U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Feb 8, 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
=============================================================================
CIM CHIMERA INV CIM US 03/17/12 C3 44.4 33.8 0.15 0.0 259
SPY SPDR S&P 50 SPY US 03/17/12 P141 42.4 12.0 7.50 7.1 385
SNTS SANTARUS IN SNTS US 03/17/12 C5 41.6 65.8 0.05 0.0 200
BAC BANK OF AME BAC US 03/17/12 C5 34.8 84.6 3.00 3.8 252
ROCK GIBRALTAR I ROCK US 03/17/12 C15 32.4 64.8 2.25 0.0 203
EEM ISHARES-EMG EEM US 12/22/12 P45 27.3 25.7 5.20 -1.1 6000
PZG PARAMOUNT G PZG US 06/16/12 C2.5 25.1 71.3 0.50 0.0 245
CERN CERNER CORP CERN US 03/17/12 P55 23.1 42.7 0.10 -75.6 1124
GGC GEORGIA GUL GGC US 03/17/12 P30 20.4 69.5 1.55 55.0 1614
GGC GEORGIA GUL GGC US 03/17/12 C32.5 19.7 61.4 2.40 0.0 500
WPZ WILLIAMS PA WPZ US 01/19/13 C45 17.3 26.8 16.90 -2.9 270
SIMO SILICON MOT SIMO US 03/17/12 C20 16.8 69.1 1.70 61.9 724
RENN RENREN INC- RENN US 03/17/12 C4 16.1 99.6 1.35 0.0 355
SNY SANOFI-ADR SNY US 03/17/12 C38 15.4 20.6 0.55 -20.3 1727
CSC COMPUTER SC CSC US 03/17/12 P32.5 14.7 50.0 2.90 -50.0 2185
DNR DENBURY RES DNR US 03/17/12 C20 14.6 43.8 0.70 -22.2 1824
GME GAMESTOP CO GME US 03/17/12 P23 14.5 35.8 0.37 -41.3 415
VPRT VISTAPRINT VPRT US 03/17/12 P42.5 14.3 71.0 4.53 5.3 1261
CA CA INC CA US 03/17/12 P22 14.0 38.4 0.05 -50.0 500
VXX IPATH-S&P S VXX US 03/17/12 P18 13.5 54.2 0.06 -14.3 385
IVZ INVESCO LTD IVZ US 03/17/12 C25 13.4 27.5 0.50 25.0 268
EEM ISHARES-EMG EEM US 12/22/12 P35 13.0 33.2 1.79 -3.8 6000
KGN KEEGAN RESO KGN US 05/19/12 C5 12.8 67.9 0.60 0.0 273
MDRX ALLSCRIPTS MDRX US 03/17/12 P20 12.6 34.7 0.40 -60.0 260
ZAGG ZAGG INC ZAGG US 03/17/12 C9 12.1 60.2 2.10 10.5 214
BAC BANK OF AME BAC US 03/17/12 C6 12.0 65.0 2.05 9.0 608
SPY SPDR S&P 50 SPY US 03/17/12 P139 11.7 12.8 5.87 7.1 268
DMD DEMAND MEDI DMD US 05/19/12 P5 11.3 88.3 0.55 37.5 520
GES GUESS? INC GES US 03/17/12 P34 11.1 44.0 2.10 -4.5 321
RMBS RAMBUS INC RMBS US 03/17/12 P6 10.9 81.5 0.09 -30.8 216
AIXG AIXTRON SE- AIXG US 03/17/12 P15 10.8 73.9 1.40 -9.7 692
AAPL APPLE INC AAPL US 03/17/12 C400 10.8 29.3 72.15 4.5 1021
DNR DENBURY RES DNR US 03/17/12 P20 10.7 42.7 1.30 -31.6 550
S SPRINT NEXT S US 03/17/12 C1.5 10.5 98.5 0.90 -10.0 1326
TSL TRINA SOLAR TSL US 03/17/12 C8 10.2 94.9 1.36 27.1 4530
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
BCSI BLUE COAT S BCSI US 01/18/14 C25 -42.3 3.4 0.85 -10.5 621
OPEN OPENTABLE I OPEN US 03/17/12 P45 -28.7 58.7 3.40 30.8 303
OPEN OPENTABLE I OPEN US 03/17/12 P47.5 -28.4 58.6 5.10 64.5 666
OPEN OPENTABLE I OPEN US 03/17/12 P42.5 -27.8 59.6 2.20 18.9 374
OPEN OPENTABLE I OPEN US 03/17/12 C47.5 -25.8 54.5 2.05 -71.1 246
BWLD BUFFALO WIL BWLD US 03/17/12 P80 -25.6 31.9 3.00 0.0 244
PNRA PANERA BREA PNRA US 03/17/12 C155 -25.2 29.5 4.30 -60.2 394
NLY ANNALY CAPI NLY US 03/17/12 P16 -24.8 15.8 0.12 20.0 500
