U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Nov 17, 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
=============================================================================
FAS FINL BULL 3 FAS1 US 04/21/12 P11 126.7 259.8 2.82 11.5 400
QQQ POWERSH-QQQ QQQ US 12/30/11 C47 81.2 40.6 10.06 -2.8 246
QQQ POWERSH-QQQ QQQ US 01/21/12 C44 59.2 42.8 12.90 -3.5 269
BZF WISDOMTR BR BZF US 03/17/12 C26 51.2 31.4 2.00 0.0 268
SDS PROSHARES U SDS US 12/17/11 C16 34.8 49.8 4.60 5.8 205
QQQ POWERSH-QQQ QQQ US 12/30/11 C49 34.2 38.4 8.24 -8.8 272
QQQ POWERSH-QQQ QQQ US 12/17/11 C51 28.1 36.5 5.96 -13.0 528
DCIX DIANA CONTA DCIX US 12/17/11 C5 27.7 56.9 0.15 -50.0 210
JEF JEFFERIES G JEF US 12/17/11 P7 25.1 164.6 0.50 100.0 2111
JEF JEFFERIES G JEF US 12/17/11 P10 24.7 118.8 1.45 61.1 5696
QQQ POWERSH-QQQ QQQ US 12/17/11 C52 23.4 35.7 5.10 -7.6 739
QQQ POWERSH-QQQ QQQ US 12/30/11 C50 23.1 37.1 7.34 -9.6 234
JEF JEFFERIES G JEF US 12/17/11 C10 21.2 117.1 1.20 -7.7 281
JEF JEFFERIES G JEF US 12/17/11 P9 20.7 131.8 1.05 61.5 5333
JEF JEFFERIES G JEF US 12/17/11 P6 20.7 176.7 0.35 133.3 1518
JEF JEFFERIES G JEF US 12/17/11 P8 20.0 146.0 0.74 94.7 1406
SIRI SIRIUS XM R SIRI US 12/17/11 P1.5 19.4 64.3 0.04 33.3 800
BPL BUCKEYE PAR BPL US 12/17/11 P60 19.3 32.1 0.80 0.0 392
QQQ POWERSH-QQQ QQQ US 12/17/11 C53 18.6 34.1 4.28 -8.0 379
JEF JEFFERIES G JEF US 01/21/12 P5 18.3 164.8 0.40 60.0 1171
SDS PROSHARES U SDS US 12/17/11 C17 17.1 47.7 3.55 0.0 664
CAST CHINACAST E CAST US 12/17/11 P5 15.6 172.3 0.95 35.7 882
CAST CHINACAST E CAST US 12/17/11 C5 15.5 162.3 0.85 -10.5 1023
QQQ POWERSH-QQQ QQQ US 12/17/11 C54 15.2 32.6 3.50 -9.3 591
JEF JEFFERIES G JEF US 01/21/12 P10 14.6 105.7 1.80 20.0 654
XLF SPDR-FINL S XLF US 12/17/11 C10 14.2 62.8 2.73 -1.8 599
VXX IPATH-S&P S VXX US 01/21/12 P31 14.1 81.4 0.70 -31.4 201
QQQ POWERSH-QQQ QQQ US 01/21/12 C50 13.8 36.4 7.25 -6.0 289
CAST CHINACAST E CAST US 12/17/11 P2.5 13.6 247.0 0.20 33.3 472
JEF JEFFERIES G JEF US 01/21/12 P9 12.8 115.1 1.45 31.8 457
QQQ POWERSH-QQQ QQQ US 12/17/11 C55 12.8 31.1 2.75 -12.4 1418
WPZ WILLIAMS PA WPZ US 12/17/11 P50 12.6 42.6 0.40 33.3 1146
DNDN DENDREON CO DNDN US 12/17/11 P7 12.1 97.7 0.39 -27.8 417
