U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Aug 30, 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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RIMM RESEARCH IN RIMM US 10/22/11 C20 123.2 87.2 12.30 22.4 312
CLGX CORELOGIC I CLGX US 10/22/11 C10 101.0 68.5 1.65 1000.0 973
AGU AGRIUM INC AGU US 09/17/11 C72.5 100.2 53.6 14.25 50.0 1000
CLGX CORELOGIC I CLGX US 01/21/12 C10 79.4 62.6 2.15 437.5 313
CLGX CORELOGIC I CLGX US 09/17/11 C10 76.5 83.5 1.50 2900.0 538
GMXR GMX RESOURC GMXR US 09/17/11 C2 60.0 147.7 0.85 0.0 306
SMH SEMICONDUCT SMH US 02/18/12 P30 53.6 27.9 2.70 10.2 460
MSCI MSCI INC-A MSCI US 12/17/11 C35 36.9 34.3 2.10 -4.5 300
CLGX CORELOGIC I CLGX US 09/17/11 P10 35.5 79.3 0.30 -70.0 317
BAC BANK OF AME BAC US 12/17/11 C3 30.0 114.5 5.15 4.0 300
BHI BAKER HUGHE BHI US 09/17/11 C50 28.1 66.7 8.95 5.9 1000
JCOM J2 GLOBAL C JCOM US 03/17/12 C25 27.8 38.5 6.82 0.0 756
DM DOLAN CO/TH DM US 04/21/12 C7.5 26.4 52.2 1.80 0.0 200
DM DOLAN CO/TH DM US 01/21/12 C7.5 21.0 52.8 1.55 3.3 350
XLU SPDR-UTIL S XLU US 03/17/12 C33 18.5 19.7 1.94 0.5 280
JDSU JDS UNIPHAS JDSU US 09/17/11 C11 17.2 88.8 2.40 49.1 281
SVM SILVERCORP SVM US 09/17/11 P7 15.5 168.9 0.50 0.0 760
MCP MOLYCORP IN MCP US 09/17/11 C52.5 15.4 80.6 6.50 64.6 446
SVM SILVERCORP SVM US 09/17/11 P9 14.8 150.8 1.30 -18.8 2860
SHAW SHAW GROUP SHAW US 09/17/11 C22 14.8 47.8 1.45 0.0 400
JDSU JDS UNIPHAS JDSU US 09/17/11 P12 14.6 79.4 0.41 -34.9 539
SVM SILVERCORP SVM US 12/17/11 P6 14.1 141.6 1.10 10.0 1726
BBBB BLACKBOARD BBBB US 01/21/12 P40 14.1 34.3 2.85 11.8 213
SVM SILVERCORP SVM US 09/17/11 C8 13.9 149.8 1.37 52.2 573
MCP MOLYCORP IN MCP US 09/17/11 P50 13.4 85.0 1.40 -26.3 584
SVM SILVERCORP SVM US 12/17/11 P7 13.0 132.6 1.50 7.1 808
SHLD SEARS HOLDI SHLD US 09/17/11 C30 12.9 136.0 29.50 2.8 689
JDSU JDS UNIPHAS JDSU US 09/17/11 C12 12.8 79.5 1.70 91.0 902
MCP MOLYCORP IN MCP US 09/17/11 C55 12.8 75.5 4.60 70.4 755
CALX CALIX INC CALX US 10/22/11 C12.5 12.6 73.0 2.80 69.7 279
ALXA ALEXZA PHAR ALXA US 03/17/12 C1 12.3 175.7 0.70 18.6 600
SVM SILVERCORP SVM US 01/21/12 P6 12.1 124.4 1.15 21.1 946
SVM SILVERCORP SVM US 10/22/11 P4 11.9 201.1 0.30 20.0 489
DAN DANA HOLDIN DAN US 09/17/11 P12 11.8 75.8 0.55 22.2 902
