U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Dec 20, 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
=============================================================================
AGNC AMERICAN CA AGNC US 02/18/12 C29 239.6 14.8 0.25 25.0 247
CXS CREXUS INVE CXS US 03/17/12 P10 38.4 31.2 0.45 0.0 300
MO ALTRIA GROU MO US 01/21/12 C28 37.6 22.6 1.75 27.7 430
AMR AMR CORP AMR US 01/21/12 C0.5 27.8 107.7 0.12 -14.3 462
DISH DISH NETWOR DISH US 01/21/12 P28 26.7 41.3 1.75 -18.6 525
EUO PROSH-UL/SH EUO US 01/21/12 C18 24.8 22.4 1.82 -17.3 214
VZ VERIZON COM VZ US 01/21/12 C35 22.8 25.3 3.90 1.3 456
KBH KB HOME KBH US 01/21/12 P5 17.6 102.0 0.06 0.0 203
UUP POWERSHARES UUP US 01/21/12 C22 17.6 10.0 0.46 -27.0 2203
OPTR OPTIMER PHA OPTR US 01/21/12 C10 17.5 61.1 2.10 0.0 200
S SPRINT NEXT S US 01/21/12 P2 14.7 84.3 0.11 0.0 218
NLY ANNALY CAPI NLY US 01/19/13 C15 13.5 24.5 1.65 10.0 937
SAFM SANDERSON F SAFM US 02/18/12 C45 13.5 37.2 5.90 -1.7 212
NLY ANNALY CAPI NLY US 01/21/12 C15 13.3 30.1 1.60 19.4 1591
XME SPDR S&P ME XME US 01/21/12 C51 12.5 40.6 1.86 86.0 306
OKS ONEOK PARTN OKS US 01/21/12 P55 12.3 22.3 0.55 -21.4 805
STD BANCO SANTA STD US 01/21/12 P6 12.1 66.1 0.10 -33.3 1118
EWJ ISHARES-JAP EWJ US 01/21/12 P9 12.0 23.4 0.24 -25.0 341
DB DEUTSCHE BA DB US 01/21/12 P27.5 11.7 86.2 0.40 -24.5 3710
LGF LIONS GATE LGF US 01/21/12 C7.5 11.7 39.6 0.80 -23.1 625
PRX PAR PHARMAC PRX US 01/21/12 P30 10.8 38.5 0.50 -9.1 632
DAL DELTA AIR L DAL US 02/18/12 C5 10.6 93.2 3.70 4.2 267
AGNC AMERICAN CA AGNC US 01/21/12 C29 10.3 12.2 0.05 -16.7 808
VZ VERIZON COM VZ US 01/21/12 C37 10.1 18.2 2.01 21.8 580
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
NETL NETLOGIC MI NETL US 04/21/12 C47 -53.1 11.1 2.90 -3.3 400
MELA MELA SCIENC MELA US 07/21/12 P3.5 -49.7 113.4 1.05 0.0 300
AGNC AMERICAN CA AGNC US 01/21/12 C28 -45.2 14.1 0.45 -50.0 1061
AGNC AMERICAN CA AGNC US 02/18/12 P28 -43.5 18.8 0.90 0.0 257
PLCE CHILDRENS P PLCE US 01/21/12 C45 -38.8 43.0 9.19 -12.7 368
AGNC AMERICAN CA AGNC US 01/21/12 P28 -36.3 14.9 0.51 -43.3 705
PGNX PROGENICS P PGNX US 01/21/12 C7 -32.8 75.1 1.45 107.1 2068
AGNC AMERICAN CA AGNC US 01/21/12 P29 -29.8 16.0 1.20 -22.1 220
AGNC AMERICAN CA AGNC US 01/21/12 P27 -25.9 17.8 0.25 -39.0 1720
RHT RED HAT INC RHT US 01/21/12 C44 -25.2 38.5 1.25 -68.0 247
RHT RED HAT INC RHT US 01/21/12 P40 -24.8 42.0 1.20 60.0 846
RHT RED HAT INC RHT US 01/21/12 P39 -24.7 42.0 0.90 38.5 1061
RHT RED HAT INC RHT US 01/21/12 P36 -24.5 44.0 0.30 50.0 213
RHT RED HAT INC RHT US 01/21/12 P44 -23.3 38.5 2.65 43.2 292
RHT RED HAT INC RHT US 01/21/12 P41 -23.1 41.1 1.35 42.1 807
JEF JEFFERIES G JEF US 01/21/12 C14 -22.0 52.9 1.00 270.4 2099
STP SUNTECH POW STP US 01/21/12 C2 -21.6 55.3 0.33 17.9 637
TRGT TARGACEPT I TRGT US 05/19/12 P5 -21.5 85.7 0.90 38.5 3010
JEF JEFFERIES G JEF US 01/21/12 P14 -20.6 64.2 0.95 -57.0 3817
BSBR BANCO SANTA BSBR US 01/21/12 C8 -20.1 33.2 0.25 0.0 205
SVM SILVERCORP SVM US 01/21/12 C6 -19.5 54.5 0.55 10.0 2433
CMC COMMERCIAL CMC US 01/21/12 C14 -19.2 24.4 0.45 28.6 284
ZMH ZIMMER HLDG ZMH US 01/21/12 C40 -18.8 39.9 10.50 31.2 265
BKU BANKUNITED BKU US 02/18/12 C22.5 -18.6 30.7 0.75 7.1 1436
RF REGIONS FIN RF US 01/21/12 P4 -17.5 46.7 0.20 -42.9 1311
CAG CONAGRA FOO CAG US 01/21/12 C26 -17.3 14.0 0.55 120.0 712