TIVO TIVO INC TIVO US 12/17/11 P10 11.9 60.8 0.57 35.7 1033
GNK GENCO SHIPP GNK US 12/17/11 P7 11.9 123.9 0.35 40.0 1193
RRC RANGE RESOU RRC US 12/17/11 C65 11.8 64.0 8.35 11.3 1000
D DOMINION RE D US 12/17/11 P45 11.8 35.1 0.25 0.0 293
QQQ POWERSH-QQQ QQQ US 12/17/11 C56 11.7 29.6 2.13 -10.5 6250
RKT ROCK-TENN C RKT US 12/17/11 P60 10.9 46.4 3.75 -8.5 600
JEF JEFFERIES G JEF US 01/21/12 P8 10.8 123.0 1.11 44.2 1113
GMCR GREEN MOUNT GMCR US 12/17/11 C55 10.8 86.9 4.36 19.4 798
TIVO TIVO INC TIVO US 12/17/11 P9 10.6 69.6 0.32 77.8 5025
RRC RANGE RESOU RRC US 12/17/11 C72.5 10.6 62.5 4.90 13.9 560
GMCR GREEN MOUNT GMCR US 12/17/11 P48 10.6 93.0 3.10 3.7 422
GMCR GREEN MOUNT GMCR US 12/17/11 P55 10.5 88.6 6.75 3.9 406
GMCR GREEN MOUNT GMCR US 12/17/11 P50 10.4 92.1 3.97 4.5 3048
IBM IBM IBM US 12/17/11 P185 10.2 26.6 4.40 2.3 1113
GMCR GREEN MOUNT GMCR US 12/17/11 C52.5 10.0 88.3 5.65 21.5 525
ARIA ARIAD PHARM ARIA US 12/17/11 P10 10.0 81.2 0.74 34.5 433
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
MNKD MANNKIND CO MNKD US 12/17/11 C3 -30.7 20.4 0.20 53.9 433
UUP POWERSHARES UUP US 01/21/12 C20 -29.0 9.2 2.01 -1.9 276
MNKD MANNKIND CO MNKD US 05/19/12 C3 -26.9 18.6 0.30 30.4 204
WAG WALGREEN CO WAG US 01/18/14 C25 -26.3 30.0 9.00 -2.2 200
QIHU QIHOO 360 T QIHU US 12/17/11 P20 -23.3 90.8 2.50 -21.9 848
NTAP NETAPP INC NTAP US 12/17/11 P38 -22.6 41.9 2.82 113.6 678
NTAP NETAPP INC NTAP US 12/17/11 C37 -22.4 42.5 1.42 -73.5 1025
NTAP NETAPP INC NTAP US 12/17/11 C38 -22.2 42.0 0.85 -79.4 498
MNKD MANNKIND CO MNKD US 01/19/13 C3 -22.1 19.6 0.37 0.0 5244
NTAP NETAPP INC NTAP US 12/17/11 P37 -21.9 42.6 2.20 120.0 698
BEXP BRIGHAM EXP BEXP US 01/21/12 P35 -21.9 8.9 0.05 -50.0 249
QIHU QIHOO 360 T QIHU US 12/17/11 C20 -21.4 75.4 1.55 -11.4 298
QIHU QIHOO 360 T QIHU US 12/17/11 P15 -21.0 99.7 0.55 -42.1 709
NTAP NETAPP INC NTAP US 12/17/11 P36 -20.9 43.7 1.64 118.7 621
NTAP NETAPP INC NTAP US 12/17/11 C36 -20.7 43.7 1.90 -77.6 322
WM WASTE MANAG WM US 01/18/14 C25 -20.6 30.6 7.02 -6.4 210
USO UNITED STAT USO US 01/18/14 C25 -20.6 31.9 15.75 -5.7 200
NTAP NETAPP INC NTAP US 12/17/11 C35 -20.5 44.4 2.40 -61.9 215
