U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Sep 20, 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
=============================================================================
AGNC AMERICAN CA AGNC US 11/19/11 C30 83.6 20.3 0.26 -13.3 853
VRML VERMILLION VRML US 10/22/11 C2.5 54.1 208.1 1.10 46.7 220
XME SPDR S&P ME XME US 10/22/11 C55 33.1 43.6 2.54 -15.3 380
AMR AMR CORP AMR US 10/22/11 C3 28.4 101.1 0.68 33.3 23393
COOL MAJESCO ENT COOL US 10/22/11 C2.5 28.1 100.2 0.25 25.0 341
VRML VERMILLION VRML US 01/21/12 C2.5 24.6 177.7 1.60 33.3 436
AMJ JPM-ALERIAN AMJ US 10/22/11 C36 22.4 21.4 0.80 45.5 1005
JAZZ JAZZ PHARMA JAZZ US 10/22/11 C43 22.3 60.9 4.60 80.4 351
BVN BUENAVENTUR BVN US 10/22/11 P46 22.1 46.5 1.80 -45.8 200
AGNC AMERICAN CA AGNC US 10/22/11 C28 20.3 32.9 1.44 -4.0 439
SRCL STERICYCLE SRCL US 11/19/11 C75 19.4 33.6 10.40 40.5 206
CERN CERNER CORP CERN US 11/19/11 P70 18.8 39.2 4.40 0.0 389
RGC REGAL ENTER RGC US 10/22/11 C12.5 17.9 43.8 1.00 42.9 240
FII FEDERATED I FII US 11/19/11 C17.5 17.0 36.5 0.75 0.0 215
AMR AMR CORP AMR US 10/22/11 P3 16.7 95.6 0.16 0.0 1071
USB US BANCORP USB US 10/22/11 C20 16.6 55.4 3.93 0.5 2200
BIDU BAIDU INC-S BIDU US 10/22/11 C95 16.5 80.1 51.85 0.3 217
NFLX NETFLIX INC NFLX US 01/21/12 P45 15.6 110.2 0.85 142.9 533
AMR AMR CORP AMR US 10/22/11 P2.5 15.3 110.2 0.08 33.3 392
MCD MCDONALDS C MCD US 10/22/11 P60 15.2 56.2 0.02 0.0 216
GM GENERAL MOT GM US 01/19/13 C13 15.1 52.4 10.70 8.1 3000
TSLA TESLA MOTOR TSLA US 10/22/11 C25 15.0 54.9 2.20 46.7 200
BPI BRIDGEPOINT BPI US 10/22/11 P20 14.8 78.3 1.45 26.1 908
AMR AMR CORP AMR US 11/19/11 C3 14.5 90.1 0.75 -6.2 563
NFLX NETFLIX INC NFLX US 01/21/12 P50 14.5 108.4 1.15 134.7 635
WPRT WESTPORT IN WPRT US 10/22/11 C30 14.5 68.4 4.50 18.4 230
TSLA TESLA MOTOR TSLA US 12/17/11 C26 14.4 60.3 3.00 7.1 2572
MNTA MOMENTA PHA MNTA US 03/17/12 P10 13.9 73.4 1.20 71.4 410
AMR AMR CORP AMR US 11/19/11 C3.5 13.5 81.1 0.45 15.4 453
AGNC AMERICAN CA AGNC US 10/22/11 C27 13.3 46.9 2.43 -4.7 1262
NFLX NETFLIX INC NFLX US 10/22/11 P105 13.3 100.7 3.65 97.3 1084
AMR AMR CORP AMR US 10/22/11 C3.5 13.3 80.8 0.34 54.5 2058
MCP MOLYCORP IN MCP US 10/22/11 C45 13.1 81.6 3.40 -64.8 1489
PNRA PANERA BREA PNRA US 10/22/11 P120 12.9 37.6 5.20 -41.2 252
HLS HEALTHSOUTH HLS US 10/22/11 P15 12.8 67.3 1.05 425.0 1366
HRBN HARBIN ELEC HRBN US 03/17/12 C21 12.6 41.3 2.30 0.0 341
CRNT CERAGON NET CRNT US 03/17/12 C7.5 12.6 57.1 3.15 5.0 500
NFLX NETFLIX INC NFLX US 10/22/11 P110 12.2 98.6 4.81 88.6 812
UUP POWERSHARES UUP US 12/17/11 C21 11.5 13.4 1.07 3.9 9620
RENN RENREN INC- RENN US 10/22/11 P6 11.4 107.2 0.85 21.4 3308
HLS HEALTHSOUTH HLS US 11/19/11 C15 11.3 67.6 1.80 0.0 256
SUG SOUTHERN UN SUG US 10/22/11 C42.5 11.3 15.3 0.55 57.1 3506
UUP POWERSHARES UUP US 12/17/11 P19 11.3 15.5 0.01 -50.0 246
