U.S. Stock Options With Biggest Changes in Implied Volatility
By -
May 24, 2011
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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NG NOVAGOLD RE NG US 06/18/11 C9 133.0 64.3 2.15 43.3 458
HOLI HOLLYSYS AU HOLI US 06/18/11 P7.5 76.0 213.6 1.50 200.0 815
HOLI HOLLYSYS AU HOLI US 07/16/11 P7.5 60.7 189.2 1.61 114.7 282
SCLN SCICLONE PH SCLN US 07/16/11 P5 56.0 100.8 0.40 100.0 983
AVNR AVANIR PHAR AVNR US 09/17/11 C3.5 51.0 37.6 1.20 33.3 780
QCOR QUESTCOR PH QCOR US 07/16/11 P22.5 40.7 50.9 1.85 -53.8 200
BKS BARNES & NO BKS US 10/22/11 C18 33.4 35.8 2.35 56.7 569
LPS LENDER PROC LPS US 06/18/11 P20 27.6 92.6 0.50 150.0 1004
C CITIGROUP I C1 US 06/18/11 P4.5 27.6 25.5 0.51 4.1 903
HRS HARRIS CORP HRS US 06/18/11 C50 27.0 27.1 0.45 28.6 795
BKS BARNES & NO BKS US 06/18/11 C18 25.6 39.2 1.35 42.1 513
QCOR QUESTCOR PH QCOR US 07/16/11 P21 22.2 48.3 1.05 0.0 200
LVLT LEVEL 3 COM LVLT US 06/18/11 C2 21.0 49.2 0.15 50.0 511
BKS BARNES & NO BKS US 07/16/11 C18 19.9 44.2 1.83 35.6 297
MMR MCMORAN EXP MMR US 06/18/11 C14 19.8 71.5 3.85 12.9 491
LPS LENDER PROC LPS US 06/18/11 P22.5 19.7 74.9 0.80 60.0 687
DWA DREAMWORKS DWA US 06/18/11 P22.5 19.1 35.6 0.15 0.0 1482
IFN INDIA FUND IFN US 06/18/11 C30 18.5 26.3 0.15 -70.0 200
SSCC SMURFIT-STO SSCC US 06/18/11 P35 17.3 43.3 0.25 25.0 265
JOE ST JOE CO JOE US 06/18/11 P23 17.2 52.3 1.80 12.5 250
VOD VODAFONE GR VOD US 06/18/11 C29 14.4 24.0 0.05 0.0 278
ACOR ACORDA THER ACOR US 06/18/11 C33 14.3 67.7 1.70 88.9 254
DEER DEER CONSUM DEER US 09/17/11 C2.5 13.5 145.7 6.10 0.0 300
MELA MELA SCIENC MELA US 07/16/11 P2.5 13.0 97.8 0.20 33.3 500
NEOP NEOPROBE CO NEOP US 10/22/11 C5 12.8 52.1 0.80 14.3 450
ID L-1 IDENTIT ID US 07/16/11 P11 12.4 53.9 1.00 11.1 231
GMXR GMX RESOURC GMXR US 08/20/11 C5 11.7 64.0 0.50 11.1 726
XLY SPDR-CONS D XLY US 06/18/11 C39 11.7 17.4 1.23 -2.4 200
XLY SPDR-CONS D XLY US 09/17/11 C41 11.4 17.4 1.02 0.0 200
ACOR ACORDA THER ACOR US 06/18/11 C32 11.0 66.5 2.10 68.0 475
S SPRINT NEXT S US 08/20/11 C5 11.0 48.3 0.98 24.1 888
UUP POWERSHARES UUP US 06/18/11 C21 10.9 10.7 0.75 -6.2 383
SIFY SIFY TECHNO SIFY US 06/18/11 P5 10.7 111.8 0.25 -58.3 319
SVNT SAVIENT PHA SVNT US 01/21/12 P7.5 10.7 56.1 1.25 19.1 200
S SPRINT NEXT S US 06/18/11 C5 10.4 53.8 0.82 28.1 590
ETFC E*TRADE FIN ETFC US 06/18/11 P14 10.0 31.8 0.07 -12.5 777
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
SPY SPDR S&P 50 SPY US 06/18/11 P136 -33.1 11.9 4.62 -5.3 3401
