U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Oct 14, 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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VALE VALE SA-SP VALE US 11/19/11 C19 29.6 86.7 6.20 37.8 380
VALE VALE SA-SP VALE US 11/19/11 C20 29.1 77.1 5.20 38.7 560
SOL RENESOLA LT SOL US 11/19/11 P2 24.0 152.0 0.25 0.0 1327
WFM WHOLE FOODS WFM US 01/21/12 C40 20.3 71.1 28.60 -2.7 300
MAKO MAKO SURGIC MAKO US 11/19/11 P25 17.1 101.4 0.30 20.0 500
SIRI SIRIUS XM R SIRI US 03/17/12 C1 16.5 68.9 0.79 11.3 1020
EEM ISHARES-EMG EEM US 06/16/12 P38 15.1 36.0 4.05 -1.2 2000
OPK OPKO HEALTH OPK US 12/17/11 C5 13.1 70.4 0.70 40.0 278
MAKO MAKO SURGIC MAKO US 11/19/11 P30 12.9 89.7 0.60 0.0 347
EEM ISHARES-EMG EEM US 09/22/12 P35 12.5 36.8 3.73 -5.6 1082
EEM ISHARES-EMG EEM US 01/19/13 P38 11.7 33.6 5.80 -3.3 4240
MAKO MAKO SURGIC MAKO US 11/19/11 P35 10.2 80.8 1.45 -21.6 526
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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LCAPA LIBERTY MED LCAPA US 11/19/11 C80 -47.4 38.6 2.10 0.0 260
DEPO DEPOMED INC DEPO US 12/17/11 C5 -33.1 84.6 0.51 -57.5 237
GOOG GOOGLE INC- GOOG US 11/19/11 C610 -31.5 27.9 13.20 23.7 388
LOCM LOCAL.COM C LOCM US 11/19/11 C2.5 -31.0 83.4 0.45 125.0 281
GOOG GOOGLE INC- GOOG US 11/19/11 P595 -30.7 28.4 22.30 -59.6 289
GOOG GOOGLE INC- GOOG US 11/19/11 P600 -30.5 28.0 24.46 -56.1 1074
GOOG GOOGLE INC- GOOG US 11/19/11 C605 -30.4 28.1 15.30 30.8 251
GOOG GOOGLE INC- GOOG US 11/19/11 C600 -30.1 28.5 17.18 22.7 2277
GOOG GOOGLE INC- GOOG US 11/19/11 C620 -30.1 27.6 9.30 9.4 507
GOOG GOOGLE INC- GOOG US 11/19/11 C595 -29.5 28.8 19.70 38.7 431
GOOG GOOGLE INC- GOOG US 11/19/11 P585 -29.2 29.0 18.29 -60.8 475
GOOG GOOGLE INC- GOOG US 11/19/11 P590 -29.2 28.9 20.00 -59.8 260
GOOG GOOGLE INC- GOOG US 11/19/11 C590 -28.8 29.1 22.70 41.0 674
GOOG GOOGLE INC- GOOG US 11/19/11 P575 -28.7 29.8 13.40 -67.5 295
GOOG GOOGLE INC- GOOG US 11/19/11 P580 -28.5 29.4 15.80 -63.6 276
GOOG GOOGLE INC- GOOG US 11/19/11 C565 -27.6 30.9 37.70 42.3 315
GOOG GOOGLE INC- GOOG US 11/19/11 P570 -27.2 30.0 12.70 -66.1 318
GOOG GOOGLE INC- GOOG US 11/19/11 C555 -26.6 31.6 45.10 40.5 409
GOOG GOOGLE INC- GOOG US 11/19/11 P550 -25.5 31.7 7.49 -71.2 685
GOOG GOOGLE INC- GOOG US 11/19/11 P525 -21.6 33.7 3.61 -76.4 294
GOOG GOOGLE INC- GOOG US 11/19/11 P530 -21.5 33.2 4.00 -77.4 434
GOOG GOOGLE INC- GOOG US 12/17/11 P600 -20.6 28.9 31.90 -47.7 200
GOOG GOOGLE INC- GOOG US 12/17/11 C600 -20.3 29.2 25.08 32.0 916
GOOG GOOGLE INC- GOOG US 11/19/11 P520 -20.1 34.2 3.10 -77.5 445
GOOG GOOGLE INC- GOOG US 12/17/11 C605 -19.8 28.9 22.60 35.3 366
MAT MATTEL INC MAT US 11/19/11 C28 -19.6 28.1 0.60 -41.2 355
GOOG GOOGLE INC- GOOG US 12/17/11 C585 -19.3 30.0 32.70 40.3 501
GOOG GOOGLE INC- GOOG US 11/19/11 C525 -18.7 34.7 69.70 45.2 219
GOOG GOOGLE INC- GOOG US 12/17/11 C595 -18.5 29.6 27.40 39.1 201
GOOG GOOGLE INC- GOOG US 12/17/11 C570 -17.6 30.9 41.80 35.3 282
GOOG GOOGLE INC- GOOG US 12/17/11 P550 -17.1 31.7 13.10 -58.1 362
WLT WALTER ENER WLT US 01/19/13 P70 -16.5 46.3 11.97 -14.5 601
LVLT LEVEL 3 COM LVLT US 11/19/11 P1.5 -13.7 70.5 0.05 -28.6 1200
MOTR MOTRICITY I MOTR US 04/21/12 C2 -13.6 110.5 0.55 0.0 2050
GOOG GOOGLE INC- GOOG US 12/17/11 P500 -13.2 35.2 4.90 -65.7 208
GOOG GOOGLE INC- GOOG US 01/21/12 C600 -12.1 31.4 34.90 34.2 466
INCY INCYTE CORP INCY US 01/21/12 C12.5 -10.9 77.5 3.50 12.9 240
YGE YINGLI GREE YGE US 01/21/12 C2.5 -10.5 84.7 1.50 7.1 200
x - Ex-dividend. * - Ex-earnings.
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