U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Jun 3, 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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EBIX EBIX INC EBIX US 06/18/11 P17.5 99.5 91.7 1.60 357.1 636
EBIX EBIX INC EBIX US 07/16/11 P18 82.8 75.8 1.80 125.0 330
NLY ANNALY CAPI NLY US 07/16/11 C17 60.0 19.9 1.22 2.5 1272
PSDV PSIVIDA COR PSDV US 01/21/12 C2.5 46.5 138.2 2.65 26.2 427
SPWRB SUNPOWER CO SPWRB US 06/18/11 P20 43.9 71.3 0.95 58.3 430
ZIOP ZIOPHARM ON ZIOP US 07/16/11 C5 41.1 89.2 2.15 22.9 555
HRB H&R BLOCK I HRB US 06/18/11 P17 39.8 38.9 1.10 -12.0 480
EBAY EBAY INC EBAY US 07/16/11 C20 34.5 63.7 10.80 2.9 261
VALE VALE SA-SP VALE US 08/20/11 C20 32.4 49.2 11.65 8.9 369
EBIX EBIX INC EBIX US 06/18/11 P16 30.9 87.2 0.65 550.0 640
MNTA MOMENTA PHA MNTA US 06/18/11 C20 29.5 57.4 0.50 -9.1 216
AMSC AMER SUPERC AMSC US 06/18/11 P6 28.6 153.1 0.20 100.0 2294
XLI SPDR-INDU S XLI US 06/18/11 P38 28.1 23.2 2.21 19.5 10002
SPWRB SUNPOWER CO SPWRB US 06/18/11 P19 27.6 73.4 0.45 28.6 241
DV DEVRY INC DV US 06/18/11 C55 26.6 43.1 6.60 -4.3 224
NLY ANNALY CAPI NLY US 06/18/11 C18 26.1 11.7 0.28 21.7 909
EBIX EBIX INC EBIX US 09/17/11 P15 24.7 66.8 1.40 133.3 507
PPL PPL CORPORA PPL US 07/16/11 C25 23.6 28.6 2.60 -18.8 354
SPWRB SUNPOWER CO SPWRB US 06/18/11 C21 22.5 24.6 0.35 75.0 219
AMSC AMER SUPERC AMSC US 06/18/11 P7 21.9 123.3 0.34 25.9 686
MYGN MYRIAD GENE MYGN US 11/19/11 P22 21.8 47.1 1.70 -42.4 559
DRYS DRYSHIPS IN DRYS US 06/18/11 C3.5 21.5 64.8 0.68 70.0 804
LIFE LIFE TECHNO LIFE US 06/18/11 P50 21.3 34.0 1.00 81.8 282
MDT MEDTRONIC I MDT US 06/18/11 P41 19.6 22.4 1.98 4.2 505
EBIX EBIX INC EBIX US 09/17/11 P17 19.4 59.7 1.90 65.2 361
FRX FOREST LABS FRX US 08/20/11 C27 19.4 31.8 9.70 9.0 450
AKS AK STEEL HL AKS US 06/18/11 P15 19.2 47.7 0.54 -6.9 1003
AKS AK STEEL HL AKS US 06/18/11 C14 17.2 49.5 1.25 26.3 255
MO ALTRIA GROU MO US 06/18/11 C25 17.1 31.3 2.62 1.2 797
MWV MEADWESTVAC MWV US 06/18/11 C32.5 16.6 31.1 0.85 -39.3 550
MYGN MYRIAD GENE MYGN US 11/19/11 P21 16.4 48.2 1.40 0.0 505
AMT AMERICAN TO AMT US 06/18/11 P52.5 16.4 31.2 1.23 173.3 1261
