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
=============================================================================
JDSU JDS UNIPHAS JDSU US 06/18/11 C15 38.3 49.1 7.90 0.6 428
PAY VERIFONE SY PAY US 03/19/11 C38 31.3 55.2 6.90 44.6 1255
SGI SILICON GRA SGI US 06/18/11 C14 25.0 55.5 2.15 65.4 670
GMXR GMX RESOURC GMXR US 03/19/11 C5 23.1 67.4 0.30 0.0 515
SGI SILICON GRA SGI US 06/18/11 C13 21.5 57.9 2.15 0.0 500
OREX OREXIGEN TH OREX US 03/19/11 P2.5 19.6 120.2 0.05 -50.0 210
DHR DANAHER COR DHR US 03/19/11 C50 19.5 20.5 1.05 425.0 3103
YONG YONGYE INTE YONG US 04/16/11 C5 19.2 67.6 2.00 -13.0 813
SNIC SONIC SOLUT SNIC US 03/19/11 C15 17.7 16.8 0.30 50.0 238
SNIC SONIC SOLUT SNIC US 03/19/11 P15 17.2 39.0 0.80 -5.9 213
AET AETNA INC AET US 01/21/12 C30 16.4 31.2 8.80 6.7 1277
JOE ST JOE CO JOE US 03/19/11 P17.5 15.8 87.4 0.05 -66.7 200
OREX OREXIGEN TH OREX US 03/19/11 P3.5 15.3 113.9 0.35 -22.2 580
YGE YINGLI GREE YGE US 03/19/11 C11 14.9 54.1 1.50 20.0 202
CIM CHIMERA INV CIM US 09/17/11 P4 14.0 21.0 0.30 0.0 420
DNN DENISON MIN DNN US 07/16/11 P2.5 13.8 91.3 0.15 0.0 1000
CDE COEUR D'ALE CDE US 03/19/11 C25 12.7 54.1 2.00 37.9 279
DTG DOLLAR THRI DTG US 03/19/11 C50 12.6 27.1 2.45 40.0 563
OREX OREXIGEN TH OREX US 03/19/11 P4 12.1 115.2 0.65 -18.8 1806
MU MICRON TECH MU US 03/19/11 P8 11.8 54.5 0.02 -33.3 259
CPHD CEPHEID INC CPHD US 03/19/11 P25 11.6 45.3 1.65 -25.0 201
PG PROCTER & G PG US 03/19/11 P62.5 11.3 15.3 0.44 -37.1 1089
GENZ GENZYME COR GENZ US 01/21/12 C75 11.2 5.8 1.55 55.0 638
XLE SPDR-ENERGY XLE US 03/19/11 P74 11.2 22.8 1.67 -24.8 1610
DIA SPDR DJIA T DIA US 03/19/11 P121.75 11.2 12.0 2.20 -22.0 250
CDE COEUR D'ALE CDE US 03/19/11 C26 11.1 53.0 1.55 47.6 251
VLO VALERO ENER VLO US 03/19/11 C25 11.1 35.8 3.07 52.0 1092
CDE COEUR D'ALE CDE US 03/19/11 P25 11.0 53.0 1.50 -3.2 236
SGI SILICON GRA SGI US 09/17/11 C12 10.9 55.5 3.80 26.7 2623
CDE COEUR D'ALE CDE US 03/19/11 P24 10.9 54.0 1.10 -18.5 353
AET AETNA INC AET US 01/21/12 C35 10.8 28.6 5.25 14.1 1285
DKS DICK'S SPOR DKS US 03/19/11 C39 10.7 33.5 1.55 121.4 1500
SCCO SOUTHERN CO SCCO US 03/19/11 C44 10.6 38.8 3.30 13.8 203
MMR MCMORAN EXP MMR US 03/19/11 P13 10.4 68.2 0.19 26.7 332
VLO VALERO ENER VLO US 03/19/11 P25 10.2 35.3 0.30 -47.4 234
ADM ARCHER-DANI ADM US 03/19/11 P28 10.2 41.7 0.05 -16.7 258
REE RARE ELEMEN REE US 03/19/11 C12 10.2 78.2 3.10 21.6 322
XLE SPDR-ENERGY XLE US 03/19/11 P73 10.1 23.3 1.38 -21.6 309
Top Volatility Decreases
Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= BEC BECKMAN COU BEC US 05/21/11 C85 -75.7 4.1 0.05 -86.8 2284 BEC BECKMAN COU BEC US 08/20/11 P80 -66.9 6.6 0.70 -90.7 542 BEC BECKMAN COU BEC US 03/19/11 P80 -65.7 11.2 0.40 0.0 986 BEC BECKMAN COU BEC US 03/19/11 C80 -52.4 12.7 2.85 216.7 835 BEC BECKMAN COU BEC US 08/20/11 C80 -42.7 8.4 3.30 164.0 213 BEC BECKMAN COU BEC US 05/21/11 C80 -38.5 10.7 3.25 225.0 2622 BEC BECKMAN COU BEC US 05/21/11 P80 -36.9 8.9 0.70 -91.0 588 MMR MCMORAN EXP MMR US 03/19/11 C13 -36.4 53.7 4.75 86.3 2035 BEC BECKMAN COU BEC US 03/19/11 P75 -34.3 21.7 0.30 -90.9 288 PDE PRIDE INTL PDE US 07/16/11 P35 -34.1 24.1 0.75 0.0 423 PDE PRIDE INTL PDE US 03/19/11 C37 -31.4 26.1 3.50 386.1 544 PPHM PEREGRINE P PPHM US 04/16/11 P2.5 -28.1 61.6 0.35 40.0 500 XOP SPDR OIL&GA XOP US 03/19/11 C45 -27.8 36.5 13.60 11.5 1900 BEC BECKMAN COU BEC US 05/21/11 P75 -27.6 14.9 0.40 -89.5 805 PDE PRIDE INTL PDE US 03/19/11 C38 -27.4 27.8 2.50 0.0 679 PDE PRIDE INTL PDE US 04/16/11 C36 -26.9 26.2 4.30 258.3 4788 SYY SYSCO CORP SYY US 03/19/11 P27 -22.2 19.7 0.30 100.0 1386 S SPRINT NEXT S US 05/21/11 C3 -20.7 48.9 1.39 3.7 200 OPTR OPTIMER PHA OPTR US 03/19/11 C10 -20.6 58.3 2.70 8.0 345 BEC BECKMAN COU BEC US 05/21/11 C75 -19.9 15.7 7.80 151.6 323 CFN CAREFUSION CFN US 06/18/11 C20 -19.7 31.9 7.40 21.3 200 JOE ST JOE CO JOE US 03/19/11 C25 -19.7 29.6 4.40 63.0 260 BEC BECKMAN COU BEC US 03/19/11 C75 -17.9 24.4 7.60 176.4 454 BEC BECKMAN COU BEC US 03/19/11 P70 -17.0 31.0 0.10 -94.7 1172 ITMN INTERMUNE I ITMN US 07/16/11 C20 -16.6 76.4 17.50 -6.5 200 CTSH COGNIZANT T CTSH US 03/19/11 C75 -15.7 25.1 2.60 -23.5 309 DBA POWERSHARES DBA US 03/19/11 C31 -15.6 23.5 3.70 2.8 2530 NOVL NOVELL INC NOVL US 03/19/11 C6 -15.1 10.2 0.05 0.0 200 VISN VISIONCHINA VISN US 04/16/11 P5 -14.1 58.5 0.50 -58.3 300 BRK/B BERKSHIRE H BRKB US 03/19/11 P55 -13.5 51.7 0.04 -66.7 565 OREX OREXIGEN TH OREX US 04/16/11 C4 -13.2 76.0 0.50 25.0 956 JOE ST JOE CO JOE US 03/19/11 C30 -12.0 35.8 0.95 72.7 229 JOE ST JOE CO JOE US 06/18/11 C28 -11.5 24.3 2.25 48.0 207 GENZ GENZYME COR GENZ US 01/21/12 P62.5 -11.4 13.5 0.28 -68.9 816 BEC BECKMAN COU BEC US 03/19/11 C72.5 -11.3 25.6 10.10 136.0 701 UIS UNISYS CORP UIS US 03/19/11 C32 -11.2 39.0 6.60 37.5 714 NYT NEW YORK TI NYT US 04/16/11 C9 -11.1 46.7 2.10 10.5 400 VIP VIMPELCOM L VIP US 06/18/11 P12.5 -10.9 27.5 0.40 0.0 959 OREX OREXIGEN TH OREX US 07/16/11 C4 -10.9 67.6 0.65 18.2 441 CCME CHINA MEDIA CCME US 06/18/11 C10 -10.6 85.0 5.70 14.0 287 CCME CHINA MEDIA CCME US 03/19/11 C11 -10.4 123.6 4.50 15.4 200 RAS RAIT FINANC RAS US 03/19/11 C3 -10.3 67.9 0.30 0.0 200 WNR WESTERN REF WNR US 06/18/11 C14 -10.2 48.9 2.25 -10.0 280
x - Ex-dividend. * - Ex-earnings. -- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net -0- Feb/07/2011 16:30 GMT