U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Sep 13, 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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HRBN HARBIN ELEC HRBN US 10/22/11 C10 25.6 106.8 10.00 0.0 417
SVM SILVERCORP SVM US 10/22/11 P3 20.8 270.3 0.40 66.7 458
ALU ALCATEL-LUC ALU US 01/21/12 C3 19.2 90.3 0.62 37.8 13712
SVM SILVERCORP SVM US 10/22/11 P4 17.6 254.9 0.70 100.0 478
SVM SILVERCORP SVM US 10/22/11 P6 15.6 224.0 1.50 66.7 2637
SVM SILVERCORP SVM US 10/22/11 P7 14.7 208.3 2.05 57.7 1173
SVM SILVERCORP SVM US 10/22/11 P5 14.2 232.0 1.10 83.3 1837
SVM SILVERCORP SVM US 10/22/11 C7 12.6 167.2 1.20 -33.3 307
AFFY AFFYMAX INC AFFY US 10/22/11 P4 11.7 84.3 0.15 -25.0 411
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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NETL NETLOGIC MI NETL US 04/21/12 C50 -66.6 5.6 0.25 -16.7 3356
ADTN ADTRAN INC ADTN US 11/19/11 P32 -25.4 45.5 3.50 -36.4 380
QID PROSHARES Q QID US 10/22/11 C49 -25.1 56.8 6.05 -16.6 216
ADTN ADTRAN INC ADTN US 11/19/11 P31 -22.1 46.8 2.85 58.3 234
C CITIGROUP I C1 US 01/21/12 P5 -22.1 40.7 2.30 -1.3 10560
IO ION GEOPHYS IO US 10/22/11 P6 -17.4 76.0 0.45 -18.2 815
LVLT LEVEL 3 COM LVLT US 12/17/11 P1.5 -14.9 78.7 0.25 0.0 1222
LDK LDK SOLAR C LDK US 12/17/11 P5 -14.9 218.5 2.05 -19.6 542
XRA EXETER RESO XRA US 10/22/11 C5 -14.3 89.5 0.60 -20.0 727
BBY BEST BUY CO BBY US 10/22/11 C24 -13.3 47.1 0.90 -56.7 1389
WBC WABCO HOLDI WBC US 10/22/11 P45 -12.5 58.4 2.55 -31.1 310
BBY BEST BUY CO BBY US 10/22/11 P22 -12.3 51.2 1.15 59.7 805
BBY BEST BUY CO BBY US 10/22/11 C23 -12.2 49.3 1.34 -52.8 325
BBY BEST BUY CO BBY US 10/22/11 P21 -11.9 53.6 0.80 45.5 1927
SPWRB SUNPOWER CO SPWRB US 10/22/11 C11 -11.9 58.3 0.90 100.0 337
YGE YINGLI GREE YGE US 10/22/11 P4 -11.8 86.8 0.35 -12.5 311
CORN TEUCRIUM CO CORN US 10/22/11 P47 -11.7 34.0 1.65 0.0 429
OPTR OPTIMER PHA OPTR US 10/22/11 C12.5 -11.5 51.7 1.25 78.6 245
CLD CLOUD PEAK CLD US 11/19/11 P20 -11.3 44.8 1.55 -32.6 248
CORN TEUCRIUM CO CORN US 10/22/11 P48 -11.2 34.4 2.10 8.2 517
ROYL ROYALE ENER ROYL US 03/17/12 C2.5 -11.2 79.6 0.60 -22.1 200
ADTN ADTRAN INC ADTN US 11/19/11 P28 -11.0 51.1 1.55 -42.6 420
BBY BEST BUY CO BBY US 10/22/11 P20 -11.0 56.3 0.53 39.5 1036
BPAX BIOSANTE PH BPAX US 10/22/11 P2.5 -10.8 96.4 0.25 -10.7 292
XRA EXETER RESO XRA US 11/19/11 C5 -10.6 85.6 0.85 0.0 427
BBY BEST BUY CO BBY US 10/22/11 P19 -10.5 59.2 0.35 34.6 237
UUP POWERSHARES UUP US 10/22/11 C21 -10.3 12.4 0.93 -6.1 349
EWG ISHARES-GER EWG US 04/21/12 P17 -10.1 45.8 2.05 -10.9 260
GLD SPDR GOLD T GLD US 09/30/11 P177 -10.0 32.2 4.85 -20.1 209
x - Ex-dividend. * - Ex-earnings.
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