U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Dec 21, 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 DIR FIN BUL FAS1 US 01/21/12 P27 407.0 735.7 14.95 0.0 1800
FAS DIR FIN BUL FAS1 US 01/21/12 P29 100.5 282.6 17.00 0.9 244
HGSI HUMAN GENOM HGSI US 01/19/13 C5 66.1 138.3 3.00 -7.7 200
QQQ POWERSH-QQQ QQQ US 01/21/12 C51 32.8 26.0 4.20 -18.6 375
XOM EXXON MOBIL XOM US 01/21/12 C50 31.1 72.0 32.72 3.1 1688
NLY ANNALY CAPI NLY US 01/21/12 C16 24.3 17.1 0.73 25.9 2217
AMR AMR CORP AMR US 02/18/12 C0.5 24.0 117.4 0.10 -23.1 737
OPEN OPENTABLE I OPEN US 01/21/12 C40 22.5 68.5 6.00 4.3 1253
AMR AMR CORP AMR US 01/21/12 C0.5 20.9 108.5 0.08 -33.3 661
LDK LDK SOLAR C LDK US 01/21/12 C4.5 20.0 61.6 0.62 -3.1 384
MSFT MICROSOFT C MSFT US 01/21/12 C20 19.9 43.8 5.90 -2.5 250
MO ALTRIA GROU MO US 01/21/12 C28 17.9 28.4 2.15 9.7 450
MO ALTRIA GROU MO US 01/21/12 C29 14.5 17.9 1.15 26.4 587
RIMM RESEARCH IN RIMM US 01/21/12 P10 14.2 82.4 0.12 -33.3 504
ORCL ORACLE CORP ORCL US 06/16/12 C16 13.5 49.8 9.59 0.0 1000
QQQ POWERSH-QQQ QQQ US 01/21/12 C53 12.5 23.7 2.51 -24.6 947
CHTP CHELSEA THE CHTP US 03/17/12 P5 12.5 154.2 1.35 3.9 500
RIMM RESEARCH IN RIMM US 02/18/12 P11 12.2 76.0 0.50 -23.1 236
AMGN AMGEN INC AMGN US 01/21/12 C60 12.1 24.3 2.96 35.2 474
RIMM RESEARCH IN RIMM US 01/21/12 P11 12.1 77.6 0.24 -35.1 958
RIMM RESEARCH IN RIMM US 02/18/12 C12 11.9 76.4 2.57 60.6 2266
INHX INHIBITEX I INHX US 01/21/12 C7.5 11.8 138.2 3.50 9.4 340
TEN TENNECO INC TEN US 01/21/12 P28 11.8 53.0 2.15 -17.3 1250
RIMM RESEARCH IN RIMM US 02/18/12 P12 11.4 75.7 0.84 -22.2 1735
RIMM RESEARCH IN RIMM US 02/18/12 P13 11.3 75.9 1.26 -24.1 1160
MDVN MEDIVATION MDVN US 01/21/12 P40 11.0 61.7 1.00 132.6 337
RIMM RESEARCH IN RIMM US 01/21/12 C12 10.8 77.1 2.20 71.9 815
VXX IPATH-S&P S VXX US 01/21/12 P29 10.6 55.3 0.22 15.8 619
VVUS VIVUS INC VVUS US 01/21/12 C7.5 10.4 95.2 2.80 -5.7 474
AMGN AMGEN INC AMGN US 01/21/12 P60 10.2 24.3 0.79 -24.8 3160
RIMM RESEARCH IN RIMM US 01/21/12 P12 10.2 75.7 0.45 -40.0 4260
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
DFG DELPHI FINL DFG US 07/21/12 P40 -61.0 15.5 0.75 0.0 600
UNG US NAT GAS UNG US 01/19/13 P5 -46.8 36.1 0.23 0.0 462
KMX CARMAX INC KMX US 01/21/12 P29 -40.4 30.7 1.10 22.2 3058
CTAS CINTAS CORP CTAS US 01/21/12 C35 -39.8 20.3 0.40 0.0 242
KMX CARMAX INC KMX US 01/21/12 C30 -38.9 30.7 0.55 -77.1 601
KMX CARMAX INC KMX US 01/21/12 P27.5 -36.7 33.4 0.60 20.0 297
WAG WALGREEN CO WAG US 01/21/12 C30 -36.3 31.8 2.14 -47.8 3373
WAG WALGREEN CO WAG US 01/21/12 P30 -35.9 31.6 0.47 -17.5 2329