COOL MAJESCO ENT COOL US 12/17/11 C2.5 -20.4 92.1 0.60 -25.0 707
NTAP NETAPP INC NTAP US 12/17/11 P35 -20.0 44.4 1.30 154.9 256
GME GAMESTOP CO GME US 12/17/11 C23 -18.8 46.1 0.85 -19.8 229
NTAP NETAPP INC NTAP US 12/17/11 P34 -18.6 45.5 1.04 285.2 785
GME GAMESTOP CO GME US 12/17/11 C22 -18.5 47.2 1.36 -15.0 481
MU MICRON TECH MU US 01/19/13 P2.5 -18.5 79.2 0.22 0.0 387
DUK DUKE ENERGY DUK US 12/17/11 C21 -18.4 13.8 0.10 0.0 370
GME GAMESTOP CO GME US 12/17/11 P22 -18.4 47.2 1.01 -15.1 704
QIHU QIHOO 360 T QIHU US 12/17/11 P17.5 -18.2 93.5 1.25 -30.6 603
XME SPDR S&P ME XME US 12/17/11 P52 -17.1 55.3 2.87 41.4 1266
YOKU YOUKU.COM I YOKU US 12/17/11 P15 -15.7 107.7 1.15 76.9 592
EP EL PASO COR EP US 04/21/12 C26 -15.3 16.9 0.45 -59.1 2000
SKUL SKULLCANDY SKUL US 12/17/11 C17.5 -15.3 51.3 0.70 -31.4 200
EK EASTMAN KOD EK US 01/21/12 P0.5 -15.0 190.4 0.04 -33.3 339
S SPRINT NEXT S US 12/17/11 P2 -14.7 79.4 0.02 0.0 200
RMBS RAMBUS INC RMBS US 12/17/11 C8 -14.5 108.7 1.16 54.7 1032
XME SPDR S&P ME XME US 12/17/11 C55 -14.3 51.4 2.46 -19.6 255
YOKU YOUKU.COM I YOKU US 12/17/11 C17 -13.5 103.2 1.85 -72.0 511
ZSL PRSH-ULTSH ZSL US 12/17/11 C12 -13.4 81.1 1.55 39.6 3606
YOKU YOUKU.COM I YOKU US 12/17/11 P10 -12.9 127.0 0.15 0.0 225
PLCE CHILDRENS P PLCE US 12/17/11 P40 -12.3 51.8 0.15 -81.2 341
SHLD SEARS HOLDI SHLD US 12/17/11 P62.5 -12.2 65.6 3.50 7.7 1668
IBKR INTERACTIVE IBKR US 01/21/12 C12 -12.2 43.8 2.60 -5.5 800
QIHU QIHOO 360 T QIHU US 03/17/12 P12.5 -12.2 102.9 1.25 -10.7 206
GM GENERAL MOT GM US 01/18/14 C18 -12.0 44.5 8.05 0.0 750
SHLD SEARS HOLDI SHLD US 12/17/11 P60 -11.4 67.1 2.48 5.1 326
QIHU QIHOO 360 T QIHU US 03/17/12 P15 -11.3 99.6 2.10 -16.0 669
QQQ POWERSH-QQQ QQQ US 12/17/11 P59 -11.0 25.4 3.31 8.9 894
ROST ROSS STORES ROST US 12/17/11 C90 -11.0 31.2 1.50 -37.5 220
MU MICRON TECH MU US 12/17/11 C5 -10.9 78.3 1.61 -12.0 1803
NTAP NETAPP INC NTAP US 01/21/12 P37 -10.7 41.6 2.87 86.4 235
SHLD SEARS HOLDI SHLD US 12/17/11 P57.5 -10.7 69.4 2.15 14.4 768
SHLD SEARS HOLDI SHLD US 12/17/11 P65 -10.3 66.0 4.75 18.8 244
WNR WESTERN REF WNR US 12/17/11 P8 -10.2 107.4 0.10 100.0 1530
x - Ex-dividend. * - Ex-earnings.
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