AZO AUTOZONE IN AZO US 06/18/11 C300 -28.0 17.7 2.40 200.0 656
SPY SPDR S&P 50 SPY US 06/18/11 P135 -27.8 12.6 3.83 -9.2 12274
DSW DSW INC-CL DSW US 06/18/11 C50 -27.4 36.8 1.95 333.3 428
QLGC QLOGIC CORP QLGC US 06/18/11 P15 -25.9 31.3 0.23 0.0 252
CBRL CRACKER BAR CBRL US 06/18/11 P45 -25.8 33.3 0.50 100.0 1111
AZO AUTOZONE IN AZO US 06/18/11 C270 -23.7 20.4 22.60 98.4 816
DIA SPDR DJIA T DIA US 06/18/11 P128 -23.6 11.0 4.55 -5.2 220
AZO AUTOZONE IN AZO US 06/18/11 C280 -23.2 19.6 14.00 133.3 450
EP EL PASO COR EP US 06/18/11 C21 -23.2 31.5 0.42 133.3 2450
KKD KRISPY KREM KKD US 06/18/11 C7.5 -22.8 42.5 0.85 18.1 451
AZO AUTOZONE IN AZO US 06/18/11 P290 -22.8 18.8 4.26 -74.3 371
MDT MEDTRONIC I MDT US 06/18/11 C40 -22.8 21.5 1.10 -43.3 435
UCO PRSH-ULT CR UCO US 06/18/11 C38 -22.3 58.0 9.55 15.1 500
AZO AUTOZONE IN AZO US 06/18/11 C290 -22.0 18.1 6.94 195.3 629
MDT MEDTRONIC I MDT US 06/18/11 P42 -21.8 19.6 1.75 19.9 309
PWRD PERFECT WOR PWRD US 06/18/11 C25 -21.5 47.2 2.10 100.0 329
MDT MEDTRONIC I MDT US 06/18/11 P40 -21.1 21.7 0.68 6.2 1202
MDT MEDTRONIC I MDT US 06/18/11 C41 -21.0 20.5 0.64 -48.8 546
XLY SPDR-CONS D XLY US 06/18/11 P40 -20.9 16.1 0.71 -1.4 500
SOLR GT SOLAR IN SOLR US 06/18/11 P12.5 -20.7 54.5 0.85 -39.3 1985
EP EL PASO COR EP US 06/18/11 C20 -20.6 33.3 0.90 109.3 5283
MDT MEDTRONIC I MDT US 06/18/11 C42 -20.6 19.8 0.25 -67.1 924
MDT MEDTRONIC I MDT US 06/18/11 P41 -20.5 20.6 1.13 14.1 644
MDT MEDTRONIC I MDT US 06/18/11 P39 -20.0 23.1 0.45 15.4 309
EP EL PASO COR EP US 06/18/11 P20 -19.8 33.2 0.53 -64.2 611
C CITIGROUP I C1 US 07/16/11 P4.5 -19.7 17.9 0.53 8.2 320
XLU SPDR-UTIL S XLU US 06/18/11 P33 -19.1 14.3 0.30 0.0 360
REDF REDIFF.COM REDF US 06/18/11 P10 -19.0 107.9 0.70 -46.1 870
PWRD PERFECT WOR PWRD US 06/18/11 P25 -18.3 48.1 0.76 -64.7 507
SPY SPDR S&P 50 SPY US 06/18/11 P133 -18.1 14.2 2.63 -10.5 14730
EXPE EXPEDIA INC EXPE US 06/18/11 C26 -18.0 28.3 1.70 -15.0 640
SOLR GT SOLAR IN SOLR US 06/18/11 C12.5 -17.9 57.3 0.60 20.0 2392
PWRD PERFECT WOR PWRD US 06/18/11 C24 -17.7 50.0 2.40 60.0 278
EP EL PASO COR EP US 06/18/11 C19 -17.0 36.2 1.55 86.8 404
XLB SPDR-MATERI XLB US 06/18/11 P39 -16.9 21.1 1.24 -18.9 391
AZO AUTOZONE IN AZO US 06/18/11 P280 -16.7 20.3 1.74 -81.7 321
EP EL PASO COR EP US 06/18/11 P19 -16.4 35.7 0.25 -70.6 854
NOG NORTHERN OI NOG US 06/18/11 P20 -16.2 59.5 1.20 -27.3 580
CBRL CRACKER BAR CBRL US 06/18/11 P50 -16.0 31.1 2.75 205.6 289
XLY SPDR-CONS D XLY US 06/18/11 P39 -16.0 18.1 0.41 -4.7 317