CVS CVS CAREMAR CVS US 01/21/12 C41 -16.7 21.2 0.30 328.6 1417
RPT RAMCO-GERSH RPT US 03/17/12 P7.5 -16.7 53.8 0.25 0.0 250
JEF JEFFERIES G JEF US 01/21/12 C11 -16.7 58.6 3.20 128.6 243
AGNC AMERICAN CA AGNC US 06/16/12 C29 -15.6 15.1 0.50 0.0 259
VXX IPATH-S&P S VXX US 01/21/12 P28 -15.6 54.4 0.10 66.7 297
CIE COBALT INTE CIE US 01/21/12 C12.5 -14.8 94.8 1.50 87.5 2042
BRCD BROCADE COM BRCD US 01/21/12 C5.5 -14.5 42.0 0.18 20.0 2328
LDK LDK SOLAR C LDK US 03/17/12 C5 -14.4 46.9 0.48 6.7 846
NAV NAVISTAR IN NAV US 01/21/12 C40 -14.4 41.6 1.58 85.9 202
IWM ISHARES-RUS IWM US 01/21/12 P77 -14.4 28.1 4.85 -29.0 241
JEF JEFFERIES G JEF US 04/21/12 C13 -14.2 55.6 2.30 58.6 253
AGNC AMERICAN CA AGNC US 03/17/12 C28 -14.1 17.8 0.90 -10.0 228
T AT&T INC T US 01/21/12 C30 -14.0 12.1 0.05 0.0 2613
CVS CVS CAREMAR CVS US 01/21/12 C40 -13.6 21.8 0.63 293.8 2614
CVS CVS CAREMAR CVS US 01/21/12 P39 -13.6 22.5 1.03 -59.6 221
DD DU PONT (EI DD US 02/18/12 P44 -13.6 28.9 1.87 -28.9 593
JEF JEFFERIES G JEF US 01/21/12 C12.5 -13.3 57.8 2.00 217.5 4004
LUV SOUTHWEST A LUV US 01/21/12 C9 -13.3 32.1 0.20 33.3 344
HIBB HIBBETT SPO HIBB US 04/21/12 C40 -13.2 41.2 7.48 6.9 233
OKE ONEOK INC OKE US 01/21/12 C85 -13.2 16.7 1.25 25.0 1003
CCE COCA-COLA E CCE US 05/19/12 C27 -13.2 23.7 1.20 -27.3 244
WY WEYERHAEUSE WY US 01/21/12 C17.5 -13.1 25.7 0.30 50.0 299
NVLS NOVELLUS SY NVLS US 01/21/12 C42 -12.9 33.4 0.95 18.8 510
TZA DIR SMCAP B TZA US 01/21/12 P19 -12.9 76.0 0.12 0.0 203
VXX IPATH-S&P S VXX US 01/21/12 P27 -12.8 54.4 0.05 -28.6 323
MHS MEDCO HEALT MHS US 01/21/12 C55 -12.3 31.2 2.50 16.3 506
LIZ LIZ CLAIBOR LIZ US 01/21/12 C8 -12.3 54.2 0.40 14.3 274
STEC STEC INC STEC US 01/21/12 P9 -12.0 52.6 0.53 -24.3 1011
MSFT MICROSOFT C MSFT US 01/21/12 C20 -12.0 44.7 6.05 7.1 425
CHK CHESAPEAKE CHK US 01/21/12 C24 -11.9 37.7 0.58 41.5 858
IWM ISHARES-RUS IWM US 01/21/12 P76 -11.7 28.9 4.12 -31.8 934
HIBB HIBBETT SPO HIBB US 04/21/12 C45 -11.6 39.1 4.42 2.8 233
OLN OLIN CORP OLN US 01/21/12 C20 -11.4 28.2 0.50 42.9 215
CLNE CLEAN ENERG CLNE US 01/21/12 C12.5 -11.4 42.4 0.50 42.9 266
PLCE CHILDRENS P PLCE US 06/16/12 C45 -11.3 42.1 11.29 -15.1 368
CAG CONAGRA FOO CAG US 01/21/12 C27 -11.3 15.2 0.20 300.0 1270
CFX COLFAX CORP CFX US 01/21/12 P30 -11.2 56.2 1.75 -25.5 502
SDS PROSHARES U SDS US 01/21/12 C17 -11.2 30.2 3.05 -26.5 239
LINE LINN ENERGY LINE US 01/21/12 C38 -11.0 15.6 0.55 22.2 258
MSI MOTOROLA SO MSI US 01/21/12 C48 -11.0 20.8 0.71 10.9 202
NVLS NOVELLUS SY NVLS US 01/21/12 C41 -10.9 33.9 1.30 18.2 206
RSX MKT VECT-RU RSX US 01/21/12 P27 -10.7 39.3 1.55 -29.6 510
CAT CATERPILLAR CAT US 01/21/12 C95 -10.6 29.7 1.44 58.2 1909
LYB LYONDELLBAS LYB US 01/21/12 C34.5 -10.4 36.5 0.80 100.0 379
WM WASTE MANAG WM US 01/21/12 C32.5 -10.2 20.6 0.46 31.4 472
XLI SPDR-INDU S XLI US 01/19/13 C34 -10.1 27.1 3.25 0.6 250
RF REGIONS FIN RF US 01/21/12 C4 -10.1 46.7 0.24 50.0 2723
XLE SPDR-ENERGY XLE US 01/21/12 C70 -10.0 24.9 0.99 90.4 453
FE FIRSTENERGY FE US 01/21/12 C42 -10.0 18.9 1.65 26.9 262
BCSI BLUE COAT S BCSI US 07/21/12 C26 -10.0 3.3 0.10 0.0 336
PAA PLAINS ALL PAA US 02/18/12 C72.5 -10.0 14.2 0.80 14.3 809
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
To contact Bloomberg News for this story: newsdev@bloomberg.net