U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Dec 7, 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 C42 50.6 11.4 0.10 0.0 260
UUP POWERSHARES UUP US 01/21/12 C21 47.1 9.3 1.13 1.8 417
JAG JAGUAR MINI JAG US 01/21/12 P5 27.1 110.7 0.30 50.0 1350
OMEX ODYSSEY MAR OMEX US 01/21/12 C2.5 25.0 110.2 0.33 -26.7 326
SFSF SUCCESSFACT SFSF US 01/21/12 C40 24.8 3.3 0.10 0.0 2371
SCG SCANA CORP SCG US 05/19/12 C45 23.3 19.5 1.20 -11.1 217
SPY SPDR S&P 50 SPY US 01/21/12 C90 20.2 50.2 35.59 -1.2 201
PGNX PROGENICS P PGNX US 01/21/12 C7 18.7 102.9 1.35 42.1 2020
THQI THQ INC THQI US 06/16/12 P1 17.5 103.4 0.15 0.0 215
HRB H&R BLOCK I HRB US 04/21/12 C16 16.9 53.0 1.55 63.2 391
PM PHILIP MORR PM US 01/21/12 C57.5 16.3 47.0 17.40 -3.3 250
HRB H&R BLOCK I HRB US 04/21/12 P15 16.2 58.0 2.10 16.7 525
KOG KODIAK OIL KOG US 01/21/12 P7.5 16.1 76.3 0.30 0.0 6623
LLY ELI LILLY & LLY US 01/21/12 C40 15.0 21.3 1.01 80.4 1315
JAG JAGUAR MINI JAG US 01/21/12 C6 14.4 92.4 1.10 -33.3 740
SCG SCANA CORP SCG US 02/18/12 C45 13.9 18.2 0.75 7.1 327
LLY ELI LILLY & LLY US 01/21/12 C41 13.8 20.3 0.56 69.7 1270
EXAS EXACT SCIEN EXAS US 01/21/12 C8 13.7 51.8 0.50 -16.7 280
HRB H&R BLOCK I HRB US 04/21/12 P14 13.5 61.7 1.65 13.8 634
IWM ISHARES-RUS IWM US 12/30/11 C72 12.6 35.9 3.55 -14.2 305
LLY ELI LILLY & LLY US 01/21/12 C38 12.5 23.9 2.32 36.5 830
PVX PROVIDENT E PVX US 03/17/12 C10 12.0 27.5 0.35 0.0 662
LLY ELI LILLY & LLY US 01/21/12 P36 12.0 28.5 0.35 -5.4 359
SPY SPDR S&P 50 SPY US 01/21/12 C109 11.7 34.8 17.14 -2.7 243
XLNX XILINX INC XLNX US 01/21/12 P30 11.3 41.5 0.65 10.2 4713
XLNX XILINX INC XLNX US 01/21/12 P28 11.2 46.5 0.40 25.0 3301
XLNX XILINX INC XLNX US 01/21/12 P31 11.1 39.4 0.82 7.9 3616
XLNX XILINX INC XLNX US 01/21/12 P29 10.9 44.0 0.50 19.1 929
SPY SPDR S&P 50 SPY US 12/30/11 C117 10.7 30.7 8.80 -12.3 237
ENB ENBRIDGE IN ENB US 01/21/12 C35 10.7 23.4 0.85 -45.2 258
LLY ELI LILLY & LLY US 01/21/12 P34 10.7 33.7 0.20 5.3 270
IWM ISHARES-RUS IWM US 01/21/12 C69 10.6 37.7 6.25 -14.4 243
LLY ELI LILLY & LLY US 01/21/12 P35 10.6 30.7 0.25 0.0 555
NOG NORTHERN OI NOG US 01/21/12 C20 10.3 66.1 5.93 -1.2 325
SON SONOCO PROD SON US 01/21/12 P30 10.2 30.5 0.60 -53.9 200
SPY SPDR S&P 50 SPY US 12/30/11 C119 10.1 29.8 7.65 -7.2 1388
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
EDC DIR EM BULL EDC1 US 01/21/12 P26.32 -80.4 94.1 9.80 0.0 1107
PLX PROTALIX BI PLX US 05/19/12 P2.5 -30.1 127.1 0.35 -30.0 200
CLSN CELSION COR CLSN US 01/21/12 C2 -29.9 59.8 0.25 0.0 4025
WMT WAL-MART ST WMT US 01/21/12 C40 -28.0 49.6 19.15 1.6 415
RAI REYNOLDS AM RAI US 01/21/12 C36 -27.1 30.5 4.70 -19.0 435
THQI THQ INC THQI US 01/21/12 P1 -19.7 176.8 0.10 0.0 1707
WMT WAL-MART ST WMT US 01/21/12 C50 -19.4 27.3 9.20 4.0 448
VHC VIRNETX HOL VHC US 03/17/12 C10 -17.1 102.7 13.50 0.0 400
LDK LDK SOLAR C LDK US 03/17/12 C3.5 -16.5 49.5 0.78 -17.9 284
VTSS VITESSE SEM VTSS US 02/18/12 C2.5 -16.1 106.2 0.55 57.1 201
RAI REYNOLDS AM RAI US 01/21/12 C37.5 -15.5 28.1 3.40 -19.1 221
TLB TALBOTS INC TLB US 02/18/12 C1 -13.8 97.3 1.50 0.0 200
SFSF SUCCESSFACT SFSF US 06/16/12 C40 -12.9 1.4 0.15 0.0 1168
SFSF SUCCESSFACT SFSF US 03/17/12 C40 -11.1 1.9 0.15 50.0 604
LDK LDK SOLAR C LDK US 03/17/12 C4 -10.8 55.2 0.55 0.0 359
AMR AMR CORP AMR US 01/19/13 C0.5 -10.4 61.4 0.49 53.1 546
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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