U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Nov 8, 2010
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
=============================================================================
CTV COMMSCOPE I CTV US 12/18/10 C31 59.8 16.5 1.40 91.8 6938
CTV COMMSCOPE I CTV US 12/18/10 P31 52.6 16.1 0.30 50.0 668
CTV COMMSCOPE I CTV US 12/18/10 C32 32.0 12.0 0.55 175.0 1178
XNPT XENOPORT IN XNPT US 12/18/10 P9 28.5 85.7 0.95 0.0 209
SPY SPDR S&P 50 SPY US 12/18/10 P126 20.5 19.2 5.41 6.7 2080
SCCO SOUTHERN CO SCCO US 12/18/10 C44 19.3 41.6 3.30 -2.9 211
SPY SPDR S&P 50 SPY US 12/18/10 P125 17.4 18.9 4.70 7.1 13219
SPY SPDR S&P 50 SPY US 12/18/10 P124 15.6 19.0 4.05 10.1 2795
VRX VALEANT PHA VRX US 01/22/11 P26 14.9 39.0 1.70 47.8 319
AONE A123 SYSTEM AONE US 12/18/10 C10 14.0 63.6 0.70 -6.7 546
FOSL FOSSIL INC FOSL US 12/18/10 C65 13.5 45.8 3.30 46.7 337
JDSU JDS UNIPHAS JDSU US 12/18/10 C12 13.4 45.6 0.63 70.3 804
GHDX GENOMIC HEA GHDX US 06/18/11 C15 13.0 47.9 2.20 0.0 264
EWH ISHARES-HON EWH US 12/18/10 C21 12.6 19.4 0.20 0.0 238
SPY SPDR S&P 50 SPY US 12/18/10 P123 12.6 18.9 3.46 8.8 2044
MGM MGM RESORTS MGM US 12/18/10 C12 12.1 66.0 1.35 33.7 1101
SOHU SOHU.COM IN SOHU US 12/18/10 P80 11.7 47.4 4.90 -38.8 1401
XLF SPDR-FINL S XLF US 12/18/10 C15 11.1 26.0 0.72 -12.2 851
XLF SPDR-FINL S XLF US 12/18/10 C16 11.1 25.3 0.26 -18.8 28355
SPY SPDR S&P 50 SPY US 12/18/10 P122 11.0 19.1 2.96 8.8 6848
LVS LAS VEGAS S LVS US 01/22/11 C55 10.8 60.6 4.70 19.0 3358
QQQQ POWERSH-QQQ QQQQ US 12/18/10 P55 10.6 18.5 2.07 -1.4 1135
JEF JEFFERIES G JEF US 12/18/10 C25 10.3 34.7 1.65 32.0 219
VMW VMWARE INC- VMW US 12/18/10 C80 10.3 44.3 4.35 35.9 223
Top Volatility Decreases
Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= FIG FORTRESS IN FIG US 01/22/11 P5 -15.6 40.8 0.40 -11.1 500 JAZZ JAZZ PHARMA JAZZ US 03/19/11 C15 -13.4 47.9 1.92 36.2 1000
x - Ex-dividend. * - Ex-earnings. -- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net -0- Nov/08/2010 16:30 GMT