U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Nov 28, 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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SNDA SHANDA INTE SNDA US 03/17/12 P41 84.8 5.9 0.93 -7.0 260
ALU ALCATEL-LUC ALU US 01/21/12 C1.5 35.5 113.2 0.30 50.0 805
SINA SINA CORP SINA US 12/17/11 P42.5 30.5 143.2 0.95 72.7 906
SINA SINA CORP SINA US 12/17/11 P37.5 29.5 155.9 0.70 180.0 515
SINA SINA CORP SINA US 12/17/11 P40 28.5 149.4 0.85 112.5 5786
SINA SINA CORP SINA US 12/17/11 P45 23.7 132.7 1.30 132.1 1009
SINA SINA CORP SINA US 12/17/11 P50 23.3 124.2 2.10 75.0 2141
SINA SINA CORP SINA US 12/17/11 P47.5 23.2 127.7 1.65 83.3 1226
BPAX BIOSANTE PH BPAX US 12/17/11 P1.5 21.9 314.5 0.20 33.3 1260
ABX BARRICK GOL ABX US 12/17/11 P37 21.9 62.5 0.03 -25.0 276
XLU SPDR-UTIL S XLU US 01/21/12 P33 21.3 20.7 0.78 -24.3 226
SINA SINA CORP SINA US 12/17/11 P55 20.0 112.8 3.32 47.6 2732
SINA SINA CORP SINA US 12/17/11 P57.5 19.5 108.6 3.50 12.9 1963
PHG PHILIPS ELE PHG US 12/17/11 P17.5 19.1 55.3 0.45 -25.0 520
XLV SPDR-HEALTH XLV US 12/17/11 P32 18.9 25.5 0.70 -33.3 2002
FMCN FOCUS MEDIA FMCN US 12/17/11 P16 18.5 149.0 2.05 51.9 430
FMCN FOCUS MEDIA FMCN US 12/17/11 P15 18.4 159.6 1.55 40.9 3186
MAPP MAP PHARMAC MAPP US 06/16/12 C12.5 18.3 118.3 4.50 0.0 317
FMCN FOCUS MEDIA FMCN US 12/17/11 P12 17.3 186.7 0.80 45.5 406
ABX BARRICK GOL ABX US 12/17/11 P38 16.7 58.7 0.04 -20.0 376
FMCN FOCUS MEDIA FMCN US 12/17/11 P10 16.5 204.2 0.40 100.0 830
VZ VERIZON COM VZ US 12/17/11 P21 16.4 104.2 0.01 0.0 657
TPLM TRIANGLE PE TPLM US 12/17/11 C5 16.4 103.1 0.50 11.1 201
SINA SINA CORP SINA US 12/17/11 C60 16.3 102.7 5.80 -15.9 776
VIT VANCEINFO T VIT US 02/18/12 P10 16.2 98.4 1.70 -17.1 266
EP EL PASO COR EP US 12/17/11 C25 16.1 9.8 0.22 -4.3 504
FMCN FOCUS MEDIA FMCN US 12/17/11 P14 16.1 166.0 1.20 71.4 2258
SINA SINA CORP SINA US 12/17/11 P60 16.0 104.0 5.40 42.1 1204
GD GENERAL DYN GD US 12/17/11 P55 14.8 53.4 0.30 -57.1 366
FMCN FOCUS MEDIA FMCN US 12/17/11 P13 14.7 173.7 1.00 42.9 1044
SPY SPDR S&P 50 SPY US 12/17/11 P75 14.2 73.4 0.01 0.0 300
SINA SINA CORP SINA US 12/17/11 P62.5 13.9 97.7 5.20 8.3 354
QIHU QIHOO 360 T QIHU US 12/17/11 P15 13.8 105.0 0.95 -13.6 560
TROW T ROWE PRIC TROW US 12/17/11 P45 13.6 59.5 0.40 -42.9 412
