U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Aug 11, 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
=============================================================================
CYS CYPRESS SHA CYS US 09/17/11 P12.5 57.7 21.5 0.30 0.0 556
C CITIGROUP I C1 US 09/17/11 P4 54.5 56.4 1.12 1.8 226
TEF TELEFONICA- TEF US 03/17/12 P17.5 38.3 37.7 1.90 31.0 256
ARR ARMOUR RESI ARR US 10/22/11 P7.5 34.7 28.3 0.50 -23.1 340
XLY SPDR-CONS D XLY US 09/17/11 P36 34.4 39.5 2.80 5.7 3544
OGZPY GAZPROM-ADR GAZ GR 10/22/11 C10.5 34.0 51.1 1.30 75.7 300
OGZPY GAZPROM-ADR GAZ GR 10/22/11 C11 32.1 49.8 0.89 71.2 200
CSCO CISCO SYSTE CSCO US 09/17/11 C10 30.8 92.1 6.00 50.0 206
APO APOLLO GLOB APO US 09/17/11 P12.5 29.6 83.5 1.10 46.7 486
SPY SPDR S&P 50 SPY US 09/17/11 P121 27.7 30.1 8.00 -19.5 3196
QQQ POWERSH-QQQ QQQ US 09/17/11 P55 24.4 30.8 3.51 -25.0 720
SPY SPDR S&P 50 SPY US 09/17/11 P120 24.4 31.3 7.64 -24.9 13176
FSL FREESCALE S FSL US 09/17/11 P12.5 23.2 80.3 1.10 0.0 200
KRO KRONOS WORL KRO US 09/17/11 P20 22.4 87.3 1.30 0.0 1210
CIM CHIMERA INV CIM US 09/17/11 P3 22.4 64.4 0.20 0.0 6400
TWM PROSHARES U TWM US 09/17/11 C55 21.5 91.1 7.60 -15.3 356
IAU ISHARES GOL IAU US 10/22/11 C16 21.3 30.2 1.50 -11.8 256
SDRL SEADRILL LT SDRL US 09/17/11 P30 21.1 55.4 3.20 -8.6 1220
DXD PROSHARES U DXD US 10/22/11 C22 21.1 65.1 2.15 -2.3 208
C CITIGROUP I C1 US 01/21/12 P5 20.0 46.1 2.09 -0.5 720
XLF SPDR-FINL S XLF US 01/19/13 P10 18.4 41.1 1.22 -4.7 6228
DRYS DRYSHIPS IN DRYS US 09/17/11 C1 18.1 238.4 1.59 4.6 266
SPY SPDR S&P 50 SPY US 09/17/11 P118 18.0 33.0 6.69 -23.1 2802
UNG US NAT GAS UNG1 US 01/21/12 P10 18.0 49.1 5.00 0.0 2000
AFG AMER FINL G AFG US 03/17/12 C30 17.9 27.6 3.20 0.0 400
XLB SPDR-MATERI XLB US 09/17/11 P35 17.6 34.9 2.52 -22.5 1208
SPY SPDR S&P 50 SPY US 09/30/11 P120 17.5 29.6 9.69 -5.1 3022
SPY SPDR S&P 50 SPY US 09/17/11 P119 17.3 31.5 7.02 -24.4 856
BEXP BRIGHAM EXP BEXP US 09/17/11 P27 17.2 71.4 2.20 -17.0 696
QQQ POWERSH-QQQ QQQ US 09/17/11 P54 16.9 32.1 3.03 -27.3 1446
SRZ SUNRISE SEN SRZ US 10/22/11 P5 15.1 109.9 0.55 120.0 2886
JNK SPDR BARCLA JNK US 09/17/11 P38 14.8 22.5 1.55 13.1 1002
IRDM IRIDIUM COM IRDM US 01/21/12 P5 14.7 61.2 0.20 0.0 2438
SPY SPDR S&P 50 SPY US 09/30/11 P119 14.5 30.0 9.05 0.6 204
SPY SPDR S&P 50 SPY US 09/17/11 P117 13.8 33.2 6.02 -18.9 5894
SPY SPDR S&P 50 SPY US 10/22/11 P120 13.2 28.3 8.68 -20.8 390