YONG YONGYE INTE YONG US 06/18/11 C5 16.4 88.0 0.30 -25.0 304
ANAD ANADIGICS I ANAD US 10/22/11 P2.5 16.3 73.7 0.20 33.3 400
JKS JINKOSOLAR- JKS US 06/18/11 C22.5 15.8 51.5 2.35 -20.3 500
AKS AK STEEL HL AKS US 07/16/11 C12 15.6 54.1 3.20 0.0 485
BRCD BROCADE COM BRCD US 06/18/11 P7 15.5 83.5 0.34 -8.1 10958
HERO HERCULES OF HERO US 10/22/11 P4.5 15.5 71.7 0.37 23.3 333
CLSN CELSION COR CLSN US 10/22/11 C2.5 15.5 56.2 0.65 0.0 748
AMT AMERICAN TO AMT US 06/18/11 C55 15.2 27.8 0.30 -62.5 428
ITW ILLINOIS TO ITW US 06/18/11 C57.5 14.8 20.6 0.43 7.5 8708
T AT&T INC T US 06/18/11 C32 14.6 16.8 0.06 0.0 422
EBIX EBIX INC EBIX US 09/17/11 P16 14.4 59.0 1.50 87.5 347
AKS AK STEEL HL AKS US 06/18/11 P14 14.3 47.4 0.17 -5.6 654
AMG AFFIL MANAG AMG US 09/17/11 P75 13.5 46.3 1.15 27.8 291
LCC US AIRWAYS LCC US 06/18/11 P8 13.5 66.0 0.08 14.3 493
MWE MARKWEST EN MWE US 08/20/11 C45 13.3 28.0 3.30 3.1 250
LUV SOUTHWEST A LUV US 06/18/11 P12 13.2 29.9 0.60 33.3 647
SDS PROSHARES U SDS US 06/18/11 C19 12.8 32.4 2.31 12.7 275
STP SUNTECH POW STP US 06/18/11 P8 12.8 64.7 0.52 0.0 248
JBLU JETBLUE AIR JBLU US 07/16/11 P5 12.7 50.4 0.10 0.0 350
BRCD BROCADE COM BRCD US 07/16/11 C6 12.7 61.3 1.46 12.3 244
WHR WHIRLPOOL C WHR US 06/18/11 P80 12.3 26.1 2.56 156.0 896
NRG NRG ENERGY NRG US 06/18/11 P24 12.3 29.8 0.50 -9.1 225
PANL UNIVERSAL D PANL US 06/18/11 C40 12.2 78.6 3.40 30.8 525
DRYS DRYSHIPS IN DRYS US 09/17/11 P3.5 12.2 52.3 0.17 -22.7 300
NYT NEW YORK TI NYT US 07/16/11 P8 12.1 50.4 0.55 -35.3 299
STP SUNTECH POW STP US 07/16/11 P7 12.1 65.4 0.36 44.0 3041
IPG INTERPUBLIC IPG US 10/22/11 P8 12.0 47.3 0.25 0.0 500
CZZ COSAN LTD - CZZ US 12/17/11 P12.5 11.9 39.1 1.55 -22.5 2267
BRCD BROCADE COM BRCD US 06/18/11 C7 11.9 82.8 0.59 20.4 1816
TTWO TAKE-TWO IN TTWO US 06/18/11 P15 11.9 44.3 0.10 0.0 972
SFI ISTAR FINAN SFI US 06/18/11 P8 11.9 40.9 0.25 66.7 500
FRX FOREST LABS FRX US 06/18/11 C38 11.5 29.2 0.35 75.0 273
BRCD BROCADE COM BRCD US 07/16/11 P6 11.4 61.6 0.13 8.3 1101
AIZ ASSURANT IN AIZ US 07/16/11 C35 11.4 26.1 1.75 -12.5 1000
WHR WHIRLPOOL C WHR US 06/18/11 C80 11.3 26.4 0.93 -56.3 743
BHI BAKER HUGHE BHI US 06/18/11 P67.5 11.2 41.9 0.19 -40.6 584