MAPP MAP PHARMAC MAPP US 06/16/12 P10 13.6 125.8 2.75 14.6 250
SINA SINA CORP SINA US 12/17/11 C62.5 13.2 96.9 4.57 -15.4 779
SPY SPDR S&P 50 SPY US 12/17/11 P80 12.9 66.7 0.02 -33.3 910
DBA POWERSHARES DBA US 01/21/12 C26 12.9 23.8 3.20 10.3 2002
JPM JPMORGAN CH JPM US 12/17/11 P17 12.7 121.6 0.03 -40.0 300
TSPT TRANSCEPT P TSPT US 12/17/11 P5 12.7 131.7 0.15 50.0 479
NLY ANNALY CAPI NLY US 12/17/11 C15 12.5 28.0 1.00 1.0 236
RIMM RESEARCH IN RIMM US 12/17/11 P10 12.3 124.0 0.05 -28.6 634
BBT BB&T CORP BBT US 12/17/11 P18 12.2 64.7 0.12 -20.0 500
SPY SPDR S&P 50 SPY US 12/17/11 C110 12.2 35.6 10.50 40.0 789
GOLD RANDGOLD RE GOLD US 12/17/11 P95 12.0 52.3 3.60 200.0 1633
T AT&T INC T US 12/17/11 P18 11.9 85.2 0.01 -50.0 3030
BPAX BIOSANTE PH BPAX US 12/17/11 P2 11.8 252.7 0.30 -14.3 370
PUK PRUDENTIAL- PUK US 05/19/12 P17.5 11.6 51.8 2.30 -4.2 530
SVU SUPERVALU I SVU US 12/17/11 C7 11.4 58.7 0.50 56.2 201
DVAX DYNAVAX TEC DVAX US 01/21/12 C2.5 11.2 99.8 0.70 7.7 624
LO LORILLARD I LO US 12/17/11 P97.5 11.2 64.5 2.00 1.0 237
LO LORILLARD I LO US 12/17/11 P105 11.0 56.6 3.75 -5.1 300
ABX BARRICK GOL ABX US 12/17/11 P41 10.9 50.9 0.09 -59.1 273
FXA CRYSHS-AUS FXA US 12/17/11 P100 10.9 19.2 2.05 -37.9 211
GOLD RANDGOLD RE GOLD US 12/17/11 P100 10.9 49.7 6.00 135.3 1203
SINA SINA CORP SINA US 01/21/12 P30 10.7 120.6 0.85 142.9 326
GRPN GROUPON INC GRPN US 12/17/11 P17 10.6 116.3 1.90 2.7 906
SPY SPDR S&P 50 SPY US 12/17/11 P83 10.5 60.9 0.02 -33.3 348
BUD ANHEUSER-SP BUD US 12/17/11 P50 10.4 44.8 0.15 -25.0 537
MBT MOBILE TELE MBT US 01/21/12 C16 10.3 45.6 1.05 47.9 200
OIH OIL SVC HLD OIH US 12/17/11 P100 10.3 63.3 0.83 -42.8 247
SPY SPDR S&P 50 SPY US 12/17/11 C112 10.1 34.4 8.81 47.1 355
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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XLU SPDR-UTIL S XLU US 12/17/11 P34 -63.0 17.8 0.74 -31.5 238
CLSN CELSION COR CLSN US 12/17/11 P2.5 -46.7 87.8 0.25 -16.7 2967
LDK LDK SOLAR C LDK US 12/17/11 C3 -46.2 34.1 0.43 53.6 421
CLSN CELSION COR CLSN US 01/21/12 P2.5 -42.3 91.9 0.43 -6.5 729
XLV SPDR-HEALTH XLV US 12/17/11 P30 -40.2 32.3 0.18 -50.0 2601
CLSN CELSION COR CLSN US 01/21/12 P2 -38.0 105.3 0.16 -44.8 265
STP SUNTECH POW STP US 01/21/12 C2 -27.4 72.9 0.55 -21.4 1658