SPY SPDR S&P 50 SPY US 09/30/11 P118 13.0 30.8 8.50 0.0 200
ITUB ITAU UNIBAN ITUB US 09/17/11 P16 12.9 67.3 1.05 10.5 14872
QQQ POWERSH-QQQ QQQ US 09/17/11 P53 12.9 33.7 2.55 -25.9 1578
BEXP BRIGHAM EXP BEXP US 09/17/11 P26 12.7 70.8 1.75 -30.0 344
MOBI SKY-MOBI LT MOBI US 09/17/11 P5 12.6 188.9 1.10 10.0 1038
AFG AMER FINL G AFG US 03/17/12 P30 12.3 27.0 2.15 0.0 800
BEXP BRIGHAM EXP BEXP US 10/22/11 P25 11.9 68.2 2.05 -4.7 332
ACW ACCURIDE CO ACW US 01/21/12 C7.5 11.8 76.1 1.65 22.2 870
XLF SPDR-FINL S XLF US 01/19/13 P11 11.5 38.8 1.67 3.7 814
ACGL ARCH CAPITA ACGL US 09/17/11 P26.67 11.4 45.6 0.25 0.0 1340
ITUB ITAU UNIBAN ITUB US 09/17/11 P15 11.4 72.6 0.75 -6.2 292
SNY SANOFI-ADR SNY US 12/17/11 P25 11.2 48.8 0.80 0.0 382
PHM PULTEGROUP PHM US 10/22/11 P3 11.0 87.0 0.15 1400.0 740
ASIA ASIAINFO-LI ASIA US 10/22/11 P9 10.9 159.3 1.75 -7.9 300
XLV SPDR-HEALTH XLV US 12/17/11 P32 10.8 22.0 2.65 -9.9 8000
FXA CRYSHS-AUS FXA US 09/17/11 C102 10.7 19.3 2.70 12.5 224
SPY SPDR S&P 50 SPY US 10/22/11 P119 10.6 28.7 8.40 -15.8 380
APKT ACME PACKET APKT US 09/17/11 P47.5 10.3 80.7 3.20 -20.0 536
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
XLY SPDR-CONS D XLY US 09/17/11 P29 -50.3 55.7 0.41 -16.3 572
AMJ JPM-ALERIAN AMJ US 09/17/11 C33 -42.2 16.1 3.00 -6.2 200
XLY SPDR-CONS D XLY US 09/17/11 C34 -40.9 44.6 2.30 19.2 6618
EEM ISHARES-EMG EEM US 06/16/12 P25 -39.8 47.5 0.96 -11.9 420
XLF SPDR-FINL S XLF US 01/21/12 C9 -39.5 57.5 4.00 -50.9 360
XLU SPDR-UTIL S XLU US 09/17/11 C31 -39.4 26.2 1.02 -3.8 252
XLY SPDR-CONS D XLY US 09/17/11 P32 -38.7 48.2 0.89 -16.0 980
CSCO CISCO SYSTE CSCO US 09/17/11 C16 -35.3 36.4 0.78 178.6 45452
XLY SPDR-CONS D XLY US 09/17/11 C35 -34.7 42.2 1.84 26.9 11386
HAL HALLIBURTON HAL US 10/22/11 C25 -34.6 63.3 19.19 -2.6 200
XLY SPDR-CONS D XLY US 09/17/11 P33 -33.7 45.8 1.08 -18.8 320
CMO CAPSTEAD MO CMO US 02/18/12 C10 -33.6 26.9 2.80 40.0 400
XLY SPDR-CONS D XLY US 01/21/12 C37 -33.4 29.6 1.67 1.2 364
XLY SPDR-CONS D XLY US 09/17/11 C36 -32.9 40.6 1.32 57.1 20380
CSCO CISCO SYSTE CSCO US 09/17/11 C15 -32.2 39.0 1.42 163.0 39864
CSCO CISCO SYSTE CSCO US 09/17/11 P16 -30.8 37.8 0.72 -71.1 10568
SDS PROSHARES U SDS US 09/17/11 C20 -30.2 38.5 5.95 -19.6 270
CSCO CISCO SYSTE CSCO US 09/17/11 P15 -28.2 40.6 0.37 -79.3 12890
CSCO CISCO SYSTE CSCO US 09/17/11 C14 -27.6 42.9 2.23 147.8 5732