ZIOP ZIOPHARM ON ZIOP US 10/22/11 C5 11.0 67.8 2.45 10.4 500
AMT AMERICAN TO AMT US 07/16/11 C55 11.0 25.1 0.85 -43.3 222
AMT AMERICAN TO AMT US 07/16/11 C52.5 10.9 27.3 1.90 -42.1 928
VVUS VIVUS INC VVUS US 06/18/11 C8 10.9 47.7 0.22 -63.3 421
AAPL APPLE INC AAPL US 06/18/11 C280 10.9 53.0 64.20 -3.5 213
DRYS DRYSHIPS IN DRYS US 07/16/11 C4 10.8 52.0 0.38 123.5 2077
BMY BRISTOL-MYE BMY US 06/18/11 C29 10.6 28.3 0.24 -4.0 2977
MMR MCMORAN EXP MMR US 06/18/11 P18 10.5 46.6 0.96 28.0 1983
AMSC AMER SUPERC AMSC US 07/16/11 P7 10.4 105.8 0.70 27.3 5528
DRYS DRYSHIPS IN DRYS US 06/18/11 P4 10.1 48.3 0.09 -57.1 402
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
BLC BELO CORP-A BLC US 06/18/11 C7.5 -61.5 43.2 0.20 -83.3 200
WMT WAL-MART ST WMT US 07/16/11 C45 -54.7 19.8 8.55 0.0 226
NWL NEWELL RUBB NWL US 06/18/11 C15 -53.8 31.3 0.35 0.0 1669
FXE CRYSHS-EURO FXE US 06/18/11 P152 -49.2 8.8 7.30 -28.1 500
OREX OREXIGEN TH OREX US 06/18/11 P2 -46.4 123.0 0.10 0.0 559
NWL NEWELL RUBB NWL US 06/18/11 P13 -45.5 50.6 0.75 0.0 250
ID L-1 IDENTIT ID US 06/18/11 C11 -37.6 36.0 0.45 -25.0 901
XLE SPDR-ENERGY XLE US 06/18/11 C70 -35.3 17.7 5.30 -13.1 800
NWL NEWELL RUBB NWL US 06/18/11 P15 -34.3 33.9 0.40 166.7 844
NWL NEWELL RUBB NWL US 07/16/11 C15 -32.0 31.9 0.65 0.0 532
DIA SPDR DJIA T DIA US 06/18/11 P126 -28.7 8.9 4.66 19.5 2445
MDCO MEDICINES C MDCO US 06/18/11 C18 -26.5 39.1 0.60 -61.3 200
XOM EXXON MOBIL XOM US 06/18/11 C60 -26.1 54.0 20.90 -2.8 212
ZQK QUIKSILVER ZQK US 07/16/11 C5 -24.4 41.2 0.15 0.0 1061
ID L-1 IDENTIT ID US 06/18/11 P10 -23.1 62.3 0.10 -71.4 1325
EK EASTMAN KOD EK US 06/18/11 C3 -22.7 59.7 0.33 -8.3 1302
QQQ POWERSH-QQQ QQQ US 06/18/11 P59 -22.6 11.4 2.34 15.8 1622
VXX IPATH-S&P S VXX US 06/18/11 C20 -21.0 39.6 2.33 -8.6 563
XOM EXXON MOBIL XOM US 07/16/11 C60 -18.3 42.2 20.95 0.5 208
SPY SPDR S&P 50 SPY US 06/30/11 P137 -18.2 10.2 6.63 9.6 4095
SPY SPDR S&P 50 SPY US 06/18/11 P135 -18.2 10.7 4.86 16.3 2958
PAY VERIFONE SY PAY US 06/18/11 C48 -17.8 47.2 0.95 -47.2 782
UCO PRSH-ULT CR UCO US 06/18/11 C40 -17.7 40.0 6.90 -33.6 250
KMB KIMBERLY-CL KMB US 06/18/11 P62.5 -17.7 16.8 0.10 42.9 500