BMY BRISTOL-MYE BMY US 11/19/11 C31 11.1 22.6 1.07 24.4 1113
NFLX NETFLIX INC NFLX US 10/22/11 P115 11.0 96.1 5.94 67.3 1388
MCP MOLYCORP IN MCP US 10/22/11 P45 10.6 81.0 5.15 273.2 1235
SPWRA SUNPOWER CO SPWRA US 12/17/11 C5 10.2 107.5 5.90 -1.7 200
NFLX NETFLIX INC NFLX US 10/22/11 P120 10.0 94.5 7.45 58.5 1585
NEM NEWMONT MIN NEM US 10/22/11 C60 10.0 42.0 10.25 36.7 205
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
SCOK SINOCOKING SCOK US 10/22/11 C2.5 -73.8 114.9 0.65 0.0 768
PPDI PHARM PROD PPDI US 10/22/11 C27.5 -31.6 52.4 1.25 -13.8 307
AZO AUTOZONE IN AZO US 10/22/11 C340 -23.9 22.1 4.50 -43.8 257
TEN TENNECO INC TEN US 10/22/11 P32 -23.3 54.3 2.35 -13.0 3922
SOMX SOMAXON PHA SOMX US 11/19/11 C1 -22.8 72.3 0.20 -33.3 230
AZO AUTOZONE IN AZO US 10/22/11 C330 -22.4 23.3 8.30 -35.2 213
XME SPDR S&P ME XME US 10/22/11 P41 -22.0 66.6 0.30 -3.2 288
T AT&T INC T US 11/19/11 C26 -22.0 23.5 2.96 5.7 200
HLS HEALTHSOUTH HLS US 10/22/11 P12.5 -21.0 76.0 0.25 0.0 784
WEN WENDY'S CO/ WEN US 10/22/11 P5 -19.7 31.9 0.20 -20.0 800
WAVX WAVE SYSTEM WAVX US 10/22/11 C2.5 -19.7 65.4 0.15 50.0 280
TRH TRANSATLANT TRH US 10/22/11 C50 -18.9 23.0 0.41 -41.4 656
NGD NEW GOLD IN NGD US 10/22/11 C11 -17.6 53.6 2.85 7.5 2022
MNTA MOMENTA PHA MNTA US 10/22/11 P12 -16.8 79.1 1.35 12.5 913
WES WESTERN GAS WES US 11/19/11 C35 -16.0 24.1 1.75 -23.9 374
RAH RALCORP HLD RAH US 10/22/11 P75 -16.0 33.1 2.55 -25.0 540
T AT&T INC T US 01/18/14 C20 -14.9 29.5 9.00 3.5 400
EK EASTMAN KOD EK US 10/22/11 C2.5 -13.9 90.9 0.40 -4.8 839
LVLT LEVEL 3 COM LVLT US 12/17/11 C1.5 -13.7 55.8 0.25 25.0 300
TYC TYCO INTL L TYC US 10/22/11 C47 -13.4 32.2 1.01 1.0 6210
CAG CONAGRA FOO CAG US 10/22/11 P23 -13.1 25.4 0.65 18.2 217
WPZ WILLIAMS PA WPZ US 10/22/11 C55 -12.5 28.2 2.35 20.5 282
MU MICRON TECH MU US 01/19/13 C2.5 -12.1 74.2 4.70 -3.1 326
TYC TYCO INTL L TYC US 10/22/11 C46 -12.1 32.4 1.30 -13.3 1710
EP EL PASO COR EP US 10/22/11 C20 -11.7 34.2 0.59 3.5 516
CLGX CORELOGIC I CLGX US 10/22/11 C12.5 -11.6 62.4 0.60 0.0 1968
UNG US NAT GAS UNG US 01/21/12 P6 -11.5 38.1 0.01 0.0 864
MTL MECHEL-SPON MTL US 10/22/11 C15 -11.2 50.9 0.80 -20.0 650
CCL CARNIVAL CO CCL US 11/19/11 P33 -11.1 42.6 1.80 -36.8 552
SFE SAFEGUARD S SFE US 10/22/11 C15 -11.0 53.2 1.00 0.0 300
SIRI SIRIUS XM R SIRI US 10/22/11 C1.5 -11.0 70.4 0.35 2.9 248
EP EL PASO COR EP US 10/22/11 C19 -11.0 36.9 1.10 0.0 1027
NCT NEWCASTLE I NCT US 10/22/11 C5 -10.9 65.2 0.35 -56.2 200
O REALTY INCO O US 10/22/11 C35 -10.9 23.7 0.70 -6.7 252
BVN BUENAVENTUR BVN US 10/22/11 C47 -10.5 38.1 1.60 10.3 1318
TYC TYCO INTL L TYC US 10/22/11 C45 -10.5 33.2 1.68 -6.7 470
EWG ISHARES-GER EWG US 10/22/11 C20 -10.4 45.0 0.75 7.1 897
MCP MOLYCORP IN MCP US 10/22/11 P25 -10.0 111.6 0.22 69.2 459
x - Ex-dividend. * - Ex-earnings.
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