TWO TWO HARBORS TWO US 12/17/11 C10 -25.4 26.1 0.35 0.0 200
FXEN FX ENERGY I FXEN US 09/17/11 C5 -24.6 92.1 1.15 4.5 202
TOT TOTAL SA-SP TOT US 09/17/11 C40 -24.4 49.1 5.60 -6.7 316
NLY ANNALY CAPI NLY US 01/21/12 C14 -23.5 35.3 3.89 45.7 400
CSCO CISCO SYSTE CSCO US 09/17/11 C13 -22.5 47.7 3.20 122.2 2202
S SPRINT NEXT S US 09/17/11 P2 -22.5 105.3 0.04 0.0 282
HTS HATTERAS FI HTS US 09/17/11 C28 -22.3 26.6 1.00 53.9 200
CSCO CISCO SYSTE CSCO US 09/17/11 C12 -22.1 50.1 4.20 94.4 404
PPC PILGRIM'S P PPC US 09/17/11 C2.5 -22.0 99.3 0.80 -15.8 208
FXF CRYSHS-SWIS FXF US 09/17/11 P112 -21.9 25.4 0.10 0.0 200
LIFE LIFE TECHNO LIFE US 09/17/11 C35 -21.8 45.5 4.10 0.0 500
XLY SPDR-CONS D XLY US 09/17/11 P35 -21.7 41.5 1.90 -15.6 4812
CSR CHINA SECUR CSR US 09/17/11 P5 -21.5 106.7 0.40 -34.4 2904
SODA SODASTREAM SODA US 09/17/11 P45 -20.0 106.3 6.50 233.3 398
ATPG ATP OIL & G ATPG US 09/17/11 C9 -18.8 131.5 2.10 19.3 230
CSCO CISCO SYSTE CSCO US 10/22/11 P16 -18.3 37.0 1.02 -60.5 4158
CSCO CISCO SYSTE CSCO US 10/22/11 C15 -18.0 38.9 1.68 158.5 4736
NVDA NVIDIA CORP NVDA US 09/17/11 P5 -17.4 140.7 0.02 0.0 360
JAG JAGUAR MINI JAG US 09/17/11 C5 -17.0 79.6 0.75 7.1 600
CMO CAPSTEAD MO CMO US 02/18/12 C12.5 -16.9 25.9 0.85 13.3 614
E ENI SPA-ADR E US 09/17/11 C35 -16.6 40.5 2.10 -10.6 222
VSEA VARIAN SEMI VSEA US 02/18/12 P50 -16.6 30.9 1.75 -14.6 626
CSCO CISCO SYSTE CSCO US 10/22/11 P15 -16.6 38.8 0.63 -67.7 8070
TOT TOTAL SA-SP TOT US 11/19/11 C40 -16.4 43.0 7.10 -1.4 798
EEM ISHARES-EMG EEM US 09/17/11 P20 -16.1 89.5 0.03 -25.0 482
CSCO CISCO SYSTE CSCO US 09/17/11 P13 -15.9 50.2 0.10 -86.1 2336
ACH ALUMINUM CO ACH US 09/17/11 C18 -15.7 56.7 1.15 -30.3 434
SODA SODASTREAM SODA US 01/21/12 P35 -15.7 88.6 6.00 87.5 438
DBA POWERSHARES DBA US 09/17/11 C28 -15.6 33.7 4.45 -1.1 4000
OSG OVERSEAS SH OSG US 09/17/11 P13 -15.2 85.3 0.35 0.0 318
CSCO CISCO SYSTE CSCO US 11/19/11 C16 -14.8 38.2 1.31 151.9 7614
ATPG ATP OIL & G ATPG US 09/17/11 C10 -14.6 134.4 1.45 11.5 284
QQQ POWERSH-QQQ QQQ US 09/17/11 C44 -14.6 48.0 8.71 -2.0 286
TWER TOWERSTREAM TWER US 09/17/11 C2.5 -14.4 105.8 0.90 -57.1 500
EPP ISHARES MSC EPP US 09/17/11 P37 -14.2 53.5 0.90 0.0 204
SPY SPDR S&P 50 SPY US 09/17/11 C100 -14.1 45.3 16.35 12.8 376
DRYS DRYSHIPS IN DRYS US 01/21/12 C1 -14.0 132.0 1.64 2.5 746
INFA INFORMATICA INFA US 09/17/11 C47.5 -14.0 48.9 2.30 -6.1 200