GSG ISHARES S&P GSG US 07/16/11 P31 -17.3 30.6 0.15 -57.1 200
PAY VERIFONE SY PAY US 06/18/11 P47 -17.1 48.4 2.55 15.9 203
PAY VERIFONE SY PAY US 06/18/11 P46 -16.6 49.0 1.85 5.7 801
XLF SPDR-FINL S XLF US 06/18/11 C15 -16.2 18.9 0.40 -14.9 2644
PAY VERIFONE SY PAY US 06/18/11 C47 -16.1 48.6 1.30 -43.5 314
SPY SPDR S&P 50 SPY US 06/18/11 P134 -15.7 12.0 3.99 18.8 10627
SPLS STAPLES INC SPLS US 07/16/11 P14 -15.6 30.9 0.05 0.0 227
XLF SPDR-FINL S XLF US 06/18/11 P15 -15.3 18.9 0.13 -18.8 46797
PAY VERIFONE SY PAY US 06/18/11 P45 -15.1 49.7 1.50 15.4 607
LYG LLOYDS BANK LYG US 01/21/12 P3 -14.1 35.9 0.30 0.0 200
XCO EXCO RESOUR XCO US 06/18/11 C20 -13.8 26.2 0.20 -53.5 6372
PAY VERIFONE SY PAY US 06/18/11 P43 -13.4 52.4 0.75 7.1 229
VXX IPATH-S&P S VXX US 06/18/11 C21 -13.3 46.2 1.64 -3.5 885
MKSI MKS INSTRUM MKSI US 06/18/11 P25 -13.2 35.8 0.80 33.3 234
ZSL PRSH-ULTSH ZSL US 06/18/11 P15 -12.2 90.1 0.25 -16.7 207
QQQ POWERSH-QQQ QQQ US 06/18/11 P58 -11.6 13.9 1.49 14.6 41873
MET METLIFE INC MET US 06/18/11 P38 -11.5 35.3 0.13 8.3 311
SPY SPDR S&P 50 SPY US 06/18/11 P133 -11.5 13.1 3.20 17.2 12382
SPY SPDR S&P 50 SPY US 06/18/11 P132 -11.2 13.9 2.52 16.1 33844
SIRI SIRIUS XM R SIRI US 01/21/12 C1 -10.7 52.4 1.22 -2.4 685
IMAX IMAX CORP IMAX US 06/18/11 C37 -10.6 34.0 1.25 25.0 303
IWM ISHARES-RUS IWM US 06/18/11 P85 -10.4 19.2 3.69 10.8 504
XLK SPDR-TECH S XLK US 06/18/11 P25 -10.4 17.9 0.13 18.2 301
FXI ISHARES FTS FXI US 06/18/11 P39 -10.4 30.7 0.03 50.0 327
IWM ISHARES-RUS IWM US 06/18/11 P82 -10.3 21.0 1.70 13.3 29530
NWL NEWELL RUBB NWL US 07/16/11 P15 -10.3 31.1 0.65 0.0 376
CNQR CONCUR TECH CNQR US 11/19/11 P40 -10.3 34.3 1.44 2.9 200
IWM ISHARES-RUS IWM US 06/18/11 P83 -10.1 20.4 2.27 12.4 23300
TROW T ROWE PRIC TROW US 06/18/11 P60 -10.1 23.8 1.75 20.7 662
IWM ISHARES-RUS IWM US 06/18/11 P84 -10.1 19.7 2.99 15.0 3023
TZA SMALL CAP B TZA US 06/18/11 C33 -10.1 55.2 4.45 20.3 828
VXX IPATH-S&P S VXX US 06/18/11 C22 -10.1 52.2 1.08 -13.6 749
FXC CRYSHS-CAN FXC US 06/18/11 C103 -10.0 7.8 0.20 -20.0 760
x - Ex-dividend. * - Ex-earnings.
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