U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Dec 5, 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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FAS DIR FIN BUL FAS1 US 01/21/12 P20 408.4 468.5 6.85 -9.3 204
LNCR LINCARE HOL LNCR US 01/21/12 C20 52.7 38.1 4.50 9.8 393
ILMN ILLUMINA IN ILMN US 01/21/12 C30 45.0 72.5 2.80 93.1 1273
RAD RITE AID CO RAD US 01/21/12 C1 34.1 86.6 0.20 0.0 200
LTD LIMITED BRA LTD US 02/18/12 P39 29.2 38.1 1.25 -51.0 1154
ILMN ILLUMINA IN ILMN US 01/21/12 C29 26.8 64.4 3.30 83.3 1057
FSIN FUSHI COPPE FSIN US 06/16/12 C7.5 23.1 56.0 1.20 26.3 3592
LTD LIMITED BRA LTD US 05/19/12 P40 22.3 38.0 2.80 -34.9 202
SFSF SUCCESSFACT SFSF US 01/21/12 C23 19.3 73.0 16.60 374.3 700
HRB H&R BLOCK I HRB US 01/18/14 P10 17.8 51.2 1.85 5.7 15273
MON MONSANTO CO MON US 01/21/12 C47.5 14.7 69.1 23.92 -14.3 573
F FORD MOTOR F US 01/21/12 C7.5 14.4 62.5 3.90 13.0 305
COOL MAJESCO ENT COOL US 01/21/12 P2.5 13.6 103.8 0.25 0.0 800
LDK LDK SOLAR C LDK US 01/21/12 C4 12.5 64.7 0.34 61.9 502
HRB H&R BLOCK I HRB US 04/21/12 P8 12.3 76.0 0.20 -33.3 448
VRSK VERISK ANAL VRSK US 01/21/12 C40 11.6 24.9 1.00 11.1 466
BP BP PLC-ADR BP US 01/21/12 P20 11.5 92.0 0.02 0.0 300
AGO ASSURED GUA AGO US 01/21/12 P11 11.2 69.0 0.58 -34.1 453
ETR ENTERGY COR ETR US 01/21/12 C72.5 10.9 17.0 1.50 105.5 363
GCI GANNETT CO GCI US 04/21/12 P8 10.8 66.0 0.20 -50.0 1623
OPTR OPTIMER PHA OPTR US 01/21/12 C10 10.7 64.1 2.40 73.9 400
BPFH BOSTON PRIV BPFH US 07/21/12 C7.5 10.7 52.3 1.40 7.7 227
HRB H&R BLOCK I HRB US 04/21/12 P7 10.2 81.0 0.15 0.0 604
FRO FRONTLINE L FRO US 02/18/12 P2 10.2 165.7 0.25 -16.7 1696
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
SFSF SUCCESSFACT SFSF US 06/16/12 C40 -97.9 1.2 0.10 -90.9 5962
SFSF SUCCESSFACT SFSF US 03/17/12 C40 -96.5 2.0 0.10 -77.8 10378
SFSF SUCCESSFACT SFSF US 06/16/12 P40 -95.7 2.5 0.35 0.0 511
SFSF SUCCESSFACT SFSF US 06/16/12 P39 -92.0 4.7 0.25 0.0 2160
SFSF SUCCESSFACT SFSF US 03/17/12 P39 -89.4 6.2 0.25 0.0 460
SFSF SUCCESSFACT SFSF US 06/16/12 P38 -87.2 7.2 0.15 0.0 810
SFSF SUCCESSFACT SFSF US 03/17/12 C37 -78.6 12.5 2.96 492.0 4022
SFSF SUCCESSFACT SFSF US 03/17/12 P35 -64.2 18.7 0.15 0.0 230
SFSF SUCCESSFACT SFSF US 03/17/12 P30 -51.7 29.4 0.10 0.0 320
SFSF SUCCESSFACT SFSF US 03/17/12 C30 -47.3 31.8 9.80 415.8 1551
SFSF SUCCESSFACT SFSF US 01/21/12 C34 -43.1 31.0 5.80 0.0 310
LNCR LINCARE HOL LNCR1 US 01/21/12 C20 -40.7 42.4 4.50 -53.1 393
LTD LIMITED BRA LTD US 02/18/12 C39 -33.4 37.8 5.40 0.4 1050
SFSF SUCCESSFACT SFSF US 03/17/12 P26 -29.3 44.0 0.05 -98.8 1750
ANGI ANGIE'S LIS ANGI US 02/18/12 C7.5 -28.3 84.6 6.80 0.0 800
LTD LIMITED BRA LTD US 05/19/12 C45 -18.4 34.5 3.20 11.5 386
AGNC AMERICAN CA AGNC US 01/21/12 C29 -14.2 14.8 0.27 8.0 295
IVN IVANHOE MIN IVN US 03/17/12 C10 -12.8 115.5 12.05 0.0 1065
SO SOUTHERN CO SO US 01/21/12 C39 -10.3 22.5 5.25 -2.6 378
x - Ex-dividend. * - Ex-earnings.
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