WAG WALGREEN CO WAG US 01/21/12 C31 -35.4 31.6 1.37 -59.0 777
WAG WALGREEN CO WAG US 01/21/12 P29 -35.3 32.6 0.26 -31.6 825
WAG WALGREEN CO WAG US 01/21/12 P31 -34.9 31.2 0.77 -7.2 2512
KMX CARMAX INC KMX US 01/21/12 P26 -34.6 35.8 0.20 -20.0 605
WAG WALGREEN CO WAG US 01/21/12 P28 -34.0 34.0 0.13 -50.0 3466
WAG WALGREEN CO WAG US 01/21/12 C32 -33.6 31.6 1.04 -60.3 2165
WAG WALGREEN CO WAG US 01/21/12 P32 -33.3 31.3 1.30 14.0 4754
DFG DELPHI FINL DFG US 07/21/12 P35 -33.3 24.4 0.35 0.0 427
WAG WALGREEN CO WAG US 01/21/12 C33 -31.0 32.2 0.67 -67.6 538
WAG WALGREEN CO WAG US 01/21/12 P33 -30.9 31.7 1.90 21.8 364
ORCL ORACLE CORP ORCL US 01/21/12 P21 -30.9 42.1 0.10 100.0 313
ORCL ORACLE CORP ORCL US 01/21/12 P20 -29.3 45.9 0.06 20.0 424
NKE NIKE INC -C NKE US 01/21/12 P97.5 -28.8 22.2 2.76 -53.6 413
NKE NIKE INC -C NKE US 01/21/12 C100 -28.2 21.6 1.17 8.3 3812
C CITIGROUP I C1 US 01/21/12 P4 -26.4 53.1 1.46 4.3 250
NKE NIKE INC -C NKE US 01/21/12 P95 -26.4 23.0 1.70 -58.5 2711
NKE NIKE INC -C NKE US 01/21/12 C95 -25.5 23.0 3.59 28.2 1028
NKE NIKE INC -C NKE US 01/21/12 P92.5 -25.4 24.2 0.99 -67.0 979
FAS DIR FIN BUL FAS1 US 01/21/12 P33.33 -25.1 158.2 21.50 0.0 285
ORCL ORACLE CORP ORCL US 01/21/12 C22.5 -24.4 38.2 2.77 -58.7 222
ORCL ORACLE CORP ORCL US 01/21/12 P22.5 -24.1 37.8 0.22 266.7 4818
ORCL ORACLE CORP ORCL US 01/21/12 P19 -23.9 48.6 0.03 50.0 1311
NKE NIKE INC -C NKE US 01/21/12 P90 -23.4 25.4 0.55 -72.9 3520
NKE NIKE INC -C NKE US 01/21/12 P87.5 -21.5 26.9 0.30 -77.6 1067
ORCL ORACLE CORP ORCL US 01/21/12 P24 -21.3 34.7 0.52 372.7 12342
VVUS VIVUS INC VVUS US 02/18/12 P9 -21.1 85.0 0.75 0.0 204
SHFL SHUFFLE MAS SHFL US 01/21/12 C12 -20.9 35.0 0.34 126.7 431
WAG WALGREEN CO WAG US 02/18/12 C33 -20.9 30.7 0.98 -56.8 224
NKE NIKE INC -C NKE US 01/21/12 P85 -20.8 28.0 0.18 -79.8 436
WAG WALGREEN CO WAG US 01/21/12 C17.5 -19.7 89.3 14.25 -2.1 500
JBL JABIL CIRCU JBL US 01/21/12 C20 -19.7 40.7 0.65 -45.4 388
ATU ACTUANT COR ATU US 01/21/12 P22.5 -19.5 29.6 0.60 -72.7 283
WAG WALGREEN CO WAG US 01/21/12 P25 -19.3 44.8 0.04 -33.3 230
ORCL ORACLE CORP ORCL US 01/21/12 C25 -19.3 33.7 1.05 -75.8 3105
NKE NIKE INC -C NKE US 01/21/12 P82.5 -19.2 29.7 0.07 -86.8 290
LDK LDK SOLAR C LDK US 01/21/12 C3.5 -18.9 56.3 1.46 -5.2 311
ORCL ORACLE CORP ORCL US 02/18/12 P21 -18.6 42.1 0.28 0.0 508
ORCL ORACLE CORP ORCL US 01/21/12 P25 -18.2 33.4 0.91 506.7 8035
CLWR CLEARWIRE - CLWR US 01/21/12 P0.5 -17.8 384.4 0.10 -33.3 400
NKE NIKE INC -C NKE US 02/18/12 C100 -16.3 23.0 2.36 24.2 256
CTAS CINTAS CORP CTAS US 01/21/12 P32.5 -16.3 22.5 0.35 -79.4 685
