U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Feb 7, 2012
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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TIN TEMPLE-INLA TIN US 08/18/12 P31 66.2 6.5 0.10 -33.3 260
BPZ BPZ RESOURC BPZ US 03/17/12 C3 54.7 65.2 0.65 8.3 350
FXF CRYSHS-SWIS FXF US 03/17/12 C100 42.8 13.7 8.40 90.9 500
OZM OCH-ZIFF CA OZM US 06/16/12 C10 36.8 37.7 1.05 -4.5 430
FII FEDERATED I FII US 03/17/12 P17.5 31.1 57.9 1.05 90.9 382
MITI MICROMET IN MITI US 05/19/12 C7.5 20.9 44.8 3.50 2.6 200
TEA TEAVANA HOL TEA US 03/17/12 P20 19.9 81.2 0.90 -30.8 351
S SPRINT NEXT S US 03/17/12 P2.5 17.1 68.6 0.23 4.5 1040
FII FEDERATED I FII US 04/21/12 P15 16.6 60.6 0.65 8.3 864
BZH BEAZER HOME BZH US 03/17/12 C3.5 14.9 91.4 0.50 0.0 202
FII FEDERATED I FII US 04/21/12 P17.5 14.6 49.0 1.50 66.7 832
LPS LENDER PROC LPS US 03/17/12 C18 14.4 71.5 2.45 81.5 1250
SHFL SHUFFLE MAS SHFL US 03/17/12 C14 14.3 40.9 0.90 38.5 553
SONC SONIC CORP SONC US 06/16/12 C7.5 12.6 45.0 1.15 35.3 388
TIN TEMPLE-INLA TIN US 03/17/12 P31 12.6 8.9 0.10 0.0 350
CATM CARDTRONICS CATM US 03/17/12 P25 12.4 42.3 0.70 0.0 400
QIHU QIHOO 360 T QIHU US 09/22/12 P2.5 12.2 171.1 0.20 33.3 854
CAB CABELA'S IN CAB US 03/17/12 P22.5 11.9 56.5 0.21 40.0 503
BAC BANK OF AME BAC US 03/17/12 C5 11.7 70.9 2.97 0.3 402
SPF STANDARD PA SPF US 06/16/12 C3 11.3 69.6 1.85 48.0 206
UPS UNITED PARC UPS US 04/21/12 C65 11.2 24.9 11.90 -0.8 464
HCN HEALTH CARE HCN US 03/17/12 C55 11.0 22.9 3.00 11.1 551
AGNC AMERICAN CA AGNC US 06/16/12 C29 10.4 15.6 0.97 1.0 293
AAPL APPLE INC AAPL US 03/17/12 P420 10.3 23.6 1.20 9.1 3958
EZCH EZCHIP SEMI EZCH US 07/21/12 P29 10.0 45.8 1.80 -35.7 350
AAPL APPLE INC AAPL US 03/17/12 P425 10.0 22.9 1.51 7.1 1504
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
XLF SPDR-FINL S XLF US 01/19/13 P6 -40.9 51.0 0.08 -33.3 250
CSTR COINSTAR IN CSTR US 04/21/12 C42.5 -38.4 30.3 17.36 103.8 241
RATE BANKRATE IN RATE US 03/17/12 P22.5 -34.1 46.1 0.95 -24.0 216
AGNC AMERICAN CA AGNC US 06/16/12 P28 -32.6 11.7 1.12 9.8 239
AGNC AMERICAN CA AGNC US 03/17/12 P27 -27.7 17.9 0.20 33.3 359
INHX INHIBITEX I INHX US 05/19/12 C26 -26.9 2.9 0.10 0.0 274
CSTR COINSTAR IN CSTR US 03/17/12 C50 -24.6 42.5 10.01 144.2 685
BPAX BIOSANTE PH BPAX US 01/19/13 C0.5 -24.5 52.6 0.40 -27.3 549
CSTR COINSTAR IN CSTR US 03/17/12 C52.5 -24.3 41.8 7.54 164.6 203
AGNC AMERICAN CA AGNC US 03/17/12 P29 -24.2 12.9 0.76 72.7 1246
