U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Jul 7, 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
=============================================================================
AMKR AMKOR TECH AMKR US 08/20/11 C6 69.7 70.5 0.75 59.6 16656
AMKR AMKOR TECH AMKR US 09/17/11 C6 39.6 62.0 0.90 100.0 909
C CITIGROUP I C1 US 01/21/12 C2.5 36.9 45.1 1.77 7.3 10364
AMKR AMKOR TECH AMKR US 08/20/11 P5 34.6 71.7 0.09 0.0 300
AMKR AMKOR TECH AMKR US 09/17/11 P5 31.8 59.8 0.15 36.4 357
MHGC MORGANS HOT MHGC US 10/22/11 C5 29.9 66.4 2.80 9.8 300
UTHR UNITED THER UTHR US 08/20/11 C55 23.3 29.9 2.25 12.5 313
SQNM SEQUENOM IN SQNM US 08/20/11 C7 17.7 54.8 1.15 47.4 588
AEO AMER EAGLE AEO US 08/20/11 C12 15.9 42.5 2.29 69.6 837
HUM HUMANA INC HUM US 11/19/11 C65 15.6 35.8 17.70 9.3 420
NLY ANNALY CAPI NLY US 10/22/11 C17 15.5 16.0 1.59 11.2 702
TGT TARGET CORP TGT US 08/20/11 P45 13.9 27.9 0.18 -64.0 565
TGT TARGET CORP TGT US 08/20/11 P48 13.0 24.5 0.53 -63.7 687
VXX IPATH-S&P S VXX US 08/20/11 C19 12.5 57.8 2.10 -14.3 275
RE EVEREST RE RE US 08/20/11 C80 12.2 21.2 4.40 25.7 400
TGT TARGET CORP TGT US 08/20/11 C48 12.1 24.6 4.05 154.7 2098
SIGA SIGA TECH I SIGA US 09/17/11 P9 11.5 95.3 1.35 22.7 846
ABAX ABAXIS INC ABAX US 08/20/11 P25 11.2 52.4 0.35 -50.0 208
WYNN WYNN RESORT WYNN US 01/21/12 C82 11.1 59.5 75.92 16.7 2786
TGT TARGET CORP TGT US 08/20/11 P49 11.0 23.6 0.76 -60.0 723
TGT TARGET CORP TGT US 08/20/11 P50 10.9 22.9 1.05 -55.5 538
TGT TARGET CORP TGT US 10/22/11 P30 10.7 44.2 0.03 -50.0 247
EMKR EMCORE CORP EMKR US 12/17/11 C2.5 10.6 78.9 0.80 -5.9 1000
TZA SMALL CAP B TZA US 10/22/11 C25 10.6 52.6 6.85 -19.4 332
S SPRINT NEXT S US 08/20/11 C5 10.6 44.2 0.80 29.0 502
CPN CALPINE COR CPN US 01/21/12 C14 10.4 35.0 2.85 0.0 200
UPS UNITED PARC UPS US 08/20/11 C70 10.2 20.3 5.25 6.1 363
TGT TARGET CORP TGT US 08/20/11 C50 10.1 22.9 2.38 217.3 510
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
APAC APAC CUSTOM APAC US 12/17/11 P8 -79.8 9.0 0.05 0.0 3110
REV REVLON INC- REV US 08/20/11 C17.5 -28.4 44.9 1.40 40.0 511
AIR AAR CORP AIR US 08/20/11 C30 -26.6 26.7 1.00 17.6 357
EXAS EXACT SCIEN EXAS US 08/20/11 P9 -19.8 45.5 0.60 0.0 519
EXEL EXELIXIS IN EXEL US 08/20/11 P8 -19.6 68.0 0.40 -20.0 272
EXEL EXELIXIS IN EXEL US 08/20/11 C9 -19.1 63.6 0.90 -14.3 373
GEN GENON ENERG GEN US 08/20/11 C4 -18.9 32.7 0.15 50.0 212
GOK GEOKINETICS GOK US 08/20/11 C5 -18.2 63.5 2.32 -7.2 211
ARLP ALLIANCE RE ARLP US 09/17/11 C80 -17.3 23.5 3.00 20.0 272
JBLU JETBLUE AIR JBLU US 08/20/11 C6 -16.9 32.4 0.25 -16.7 504
CSE CAPITALSOUR CSE US 08/20/11 P6 -16.4 34.9 0.20 -50.0 244
MILL MILLER ENER MILL US 08/20/11 C5 -14.5 69.9 1.95 -2.5 300
EXEL EXELIXIS IN EXEL US 08/20/11 P9 -14.4 68.4 0.75 -25.0 308
LVLT LEVEL 3 COM LVLT US 01/21/12 C2 -14.0 46.2 0.70 7.7 445
EPU ISHARES MSC EPU US 01/21/12 C40 -12.6 30.6 2.98 4.6 275
ARLP ALLIANCE RE ARLP US 08/20/11 P75 -11.5 30.1 2.00 -31.5 200
RIG TRANSOCEAN RIG US 08/20/11 P52.5 -11.2 40.2 0.54 -36.5 393
SIRI SIRIUS XM R SIRI US 08/20/11 C2 -11.2 50.7 0.29 11.5 5160
SD SANDRIDGE E SD US 09/17/11 P6 -11.1 72.1 0.04 -50.0 200
OSG OVERSEAS SH OSG US 10/22/11 P27 -11.1 34.2 2.70 3.9 505
MERC MERCER INTE MERC US 08/20/11 C10 -10.4 50.1 1.50 15.4 663
PMI PMI GROUP I PMI US 09/17/11 P1.5 -10.3 91.7 0.25 -28.6 400
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net