U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Nov 9, 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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NOK NOKIA CORP- NOK US 04/21/12 C3 67.5 78.8 3.50 -7.9 300
ATPG ATP OIL & G ATPG US 12/17/11 C10 45.1 98.4 0.95 -21.5 258
ATPG ATP OIL & G ATPG US 12/17/11 P9 38.7 141.3 1.32 76.0 577
FOE FERRO CORP FOE US 12/17/11 C5 34.8 112.2 1.95 -13.3 690
AMSC AMER SUPERC AMSC US 12/17/11 P4 29.7 108.5 0.30 -25.0 568
ARNA ARENA PHARM ARNA US 01/21/12 C1 27.7 127.3 0.44 -12.0 200
ALSK ALASKA COMM ALSK US 04/21/12 P5 20.0 69.8 1.05 162.5 363
AMSC AMER SUPERC AMSC US 04/21/12 C4 19.8 93.1 1.30 44.4 468
EXC EXELON CORP EXC US 12/17/11 P45 15.1 18.5 1.20 20.0 933
TIVO TIVO INC TIVO US 12/17/11 C11 14.2 54.8 0.69 -16.9 444
SIRI SIRIUS XM R SIRI US 01/21/12 C1.5 13.5 57.6 0.27 -10.0 310
GOLD RANDGOLD RE GOLD US 12/17/11 P90 12.5 55.8 0.40 60.0 2073
FRPT FORCE PROTE FRPT US 12/17/11 C4 12.2 63.7 1.50 0.0 396
KMX CARMAX INC KMX US 01/21/12 C25 12.0 49.2 4.90 -7.5 200
RAX RACKSPACE H RAX US 12/17/11 P41 11.8 52.5 1.70 50.4 2631
C CITIGROUP I C1 US 01/21/12 P4 11.8 47.7 1.05 10.5 3101
PKT PROCERA NET PKT US 12/17/11 C15 11.7 60.2 0.90 50.0 261
MSFT MICROSOFT C MSFT US 12/17/11 C25 11.3 28.0 1.84 -17.5 531
VIA/B VIACOM INC- VIAB US 12/17/11 C43 11.0 41.9 1.20 -17.2 339
CDE COEUR D'ALE CDE US 12/17/11 P20 10.9 74.7 0.15 50.0 2048
CDE COEUR D'ALE CDE US 12/17/11 P22 10.9 70.2 0.30 30.4 2084
EXM EXCEL MARIT EXM US 06/16/12 P2 10.5 109.9 0.60 20.0 3643
VXX IPATH-S&P S VXX US 12/17/11 P33 10.3 84.9 0.78 -29.1 585
OPTR OPTIMER PHA OPTR US 12/17/11 C10 10.2 68.7 1.45 26.1 450
MRK MERCK & CO MRK US 12/17/11 C35 10.1 21.5 0.57 1.8 546
UUP POWERSHARES UUP US 12/17/11 C21 10.1 11.4 0.96 39.1 263
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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WTW WEIGHT WATC WTW US 12/17/11 P60 -26.9 61.0 2.05 -26.8 239
AH ACCRETIVE H AH US 12/17/11 P22.5 -24.2 71.3 0.95 11.8 5582
ROVI ROVI CORP ROVI US 12/17/11 C30 -24.0 72.4 3.00 0.0 447
ROVI ROVI CORP ROVI US 12/17/11 P25 -23.1 80.1 0.90 0.0 1081
STEC STEC INC STEC US 12/17/11 P10 -20.1 58.3 0.74 105.6 389
TKLC TEKELEC TKLC US 05/19/12 P11 -19.1 5.7 0.18 20.0 203
CSC COMPUTER SC CSC US 12/17/11 P25 -17.4 52.9 0.50 11.1 281
PANL UNIVERSAL D PANL US 12/17/11 C50 -17.4 81.9 7.40 23.3 386
STEC STEC INC STEC US 12/17/11 P9 -16.4 65.1 0.34 25.9 564
TKLC TEKELEC TKLC US 12/17/11 C11 -12.9 9.5 0.15 -40.0 460
STEC STEC INC STEC US 01/21/12 P9 -12.8 60.3 0.61 96.8 1409
USO UNITED STAT USO US 04/21/12 P17 -11.3 60.4 0.11 10.0 1270
MDR MCDERMOTT I MDR US 12/17/11 C10 -10.8 73.2 2.00 -18.4 414
PAA PLAINS ALL PAA US 12/17/11 P62.5 -10.4 20.5 1.00 81.8 998
SGI SILICON GRA SGI US 12/17/11 P13 -10.4 66.9 0.50 -23.1 631
x - Ex-dividend. * - Ex-earnings.
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