CARMAX INC KMX US 10/16/10 C26 -18.5 35.5 0.85 112.5 210 GLL PRSH-ULTSH GLL US 10/16/10 C35 -17.7 31.6 0.95 -13.6 215 ADBE ADOBE SYS I ADBE US 1/22/11 C26 -17.2 36.9 2.37 -69.7 2283 ARST ARCSIGHT IN ARST US 12/18/10 C42.5 -16.9 7.6 1.25 0.0 201 PCYC PHARMACYCLI PCYC US 10/16/10 P8 -13.9 43.3 0.40 14.3 200 KMX CARMAX INC KMX US 10/16/10 C25 -13.3 38.1 1.41 101.4 343 EGLE EAGLE BULK EGLE US 10/16/10 C5 -13.2 26.9 0.15 -25.0 400 NYT NEW YORK TI NYT US 10/16/10 P7.5 -13.0 55.7 0.30 20.0 314 WNR WESTERN REF WNR US 10/16/10 C5 -12.1 46.3 0.20 -33.3 616 ADBE ADOBE SYS I ADBE US 1/22/11 P26 -11.5 37.0 2.05 279.6 1153 HIG HARTFORD FI HIG US 10/16/10 C22 -11.0 41.6 1.13 -39.9 455 ADBE ADOBE SYS I ADBE US 1/22/11 P27 -10.0 36.4 2.54 238.7 869 GENZ GENZYME COR GENZ US 10/16/10 P72.5 -10.0 18.6 2.45 -8.2 1054 HIG HARTFORD FI HIG US 10/16/10 C23 -10.0 40.0 0.64 -49.6 1505 APAC APAC CUSTOM APAC US 10/16/10 P5 -10.0 33.1 0.10 0.0 200
x - Ex-dividend. * - Ex-earnings. -- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net -0- Sep/22/2010 15:30 GMT