REE RARE ELEMEN REE US 09/17/11 C9 11.6 69.2 0.40 33.3 642
MCP MOLYCORP IN MCP US 09/17/11 C57.5 11.5 71.5 3.35 101.8 834
SVM SILVERCORP SVM US 12/17/11 P8 11.1 124.8 1.95 2.6 2533
PWER POWER-ONE I PWER US 09/17/11 C8 10.4 51.0 0.20 -20.0 477
JDSU JDS UNIPHAS JDSU US 09/17/11 C13 10.2 72.6 0.97 125.6 2076
SNDK SANDISK COR SNDK US 09/17/11 C38 10.0 53.5 1.30 -3.0 502
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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WINN WINN-DIXIE WINN US 09/17/11 P7.5 -36.2 59.5 0.60 0.0 524
BCRX BIOCRYST PH BCRX US 09/17/11 C3 -31.6 49.6 0.45 73.1 322
DG DOLLAR GENE DG US 09/17/11 C35 -31.4 30.0 1.30 52.9 1866
PMC PHARMERICA PMC US 09/17/11 C12.5 -27.4 36.0 1.75 16.7 495
EXK ENDEAVOUR S EXK US 09/17/11 C10 -19.6 54.7 2.15 22.9 205
HDB HDFC BANK-A HDB US 09/17/11 C34 -19.3 42.1 0.90 0.0 274
CNW CON-WAY INC CNW US 09/17/11 C25 -18.8 46.8 1.60 18.5 221
DBO POWERSHARES DBO US 09/17/11 C26 -16.0 32.6 0.85 0.0 688
BAC BANK OF AME BAC US 09/17/11 P7 -15.7 71.9 0.10 -28.6 27489
IMAX IMAX CORP IMAX US 09/17/11 C16 -15.2 84.4 2.00 -23.1 307
PLCM POLYCOM INC PLCM US 10/22/11 P23.75 -13.4 54.8 2.00 -16.7 662
YNDX YANDEX NV-A YNDX US 09/17/11 C31 -13.2 36.3 0.60 -20.0 282
DG DOLLAR GENE DG US 09/17/11 C30 -13.0 44.0 5.60 36.6 255
MWW MONSTER WOR MWW US 09/17/11 C7 -12.9 58.6 1.30 8.3 250
ZAGG ZAGG INC ZAGG US 09/17/11 C14 -12.3 66.8 1.85 15.6 247
YNDX YANDEX NV-A YNDX US 09/17/11 C30 -12.0 36.5 1.05 -12.5 6254
ANX ADVENTRX PH ANX US 10/22/11 C1 -12.0 120.8 0.20 -33.3 250
BAC BANK OF AME BAC US 09/17/11 C7 -11.9 74.4 1.32 -12.6 3162
T AT&T INC T US 09/17/11 C31 -11.7 16.6 0.06 20.0 391
REXX REX ENERGY REXX US 09/17/11 C12.5 -11.6 49.0 0.50 25.0 220
LDK LDK SOLAR C LDK US 09/17/11 C4 -11.3 94.5 1.98 -4.3 401
DBO POWERSHARES DBO US 10/22/11 C26 -11.2 33.6 1.35 -15.6 300
HOGS ZHONGPIN IN HOGS US 09/17/11 P5 -11.1 177.8 0.10 0.0 265
ZAGG ZAGG INC ZAGG US 09/17/11 C16 -10.8 64.9 0.70 7.7 442
AMLN AMYLIN PHAR AMLN US 09/17/11 C11 -10.8 47.9 0.50 28.2 1000
JBHT HUNT (JB) T JBHT US 09/17/11 P40 -10.3 37.0 1.20 0.0 200
EK EASTMAN KOD EK US 10/22/11 C2 -10.2 103.5 1.24 13.8 235
EXXI ENERGY XXI EXXI US 09/17/11 P21 -10.1 73.4 0.20 0.0 216
x - Ex-dividend. * - Ex-earnings.
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