U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Oct 6, 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
=============================================================================
XLE SPDR-ENERGY XLE US 10/22/11 C50 119.5 60.2 11.30 8.1 5000
CMTL COMTECH TEL CMTL US 10/22/11 P30 84.4 61.2 1.55 -48.3 2769
CMTL COMTECH TEL CMTL US 10/22/11 P27.5 77.5 62.5 0.55 -59.6 3534
CMTL COMTECH TEL CMTL US 10/22/11 C27.5 68.3 59.5 2.95 145.8 773
CMTL COMTECH TEL CMTL US 10/22/11 C30 64.3 56.2 1.45 625.0 1253
QQQ POWERSH-QQQ QQQ US 10/22/11 C46 62.3 46.8 7.89 2.1 481
CMTL COMTECH TEL CMTL US 11/19/11 C30 56.0 54.0 2.10 281.8 3789
CMTL COMTECH TEL CMTL US 10/22/11 P25 49.9 67.0 0.15 -50.0 206
EXC EXELON CORP EXC US 10/22/11 C38 47.5 26.1 3.10 -42.0 210
QQQ POWERSH-QQQ QQQ US 10/22/11 C44 43.8 43.8 10.06 4.6 221
CMTL COMTECH TEL CMTL US 11/19/11 C27.5 41.3 54.1 2.60 57.6 1135
QQQ POWERSH-QQQ QQQ US 10/22/11 C47 36.7 44.3 7.10 6.0 1091
TZOO TRAVELZOO I TZOO US 10/22/11 C12.5 36.6 182.7 13.10 42.4 505
CMTL COMTECH TEL CMTL US 01/21/12 C30 32.1 50.9 3.10 113.8 752
HAR HARMAN INTL HAR US 10/22/11 P27.5 30.7 80.3 0.76 -45.7 447
HAR HARMAN INTL HAR US 10/22/11 C27.5 26.6 76.5 3.60 200.0 534
HAR HARMAN INTL HAR US 10/22/11 P30 24.0 69.8 1.59 -47.0 330
CMTL COMTECH TEL CMTL US 01/21/12 C27.5 23.9 50.5 4.40 69.2 1147
CMTL COMTECH TEL CMTL US 01/21/12 P30 23.9 47.5 3.00 -33.3 492
CMTL COMTECH TEL CMTL US 01/21/12 P27.5 22.6 49.8 2.10 -8.7 1296
AIMC ALTRA HOLDI AIMC US 02/18/12 C10 21.9 78.8 3.30 0.0 500
GGP GENERAL GRO GGP US 10/22/11 P12 20.6 76.7 1.00 -33.3 300
SPY SPDR S&P 50 SPY US 10/22/11 C102 20.1 45.0 13.55 4.8 288
QQQ POWERSH-QQQ QQQ US 10/22/11 C48 18.6 43.4 6.02 3.8 990
MON MONSANTO CO MON US 10/22/11 P70 16.5 39.4 2.12 -51.8 1959
EEM ISHARES-EMG EEM US 06/16/12 P37 15.5 37.9 5.30 -4.5 1313
MDR MCDERMOTT I MDR US 10/22/11 P13 15.4 143.4 1.10 -33.3 362
MPEL MELCO CROWN MPEL US 11/19/11 C6 15.3 110.8 3.70 100.0 2555
MDR MCDERMOTT I MDR US 02/18/12 C13 15.3 88.6 3.60 213.0 201
MON MONSANTO CO MON US 10/22/11 C65 14.6 45.1 5.91 99.0 565
MDR MCDERMOTT I MDR US 10/22/11 P12 14.5 139.1 0.65 -29.4 573
RBA RITCHIE BRO RBA US 11/19/11 P20 14.5 59.2 2.00 0.0 458
REE RARE ELEMEN REE US 10/22/11 C4 14.4 107.6 1.20 60.0 493
MON MONSANTO CO MON US 10/22/11 C67.5 14.2 42.0 4.00 170.3 365
COP CONOCOPHILL COP US 10/22/11 C65 14.1 34.9 0.93 -21.2 441
MON MONSANTO CO MON US 10/22/11 C62.5 14.1 48.6 8.00 70.2 230
CECO CAREER EDUC CECO US 10/22/11 P12 14.1 97.1 0.20 -60.0 1504
