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
=============================================================================
LVLT LEVEL 3 COM LVLT US 03/19/11 C1 62.8 89.8 0.25 0.0 275
HERO HERCULES OF HERO US 01/21/12 C1 33.8 122.6 2.65 0.0 200
ATHR ATHEROS COM ATHR US 06/18/11 C45 25.9 2.5 0.10 0.0 360
BIG BIG LOTS IN BIG US 04/16/11 C40 25.8 37.5 1.95 550.0 358
C CITIGROUP I C US 03/19/11 C4 25.7 39.1 0.89 -1.1 1038
ALU ALCATEL-LUC ALU US 03/19/11 P3.5 24.8 46.4 0.20 0.0 206
C CITIGROUP I C US 03/19/11 C3 21.9 82.8 1.88 -0.5 510
CDNS CADENCE DES CDNS US 05/21/11 C9 21.7 39.4 1.15 9.5 3141
CPB CAMPBELL SO CPB US 03/19/11 C35 19.8 21.4 0.65 30.0 347
C CITIGROUP I C US 03/19/11 C2 19.8 142.6 2.86 2.5 286
STE STERIS CORP STE US 06/18/11 C30 19.2 35.9 4.10 -51.4 312
GSS GOLDEN STAR GSS US 03/19/11 C4 18.9 58.2 0.30 20.0 263
BEAT CARDIONET I BEAT US 05/21/11 P4 18.5 67.1 0.35 0.0 278
MEA METALICO IN MEA US 03/19/11 C5 16.5 66.7 0.95 -5.0 433
MCD MCDONALDS C MCD US 03/19/11 C70 15.2 19.2 6.00 62.2 489
SA SEABRIDGE G SA US 03/19/11 C30 14.7 48.2 2.70 116.0 204
CBST CUBIST PHAR CBST US 05/21/11 C22 14.6 57.5 2.70 14.9 1163
ATHN ATHENAHEALT ATHN US 03/19/11 P39 14.5 65.2 0.45 -73.5 500
NRGY INERGY LP NRGY US 03/19/11 P40 14.4 21.4 0.60 36.4 500
SD SANDRIDGE E SD US 03/19/11 P7 13.6 60.0 0.16 0.0 1017
CL COLGATE-PAL CL US 03/19/11 P75 13.4 17.7 0.49 -50.0 293
SD SANDRIDGE E SD US 01/21/12 C5 13.1 60.1 3.55 2.9 238
FRO FRONTLINE L FRO US 03/19/11 C26 12.9 43.2 1.65 22.2 352
WMB WILLIAMS CO WMB US 03/19/11 P27 12.5 37.0 1.05 23.5 620
QQQQ POWERSH-QQQ QQQQ US 03/19/11 C52 12.4 23.7 5.85 1.0 2587
BAC BANK OF AME BAC US 03/19/11 C12 12.3 41.0 2.76 2.2 867
RHT RED HAT INC RHT US 03/19/11 C46 12.2 36.0 1.45 31.8 1211
UUP POWERSHARES UUP US 03/19/11 C22 12.0 11.0 0.51 -7.3 1445
FRO FRONTLINE L FRO US 03/19/11 P25 11.3 45.3 0.90 -10.0 241
HNZ HJ HEINZ CO HNZ US 01/19/13 P50 11.2 15.2 6.80 11.5 500
JNPR JUNIPER NET JNPR US 03/19/11 C42 11.0 31.0 0.98 34.2 1007
BIG BIG LOTS IN BIG US 03/19/11 C37.5 10.9 40.6 2.84 89.3 7243
QQQQ POWERSH-QQQ QQQQ US 03/19/11 C53 10.4 22.4 4.93 1.2 205
CBST CUBIST PHAR CBST US 01/21/12 P20 10.2 51.7 2.95 9.3 231
NUAN NUANCE COMM NUAN US 04/16/11 C20 10.2 44.0 1.50 -16.7 261
Top Volatility Decreases
Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= HRLY HERLEY INDS HRLY US 08/20/11 P17.5 -69.7 9.2 0.10 -95.0 335 NWN NORTHWEST N NWN US 03/19/11 P45 -31.8 14.6 1.30 -16.1 211 DBA POWERSHARES DBA US 03/19/11 C30 -29.8 19.5 4.49 -10.0 1005 CNXT CONEXANT SY CNXT US 06/18/11 C2.5 -25.8 30.2 0.15 50.0 475 SIRI SIRIUS XM R SIRI US 03/19/11 C1.5 -24.2 47.5 0.32 6.7 900 SPY SPDR S&P 50 SPY US 03/19/11 P136 -23.4 11.2 4.96 -1.8 1082 BIG BIG LOTS IN BIG US 03/19/11 P32.5 -21.4 45.7 0.33 -61.2 3712 SNCR SYNCHRONOSS SNCR US 03/19/11 C35 -21.0 40.5 1.30 56.6 261 AVP AVON PRODUC AVP US 03/19/11 P27 -20.8 27.3 0.65 62.5 2985 BIG BIG LOTS IN BIG US 07/16/11 C30 -20.7 29.3 9.52 90.4 253 SNCR SYNCHRONOSS SNCR US 03/19/11 P35 -19.8 43.1 2.60 -42.1 587 EXXI ENERGY XXI EXXI US 03/19/11 C25 -19.8 49.2 7.20 -1.4 550 PNNT PENNANTPARK PNNT US 03/19/11 C12.5 -18.9 21.5 0.35 -46.1 212 SPY SPDR S&P 50 SPY US 03/19/11 P135 -18.6 11.8 4.26 -3.2 4107 TEVA TEVA PHARM- TEVA US 03/19/11 P45 -16.4 31.5 0.20 33.3 380 VSH VISHAY INTE VSH US 04/16/11 P15 -15.6 43.3 0.40 -38.5 952 SOMX SOMAXON PHA SOMX US 05/21/11 C3 -15.1 37.8 0.25 0.0 850 C CITIGROUP I C US 05/21/11 C3 -15.1 39.0 1.90 0.5 1111 TEVA TEVA PHARM- TEVA US 03/19/11 P47.5 -15.0 27.3 0.40 73.9 2332 VECO VEECO INSTR VECO US 03/19/11 C44 -14.8 45.8 4.50 17.8 217 ALU ALCATEL-LUC ALU US 03/19/11 C3.5 -13.8 47.4 0.20 0.0 5101 VECO VEECO INSTR VECO US 03/19/11 C47 -13.3 46.2 3.10 31.9 473 IBM IBM IBM US 01/21/12 C100 -13.2 28.1 65.35 0.7 263 ICO INTERNATION ICO US 03/19/11 C9 -13.2 55.7 0.85 13.3 691 CLDA CLINICAL DA CLDA US 06/18/11 C22.5 -13.2 51.3 8.40 15.1 498 AVP AVON PRODUC AVP US 03/19/11 C29 -12.8 29.0 0.50 -63.0 1948 SPY SPDR S&P 50 SPY US 03/19/11 P133 -12.2 12.7 3.00 -2.3 4663 XOM EXXON MOBIL XOM US 07/16/11 C60 -12.1 30.4 23.30 -2.7 301 VC VISTEON COR VC US 06/18/11 C65 -12.0 41.0 9.40 0.0 400 XLU SPDR-UTIL S XLU US 03/19/11 C32 -11.5 10.8 0.44 -4.3 273 TEVA TEVA PHARM- TEVA US 03/19/11 P50 -11.4 24.7 1.01 146.3 3696 VSH VISHAY INTE VSH US 04/16/11 P12.5 -11.3 51.7 0.10 -60.0 985 S SPRINT NEXT S US 03/19/11 P4 -11.2 40.7 0.10 0.0 241 COPX GLOBAL X CO COPX US 03/19/11 C20 -10.9 34.7 1.40 -12.5 1000
x - Ex-dividend. * - Ex-earnings. -- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net -0- Feb/08/2011 16:30 GMT