PAYX PAYCHEX INC PAYX US 01/21/12 C30 -15.8 19.7 0.30 -68.4 267
KBH KB HOME KBH US 01/21/12 C5 -15.7 84.7 2.42 -5.8 620
ORCL ORACLE CORP ORCL US 02/18/12 P22 -15.7 39.8 0.42 162.5 961
SPY SPDR S&P 50 SPY US 01/21/12 C100 -15.7 36.4 23.43 -3.0 410
ORCL ORACLE CORP ORCL US 01/21/12 P26 -15.5 32.4 1.43 472.0 1001
EGLE EAGLE BULK EGLE US 02/18/12 P1 -15.4 44.3 0.10 0.0 511
NKE NIKE INC -C NKE US 02/18/12 P95 -15.3 24.8 2.88 -46.0 431
ORCL ORACLE CORP ORCL US 02/18/12 P23 -14.8 38.0 0.63 186.4 2151
PAYX PAYCHEX INC PAYX US 01/21/12 P27.5 -14.7 26.6 0.30 100.0 202
ORCL ORACLE CORP ORCL US 01/21/12 C26 -14.4 32.9 0.59 -82.7 4463
KBH KB HOME KBH US 01/21/12 P6 -14.4 69.2 0.13 8.3 653
TZOO TRAVELZOO I TZOO US 01/21/12 C15 -14.3 89.8 11.30 -3.4 813
NKE NIKE INC -C NKE US 02/18/12 C95 -14.0 25.0 4.75 25.0 315
ORCL ORACLE CORP ORCL US 02/18/12 P24 -13.9 36.3 0.92 206.7 2270
ORCL ORACLE CORP ORCL US 02/18/12 C23 -13.8 37.8 2.65 0.0 282
SHAW SHAW GROUP SHAW US 01/21/12 C27 -13.6 33.6 0.75 650.0 207
ORCL ORACLE CORP ORCL US 01/21/12 C24 -13.6 35.1 1.69 -68.0 1679
ORCL ORACLE CORP ORCL US 03/17/12 P20 -13.2 43.6 0.33 65.0 587
WAG WALGREEN CO WAG US 04/21/12 C32 -13.0 30.6 2.03 -38.5 417
AFFY AFFYMAX INC AFFY US 01/21/12 C6 -13.0 57.8 0.65 30.0 428
WAG WALGREEN CO WAG US 04/21/12 P27 -13.0 34.1 0.75 10.3 352
WAG WALGREEN CO WAG US 04/21/12 P28 -12.8 33.3 0.95 15.8 848
ORCL ORACLE CORP ORCL US 06/16/12 P19 -12.8 44.2 0.69 11.3 621
WAG WALGREEN CO WAG US 04/21/12 P31 -12.8 31.1 1.97 11.9 243
CTAS CINTAS CORP CTAS US 01/21/12 C32.5 -12.7 23.7 1.65 230.0 403
CTXS CITRIX SYST CTXS US 01/21/12 P43 -12.6 63.8 0.20 -50.0 272
MHR MAGNUM HUNT MHR US 01/19/13 P2.5 -12.1 87.2 0.40 -11.1 250
ORCL ORACLE CORP ORCL US 03/17/12 P22 -12.0 39.4 0.66 144.4 826
ORCL ORACLE CORP ORCL US 03/17/12 P23 -12.0 37.6 0.89 161.8 854
ORCL ORACLE CORP ORCL US 02/18/12 P25 -11.8 34.9 1.33 241.0 1544
QQQ POWERSH-QQQ QQQ US 01/21/12 P57 -11.4 19.3 2.67 29.0 1413
AGNC AMERICAN CA AGNC US 01/21/12 P29 -11.4 12.8 0.85 -19.1 239
ORCL ORACLE CORP ORCL US 06/16/12 P20 -11.4 42.1 0.88 72.5 380
TLT ISHARES BAR TLT US 01/19/13 C95 -11.1 21.8 26.20 -6.4 248
ORCL ORACLE CORP ORCL US 02/18/12 C26 -10.9 33.7 0.99 -72.9 1989
ORCL ORACLE CORP ORCL US 02/18/12 C25 -10.8 34.9 1.47 -67.1 2215
QQQ POWERSH-QQQ QQQ US 01/21/12 P56 -10.7 20.4 1.99 30.1 8973
ORCL ORACLE CORP ORCL US 03/17/12 C24 -10.4 36.0 2.22 -59.6 347
ORCL ORACLE CORP ORCL US 02/18/12 C24 -10.3 36.0 2.07 0.0 1648
LDK LDK SOLAR C LDK US 01/21/12 P3.5 -10.2 148.4 0.25 4.2 205
x - Ex-dividend. * - Ex-earnings.
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