MON MONSANTO CO MON US 10/22/11 C72.5 13.6 37.5 1.15 422.7 4977
QQQ POWERSH-QQQ QQQ US 10/22/11 C49 13.6 43.0 5.14 4.3 610
TSL TRINA SOLAR TSL US 10/22/11 P7 13.5 121.7 0.27 -35.7 354
MDR MCDERMOTT I MDR US 10/22/11 P11 13.4 137.8 0.42 5.0 309
MDR MCDERMOTT I MDR US 02/18/12 C12 13.2 92.0 4.20 23.5 517
MON MONSANTO CO MON US 10/22/11 C70 13.1 39.1 2.38 266.1 2550
MDR MCDERMOTT I MDR US 01/21/12 P14 12.9 95.6 2.72 -32.0 492
FORM FORMFACTOR FORM US 11/19/11 C6 12.8 69.9 0.90 5.9 1000
CECO CAREER EDUC CECO US 10/22/11 C15 12.8 75.3 0.64 42.2 915
MDR MCDERMOTT I MDR US 10/22/11 P14 12.6 147.9 1.75 -41.7 350
MON MONSANTO CO MON US 10/22/11 P67.5 12.4 42.1 1.30 -52.0 963
MDR MCDERMOTT I MDR US 11/19/11 P14 12.4 119.0 2.20 -38.9 993
MDR MCDERMOTT I MDR US 11/19/11 C14 12.2 119.9 2.35 34.3 568
XLE SPDR-ENERGY XLE US 10/22/11 C54 12.2 54.2 7.40 6.5 6311
MDR MCDERMOTT I MDR US 01/21/12 C14 12.0 94.9 2.84 42.0 761
HYG ISH-IBOXX H HYG US 12/17/11 P84 11.9 26.5 5.30 -27.4 310
MON MONSANTO CO MON US 10/22/11 P65 11.8 45.2 0.71 -57.0 1176
MON MONSANTO CO MON US 10/22/11 P62.5 11.6 49.0 0.42 -54.4 714
MCK MCKESSON CO MCK US 10/22/11 P55 11.2 66.8 0.15 -40.0 828
APKT ACME PACKET APKT US 10/22/11 C35 11.0 92.5 5.40 -11.5 291
MON MONSANTO CO MON US 10/22/11 P60 10.8 53.5 0.24 -55.6 299
NUAN NUANCE COMM NUAN US 10/22/11 C22 10.8 64.9 0.80 100.0 2240
SIRI SIRIUS XM R SIRI US 11/19/11 C1.5 10.6 77.8 0.18 38.5 395
YHOO YAHOO! INC YHOO US 01/19/13 C15 10.3 40.5 2.89 -8.2 519
CECO CAREER EDUC CECO US 10/22/11 P14 10.3 79.0 0.75 -37.5 498
AUY YAMANA GOLD AUY US 10/22/11 C11 10.1 76.7 3.00 15.4 761
HYG ISH-IBOXX H HYG US 12/17/11 P85 10.1 26.0 5.80 -7.9 400
C CITIGROUP I C1 US 12/17/11 P5 10.0 69.4 2.52 -1.2 235
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
LDK LDK SOLAR C LDK US 01/21/12 C2.5 -39.6 34.9 1.00 17.6 250
MHS MEDCO HEALT MHS US 10/22/11 C50 -30.9 29.4 0.60 50.0 998
LDK LDK SOLAR C LDK US 12/17/11 C3 -30.4 53.1 0.63 12.5 520
OCZ OCZ TECHNOL OCZ US 10/22/11 P5 -30.4 103.1 0.15 -75.0 273
NLY ANNALY CAPI NLY US 10/22/11 C16 -26.4 28.0 0.37 5.7 5438
IVR INVESCO MOR IVR US 10/22/11 C15 -24.8 27.5 0.15 87.5 1388
IYT ISHARES-DJ IYT US 10/22/11 P79 -24.5 39.3 3.00 -44.4 460
NLY ANNALY CAPI NLY US 10/22/11 P16 -24.1 27.7 0.33 -46.8 516
P PANDORA MED P US 10/22/11 C12 -23.3 84.5 1.35 35.0 300
JDSU JDS UNIPHAS JDSU US 01/19/13 C2.5 -22.2 93.8 7.80 26.4 400
JNK SPDR BARCLA JNK US 10/22/11 P36 -20.4 23.7 0.85 -29.8 2000
YHOO YAHOO! INC YHOO US 10/22/11 P12 -18.6 67.5 0.05 0.0 489