UUP POWERSHARES UUP US 01/21/12 C21 -27.1 8.5 1.32 -9.0 212
VXX IPATH-S&P S VXX US 12/17/11 C40 -24.9 82.7 7.03 -26.9 584
UUP POWERSHARES UUP US 12/17/11 C21 -22.8 11.8 1.25 -13.2 918
JOE ST JOE CO JOE US 12/17/11 C15 -22.1 45.7 0.40 166.7 231
PSS COLLECTIVE PSS US 12/17/11 C13 -20.3 54.9 0.60 0.0 650
SPY SPDR S&P 50 SPY US 12/17/11 P125 -18.9 25.9 6.58 -34.9 5541
RMBS RAMBUS INC RMBS US 12/17/11 C8 -18.1 61.9 0.38 8.6 594
HOGS ZHONGPIN IN HOGS US 12/17/11 C10 -17.6 46.8 0.25 0.0 376
SPY SPDR S&P 50 SPY US 12/17/11 P124 -16.9 26.3 5.91 -34.3 980
VNET 21VIANET-AD VNET US 12/17/11 C10 -16.9 63.4 0.50 66.7 245
XLE SPDR-ENERGY XLE US 12/17/11 P67 -15.8 38.0 2.68 -36.9 203
RPRX REPROS THER RPRX US 12/17/11 C5 -15.2 75.4 0.30 -14.3 200
PG PROCTER & G PG US 12/17/11 C65 -15.0 16.0 0.12 0.0 615
DANG E-COMMERCE DANG US 12/17/11 C5 -14.0 83.9 0.25 25.0 874
SKX SKECHERS US SKX US 12/17/11 C13 -14.0 47.9 0.55 83.3 756
LINE LINN ENERGY LINE US 12/17/11 C37 -13.4 21.8 0.30 0.0 318
SPY SPDR S&P 50 SPY US 12/30/11 P125 -13.1 25.5 7.27 -21.7 645
SPY SPDR S&P 50 SPY US 12/17/11 P123 -13.1 27.2 5.16 -39.8 1592
FOE FERRO CORP FOE US 12/17/11 C5 -13.1 90.5 0.55 37.5 205
XLY SPDR-CONS D XLY US 12/17/11 C38 -12.3 28.4 0.75 53.1 284
HYG ISH-IBOXX H HYG US 12/17/11 C86 -12.3 14.9 0.40 100.0 213
IFF INTL FLVR & IFF US 12/17/11 C55 -11.9 21.9 0.40 0.0 510
SPY SPDR S&P 50 SPY US 12/30/11 P124 -11.7 26.1 6.53 -30.8 2825
SPY SPDR S&P 50 SPY US 12/17/11 P122 -11.5 27.9 4.56 -40.0 14492
UUP POWERSHARES UUP US 01/21/12 C20 -11.2 12.7 2.24 -6.7 220
HYG ISH-IBOXX H HYG US 12/17/11 C85 -11.2 16.1 0.80 77.8 442
AGNC AMERICAN CA AGNC US 12/17/11 C28 -11.1 19.3 0.55 14.6 375
FIO FUSION-IO I FIO US 12/17/11 C20 -10.8 77.7 10.75 5.4 210
VXX IPATH-S&P S VXX US 12/17/11 P36 -10.7 77.9 0.23 21.1 236
MCP MOLYCORP IN MCP US 12/17/11 C30 -10.4 70.9 1.41 41.0 634
AGNC AMERICAN CA AGNC US 12/17/11 C29 -10.4 17.3 0.15 15.4 281
SPY SPDR S&P 50 SPY US 03/30/12 P123 -10.2 28.0 10.19 -17.3 241
LVS LAS VEGAS S LVS US 12/17/11 C47 -10.1 43.7 0.97 70.2 1004
ARNA ARENA PHARM ARNA US 01/21/12 P1 -10.1 145.8 0.10 0.0 250
STP SUNTECH POW STP US 01/21/12 P2.5 -10.0 124.8 0.49 -10.9 248
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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