QQQ POWERSH-QQQ QQQ US 09/17/11 C45 -13.8 46.2 8.29 23.6 322
MMP MAGELLAN MI MMP US 09/17/11 C60 -13.8 22.3 1.15 21.1 350
ATPG ATP OIL & G ATPG US 09/17/11 P9 -13.7 146.2 1.55 -18.9 1064
CSCO CISCO SYSTE CSCO US 10/22/11 C14 -13.5 41.9 2.38 124.5 2492
VXX IPATH-S&P S VXX US 09/17/11 P27 -13.3 100.6 1.27 -19.1 422
NLY ANNALY CAPI NLY US 01/21/12 C15 -13.2 31.4 3.00 8.7 200
CSCO CISCO SYSTE CSCO US 11/19/11 P16 -13.1 38.3 1.25 -53.2 8840
VXX IPATH-S&P S VXX US 09/17/11 P26 -13.0 99.9 1.03 -16.3 588
CHU CHINA UNICO CHU US 10/22/11 C19 -13.0 39.3 1.00 -41.9 220
BCS BARCLAYS PL BCS US 09/17/11 C10 -12.9 107.6 2.30 17.9 1534
LNCR LINCARE HOL LNCR US 09/17/11 C20 -12.9 42.7 1.90 0.0 1000
XOP SPDR OIL&GA XOP US 09/17/11 P52 -12.5 50.4 3.95 -21.8 12912
VXX IPATH-S&P S VXX US 09/17/11 P30 -12.5 104.8 2.55 -5.6 1714
UCO PRSH-ULT CR UCO US 09/17/11 C26 -12.4 100.0 7.20 1.4 5048
VXX IPATH-S&P S VXX US 09/17/11 P24 -12.4 97.9 0.56 -21.1 556
VXX IPATH-S&P S VXX US 09/17/11 P28 -12.3 102.2 1.69 -11.1 838
HBC HSBC HOLDIN HBC US 09/17/11 P41 -12.2 49.4 1.81 -27.6 306
VXX IPATH-S&P S VXX US 09/17/11 P25 -12.2 99.1 0.75 -22.7 714
QQQ POWERSH-QQQ QQQ US 09/17/11 C47 -12.2 43.0 6.34 16.8 574
VXX IPATH-S&P S VXX US 09/17/11 P21 -12.1 95.6 0.21 -16.0 372
XLY SPDR-CONS D XLY US 09/17/11 C37 -12.1 37.7 0.85 28.8 816
HK PETROHAWK E HK US 12/17/11 P38 -12.0 7.3 0.45 -40.0 204
FAZ FINANCIAL B FAZ US 09/17/11 P67 -11.9 156.9 13.85 6.1 272
CSCO CISCO SYSTE CSCO US 01/21/12 C16 -11.9 35.9 1.50 120.6 12290
VXX IPATH-S&P S VXX US 09/17/11 P20 -11.8 96.7 0.14 -30.0 598
VXX IPATH-S&P S VXX US 09/17/11 P22 -11.8 95.6 0.24 -40.0 496
CSCO CISCO SYSTE CSCO US 11/19/11 C15 -11.8 40.3 1.91 141.8 3472
SPY SPDR S&P 50 SPY US 09/17/11 C106 -11.7 40.9 11.60 8.1 1194
VXX IPATH-S&P S VXX US 09/17/11 C28 -11.7 99.0 8.20 -9.9 224
ABV AMBEV-PRF A ABV US 09/17/11 C31 -11.7 36.7 1.15 109.1 924
VXX IPATH-S&P S VXX US 09/17/11 P29 -11.6 103.8 2.07 -7.2 890
STD BANCO SANTA STD US 09/17/11 C8 -11.6 104.1 1.45 31.8 3862
NWS NEWS CORP-B NWS US 09/17/11 C17 -11.5 44.6 0.75 275.0 314
VXX IPATH-S&P S VXX US 09/17/11 P23 -11.5 97.4 0.43 -20.4 348
FAZ FINANCIAL B FAZ US 09/17/11 C54 -11.4 135.0 16.05 -15.2 3028
ARCO ARCOS DORAD ARCO US 02/18/12 C15 -11.4 49.6 8.43 31.7 976
CX CEMEX SAB-S CX US 09/17/11 C5 -11.3 83.8 0.58 -9.4 274
VIA/B VIACOM INC- VIAB US 09/17/11 C44 -11.2 46.0 2.42 -12.9 240