BMY BRISTOL-MYE BMY US 01/21/12 C22.5 -18.1 43.7 10.13 0.8 427
JBLU JETBLUE AIR JBLU US 10/22/11 P4 -17.8 67.9 0.30 -25.0 1366
MHS MEDCO HEALT MHS US 10/22/11 C47.5 -17.2 32.1 1.60 113.3 778
SIFY SIFY TECHNO SIFY US 10/22/11 P2.5 -16.5 188.9 0.20 -20.0 269
NILSY MMC NORILSK NNIA GR 12/17/11 C19 -16.4 56.0 1.78 0.0 1000
JNK SPDR BARCLA JNK US 10/22/11 P35 -16.1 28.2 0.60 -25.0 1029
JASO JA SOLAR HO JASO US 10/22/11 P2 -15.5 82.2 0.20 -20.0 200
EXC EXELON CORP EXC US 10/22/11 P38 -15.4 27.8 0.12 -40.0 2894
ZAGG ZAGG INC ZAGG US 10/22/11 C12 -15.4 77.5 0.75 66.7 431
TRH TRANSATLANT TRH US 11/19/11 P45 -15.0 31.4 0.40 -65.2 200
YHOO YAHOO! INC YHOO US 10/22/11 P13 -15.0 69.1 0.15 -6.2 1115
ZAGG ZAGG INC ZAGG US 10/22/11 C10 -14.4 82.0 2.10 27.3 234
C CITIGROUP I C1 US 01/21/12 P7.5 -14.4 91.6 5.00 -4.8 479
HRBN HARBIN ELEC HRBN US 11/19/11 C23 -14.2 35.8 0.75 0.0 311
AMR AMR CORP AMR US 10/22/11 C2 -14.2 151.1 0.53 1.9 2019
YHOO YAHOO! INC YHOO US 10/22/11 P14 -14.0 70.7 0.39 14.7 2751
HRBN HARBIN ELEC HRBN US 12/17/11 C17.5 -13.7 65.6 5.40 3.9 1303
NLY ANNALY CAPI NLY US 11/19/11 C16 -13.6 32.2 0.71 4.4 618
NLY ANNALY CAPI NLY US 10/22/11 P15 -13.4 36.9 0.13 -53.6 359
FAZ FINANCIAL B FAZ US 10/22/11 C49 -13.2 111.5 18.20 -32.3 750
NLY ANNALY CAPI NLY US 10/22/11 C15 -13.1 36.8 1.07 13.8 251
HXL HEXCEL CORP HXL US 10/22/11 C20 -12.6 57.0 1.70 -22.7 252
GLNG GOLAR LNG L GLNG US 10/22/11 P30 -12.5 65.1 1.35 -45.3 269
HRBN HARBIN ELEC HRBN US 11/19/11 C22 -12.4 47.8 1.55 3.3 710
CETV CENTRAL EUR CETV US 11/19/11 P7.5 -12.4 98.7 0.70 -30.0 500
LVLT LEVEL 3 COM LVLT US 03/17/12 P1.5 -12.3 80.0 0.30 -23.1 850
TGT TARGET CORP TGT US 10/22/11 C52.5 -12.2 29.1 1.00 122.2 9241
YHOO YAHOO! INC YHOO US 10/22/11 C14 -12.1 70.8 1.49 -34.4 2751
HRBN HARBIN ELEC HRBN US 11/19/11 C17 -12.0 90.6 5.80 18.4 394
TGT TARGET CORP TGT US 10/22/11 P52.5 -12.0 29.0 1.60 -52.9 366
NLY ANNALY CAPI NLY US 11/19/11 P16 -11.7 32.2 0.71 -21.1 222
SFI ISTAR FINAN SFI US 10/22/11 P5 -11.4 74.8 0.10 -50.0 2491
SPRD SPREADTRUM- SPRD US 10/22/11 P19 -11.2 80.0 1.05 -62.5 300
HRBN HARBIN ELEC HRBN US 11/19/11 C20 -10.9 68.2 3.30 10.0 512
NLY ANNALY CAPI NLY US 01/21/12 P6 -10.9 79.7 0.06 100.0 338
HRBN HARBIN ELEC HRBN US 11/19/11 P22 -10.7 89.1 2.59 -17.8 1042
GE GENERAL ELE GE US 01/21/12 C5 -10.7 105.9 10.30 -6.4 747
NLY ANNALY CAPI NLY US 11/19/11 P15 -10.2 36.0 0.37 -35.1 234
FSLR FIRST SOLAR FSLR US 10/22/11 P45 -10.1 96.4 0.12 -76.5 291
x - Ex-dividend. * - Ex-earnings.
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