PWRD PERFECT WOR PWRD US 06/18/11 C26 -15.8 47.7 1.30 94.0 930
SBAC SBA COMM CO SBAC US 06/18/11 P35 -15.6 27.5 0.10 0.0 522
XLK SPDR-TECH S XLK US 06/18/11 P26 -15.3 15.0 0.55 -8.3 285
UCO PRSH-ULT CR UCO US 06/18/11 C40 -15.0 61.1 7.85 16.3 370
SPWRA SUNPOWER CO SPWRA US 06/18/11 P20 -14.9 61.2 0.95 -13.6 1521
XLF SPDR-FINL S XLF US 06/18/11 P16 -14.8 17.8 0.64 0.0 1186
STEI STEWART ENT STEI US 08/20/11 C7.5 -14.7 36.1 0.70 -41.7 550
SPY SPDR S&P 50 SPY US 06/18/11 P131 -14.7 15.6 1.80 -11.8 21357
DIA SPDR DJIA T DIA US 06/18/11 P126 -14.6 12.4 3.32 -2.4 373
PWRD PERFECT WOR PWRD US 06/18/11 C27 -14.1 48.3 1.00 150.0 521
GDXJ MARKET VECT GDXJ US 06/18/11 C30 -13.9 41.8 6.44 13.0 560
LVLT LEVEL 3 COM LVLT US 09/17/11 C2 -13.6 45.3 0.25 25.0 229
AMJ JPM-ALERIAN AMJ US 06/18/11 P36 -13.4 17.7 0.55 -21.4 750
HOLI HOLLYSYS AU HOLI US 06/18/11 C5 -13.4 114.7 2.75 -25.7 1446
XLE SPDR-ENERGY XLE US 06/18/11 P75 -13.4 22.9 1.94 -30.5 3385
AZO AUTOZONE IN AZO US 06/18/11 P270 -13.3 23.2 0.72 -84.9 1339
TGB TASEKO MINE TGB US 06/18/11 C5 -13.2 40.9 0.20 33.3 280
SPY SPDR S&P 50 SPY US 06/18/11 P130 -12.9 16.4 1.49 -12.3 14516
EP EL PASO COR EP US 07/16/11 C21 -12.7 30.5 0.70 118.8 298
AIG AMERICAN IN AIG US 06/18/11 P28 -12.6 37.0 0.45 -18.2 210
SPY SPDR S&P 50 SPY US 06/18/11 P137 -12.6 11.0 5.51 -5.2 1233
SGEN SEATTLE GEN SGEN US 06/18/11 P17.5 -12.6 41.9 0.30 -33.3 728
EXK ENDEAVOUR S EXK US 06/18/11 C7.5 -12.4 73.7 1.85 37.0 249
XLI SPDR-INDU S XLI US 06/18/11 P37 -12.2 18.6 0.90 3.5 2514
BZ BOISE INC BZ US 06/18/11 P7.2 -12.1 39.5 0.05 -50.0 287
AVNR AVANIR PHAR AVNR US 09/17/11 P4 -11.8 80.9 0.45 -18.2 226
AVNR AVANIR PHAR AVNR US 09/17/11 C4 -11.5 28.1 0.80 23.1 212
CYTX CYTORI THER CYTX US 06/18/11 P5 -11.5 90.5 0.45 -10.0 600
REDF REDIFF.COM REDF US 06/18/11 C10 -11.4 108.0 1.75 40.0 575
XHB SPDR S&P HO XHB US 06/18/11 P19 -10.7 18.8 0.91 4.6 667
SRS PROSHARES U SRS US 01/21/12 C15 -10.7 43.7 2.12 -28.4 274
SIRI SIRIUS XM R SIRI US 06/18/11 C2 -10.5 54.9 0.27 12.5 747
XLB SPDR-MATERI XLB US 06/18/11 P38 -10.5 22.5 0.78 -15.2 19364
SOLR GT SOLAR IN SOLR US 09/17/11 C12.5 -10.5 49.6 1.25 8.7 555
UCO PRSH-ULT CR UCO US 06/18/11 C50 -10.4 57.4 1.95 37.3 250
EP EL PASO COR EP US 07/16/11 C20 -10.4 31.5 1.16 87.1 207
LVLT LEVEL 3 COM LVLT US 01/21/12 C2 -10.4 46.4 0.40 14.3 223
SPY SPDR S&P 50 SPY US 06/18/11 P128 -10.3 17.9 1.00 -16.0 16334
CPB CAMPBELL SO CPB US 06/18/11 P35 -10.1 14.9 0.35 -43.5 1027
x - Ex-dividend. * - Ex-earnings.
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