CSTR COINSTAR IN CSTR US 03/17/12 C60 -23.5 42.3 3.10 226.3 1017
CSTR COINSTAR IN CSTR US 03/17/12 C57.5 -23.1 42.1 4.40 209.9 219
CSTR COINSTAR IN CSTR US 03/17/12 C55 -23.0 41.9 5.60 180.0 507
AGNC AMERICAN CA AGNC US 03/17/12 P28 -22.8 15.5 0.37 54.2 1087
CSTR COINSTAR IN CSTR US 03/17/12 P60 -21.5 47.3 4.10 -61.5 264
CSTR COINSTAR IN CSTR US 03/17/12 P55 -21.1 46.8 1.65 -75.0 239
AGNC AMERICAN CA AGNC US 03/17/12 C30 -20.7 11.2 0.22 -31.2 612
GFA GAFISA SA-A GFA US 03/17/12 C5 -20.4 63.4 1.20 9.1 300
AGNC AMERICAN CA AGNC US 03/17/12 P30 -20.1 11.0 1.55 80.2 858
AGNC AMERICAN CA AGNC US 03/17/12 C29 -19.7 13.1 0.90 5.9 813
PMCS PMC-SIERRA PMCS US 03/17/12 P7 -19.3 39.1 0.30 -40.0 320
CSTR COINSTAR IN CSTR US 03/17/12 P50 -18.7 48.1 0.45 -87.5 480
PRGO PERRIGO CO PRGO US 05/19/12 C100 -18.6 26.5 3.70 -5.1 732
SWI SOLARWINDS SWI US 03/17/12 C35 -18.3 41.0 2.65 89.3 1583
PRGO PERRIGO CO PRGO US 03/17/12 C100 -18.2 27.8 2.10 -6.7 574
LEG LEGGETT & P LEG US 03/17/12 P22.5 -18.2 24.4 1.20 50.0 221
RGS REGIS CORP RGS US 03/17/12 P15 -18.1 34.1 0.05 -66.7 500
CSTR COINSTAR IN CSTR US 04/21/12 C50 -17.9 39.9 10.90 135.4 447
CSTR COINSTAR IN CSTR US 04/21/12 C55 -16.7 39.6 6.60 140.0 238
SWI SOLARWINDS SWI US 03/17/12 C32.5 -16.2 43.3 4.65 78.8 343
YUM YUM! BRANDS YUM US 03/17/12 C65 -16.1 21.4 1.85 35.0 916
SHLD SEARS HOLDI SHLD US 03/17/12 C22.5 -15.8 76.0 25.20 14.3 416
ALU ALCATEL-LUC ALU US 03/17/12 P1.5 -15.3 99.8 0.05 0.0 200
AGNC AMERICAN CA AGNC US 03/17/12 P31 -14.7 11.9 2.65 61.6 431
YUM YUM! BRANDS YUM US 03/17/12 P65 -14.5 21.6 1.77 -43.8 808
CSTR COINSTAR IN CSTR US 04/21/12 C60 -14.3 39.4 3.99 185.0 285
PRGO PERRIGO CO PRGO US 03/17/12 P95 -14.2 28.9 3.00 -34.8 1452
CSTR COINSTAR IN CSTR US 03/17/12 P42.5 -14.1 55.0 0.14 -87.3 253
KO COCA-COLA C KO US 03/17/12 P70 -13.8 11.0 1.82 -39.1 508
PRGO PERRIGO CO PRGO US 03/17/12 P85 -13.7 33.0 0.45 -66.7 1174
EMR EMERSON ELE EMR US 03/17/12 C52.5 -12.9 21.9 1.25 -37.5 1237
CSTR COINSTAR IN CSTR US 04/21/12 P50 -11.1 47.5 1.35 -70.0 328
EMR EMERSON ELE EMR US 03/17/12 P49 -11.1 26.3 0.60 7.1 1065
PRGO PERRIGO CO PRGO US 08/18/12 C100 -11.1 27.5 6.20 -10.1 510
VPHM VIROPHARMA VPHM US 03/17/12 P25 -10.9 63.3 0.60 -14.3 612
HST HOST HOTELS HST US 03/17/12 P16 -10.5 26.3 0.20 0.0 300
CALL MAGICJACK V CALL US 03/17/12 P10 -10.2 100.1 0.10 -50.0 500
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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