FXI ISHARES FTS FXI US 09/17/11 P37 -11.2 37.5 2.07 -21.9 2158
FAZ FINANCIAL B FAZ US 09/17/11 C55 -11.2 141.8 19.60 -8.4 2000
GLD SPDR GOLD T GLD US 09/17/11 C150 -11.1 31.1 21.90 -13.1 784
SPY SPDR S&P 50 SPY US 09/17/11 C107 -11.1 40.3 10.81 21.1 1144
PWER POWER-ONE I PWER US 09/17/11 C7 -11.1 57.8 0.55 -8.3 2568
BEXP BRIGHAM EXP BEXP US 09/17/11 C26 -10.9 72.5 3.20 42.2 394
FXF CRYSHS-SWIS FXF US 09/17/11 P120 -10.9 23.2 0.70 180.0 236
QQQ POWERSH-QQQ QQQ US 09/17/11 C48 -10.9 41.6 5.52 26.9 1562
XLF SPDR-FINL S XLF US 09/17/11 C13 -10.9 50.2 0.62 21.6 13304
WFC WELLS FARGO WFC US 01/19/13 C20 -10.9 50.7 6.90 4.5 318
BUD ANHEUSER-SP BUD US 09/17/11 C50 -10.9 43.4 3.10 6.9 1770
CVE CENOVUS ENE CVE US 12/17/11 C35 -10.9 43.8 3.20 2.9 324
CSCO CISCO SYSTE CSCO US 11/19/11 P15 -10.8 40.1 0.79 -59.1 5608
XRX XEROX CORP XRX US 10/22/11 C6 -10.7 61.6 2.08 -55.7 200
QQQ POWERSH-QQQ QQQ US 10/22/11 C46 -10.6 39.7 7.33 10.9 610
MPEL MELCO CROWN MPEL US 01/21/12 C10 -10.6 87.4 4.18 13.0 214
VXX IPATH-S&P S VXX US 09/17/11 P35 -10.6 111.7 5.33 -1.3 386
QQQ POWERSH-QQQ QQQ US 09/17/11 C46 -10.6 45.9 7.35 3.5 238
CSCO CISCO SYSTE CSCO US 10/22/11 C13 -10.5 44.9 3.30 111.5 454
WM WASTE MANAG WM US 09/17/11 C27 -10.5 53.1 3.00 -3.2 258
QQQ POWERSH-QQQ QQQ US 09/17/11 C49 -10.5 39.9 4.65 29.2 2700
VXX IPATH-S&P S VXX US 09/17/11 P32 -10.5 108.4 3.55 -6.6 508
CSR CHINA SECUR CSR US 03/17/12 P5 -10.4 65.1 0.65 -27.8 304
WNR WESTERN REF WNR US 09/17/11 C16 -10.4 90.0 1.70 36.0 586
GE GENERAL ELE GE US 03/17/12 C12 -10.4 47.6 3.65 0.0 256
NYX NYSE EURONE NYX US 09/17/11 C24 -10.3 55.2 3.40 0.0 5000
GLD SPDR GOLD T GLD US 01/21/12 C120 -10.3 28.9 51.25 -6.0 286
X US STEEL CO X US 09/17/11 C27 -10.3 71.5 4.00 0.0 284
HUM HUMANA INC HUM US 09/17/11 C65 -10.3 51.8 8.30 15.3 368
AAP ADVANCE AUT AAP US 09/17/11 P50 -10.3 42.8 1.20 -59.3 516
FAZ FINANCIAL B FAZ US 10/22/11 P66 -10.3 142.9 16.40 -2.7 306
MPEL MELCO CROWN MPEL US 10/22/11 C12 -10.2 97.4 2.20 10.0 220
CBG CB RICHARD CBG US 09/17/11 C17 -10.2 74.7 1.45 0.0 25910
QQQ POWERSH-QQQ QQQ US 10/22/11 C47 -10.2 38.4 6.77 19.0 930
ATPG ATP OIL & G ATPG US 09/17/11 P7.5 -10.1 160.1 0.91 -24.2 504
EEM ISHARES-EMG EEM US 09/17/11 C42 -10.1 39.7 1.49 31.9 1116
NWS NEWS CORP-B NWS US 10/22/11 C17 -10.0 42.3 1.05 200.0 820
x - Ex-dividend. * - Ex-earnings.
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