PNRA PANERA BREA PNRA US 03/17/12 P145 -24.6 30.4 2.75 5.8 306
PNRA PANERA BREA PNRA US 03/17/12 P140 -24.5 31.0 1.65 0.0 445
PNRA PANERA BREA PNRA US 03/17/12 P150 -23.8 30.0 4.51 15.6 219
SGI SILICON GRA SGI US 03/17/12 P11 -22.8 59.5 0.85 214.8 430
SGI SILICON GRA SGI US 03/17/12 P10 -22.4 63.5 0.45 -50.0 297
BWLD BUFFALO WIL BWLD US 03/17/12 C80 -21.5 31.6 3.60 380.0 694
DIS WALT DISNEY DIS US 03/17/12 C41 -21.5 21.9 1.25 -14.4 3159
DIS WALT DISNEY DIS US 03/17/12 C42 -20.9 21.2 0.81 -17.4 1569
NLY ANNALY CAPI NLY US 04/21/12 P17 -20.6 9.6 0.97 56.5 581
BWLD BUFFALO WIL BWLD US 03/17/12 C75 -20.2 33.5 6.80 267.6 324
DIS WALT DISNEY DIS US 03/17/12 P41 -20.1 21.8 1.08 -24.5 2280
DIS WALT DISNEY DIS US 03/17/12 C40 -19.9 23.0 1.90 -7.3 1202
BWLD BUFFALO WIL BWLD US 03/17/12 C70 -19.3 35.3 11.10 158.1 226
WU WESTERN UNI WU US 03/17/12 C18 -19.1 23.3 0.55 -68.6 636
BWLD BUFFALO WIL BWLD US 03/17/12 P75 -19.0 34.2 1.50 -77.3 513
DIS WALT DISNEY DIS US 03/17/12 P40 -18.3 22.9 0.71 -29.0 641
DIS WALT DISNEY DIS US 03/17/12 C39 -18.3 24.2 3.00 10.3 368
AINV APOLLO INV AINV US 09/22/12 P7 -17.6 23.4 1.00 66.7 683
BWLD BUFFALO WIL BWLD US 03/17/12 P70 -17.6 37.0 0.50 -86.8 551
IR INGERSOLL-R IR US 03/17/12 C39 -16.8 28.4 0.90 -14.3 450
AVID AVID TECHNO AVID US 03/17/12 C12.5 -16.7 46.6 0.45 200.0 245
BWLD BUFFALO WIL BWLD US 03/17/12 C65 -16.7 38.8 15.30 115.5 297
DIS WALT DISNEY DIS US 03/17/12 P39 -16.6 24.1 0.45 -35.7 1247
IR INGERSOLL-R IR US 03/17/12 C38 -14.6 30.3 1.42 1.4 277
RL RALPH LAURE RL US 03/17/12 C175 -14.5 28.3 5.40 250.7 367
S SPRINT NEXT S US 05/19/12 C1.5 -14.5 72.3 0.84 -20.0 215
KFN KKR FINANCI KFN US 07/21/12 C9 -14.2 22.0 0.63 40.0 249
NLY ANNALY CAPI NLY US 03/17/12 C16 -14.1 16.0 0.71 -41.3 754
IR INGERSOLL-R IR US 03/17/12 C35 -13.7 32.5 4.60 35.3 233
RL RALPH LAURE RL US 03/17/12 C170 -13.7 29.3 7.75 210.0 661
DIS WALT DISNEY DIS US 04/21/12 C42 -13.5 20.9 1.23 -8.2 243
BWLD BUFFALO WIL BWLD US 03/17/12 P65 -12.8 40.5 0.21 -89.2 400
DIS WALT DISNEY DIS US 04/21/12 C43 -12.8 20.6 0.78 -19.6 426
HEK HECKMANN CO HEK US 03/17/12 P5 -12.8 52.7 0.30 0.0 2410
DIS WALT DISNEY DIS US 04/21/12 C41 -12.7 21.7 1.70 -7.6 346
IR INGERSOLL-R IR US 03/17/12 C34 -12.5 35.1 5.50 34.1 502
CVS CVS CAREMAR CVS US 03/17/12 C44 -12.4 20.7 1.01 7.5 465
DIS WALT DISNEY DIS US 04/21/12 C40 -12.3 22.5 2.36 -2.1 359
DIS WALT DISNEY DIS US 04/21/12 C39 -12.2 23.5 3.37 10.5 441
NLY ANNALY CAPI NLY US 04/21/12 P16 -11.9 13.7 0.38 65.2 587
NLY ANNALY CAPI NLY US 04/21/12 P15 -11.6 19.9 0.19 26.7 231
MBT MOBILE TELE MBT US 03/17/12 P17 -11.5 29.9 0.40 -62.6 250
IR INGERSOLL-R IR US 03/17/12 P36 -11.5 32.1 0.75 -31.8 415
RL RALPH LAURE RL US 03/17/12 P170 -11.4 29.1 5.30 0.0 915
YHOO YAHOO! INC YHOO US 03/17/12 C13 -11.4 35.9 2.95 2.8 200
CSC COMPUTER SC CSC US 03/17/12 P30 -11.2 51.4 1.45 -61.5 472
TWX TIME WARNER TWX US 03/17/12 C38 -11.1 21.0 1.03 -11.2 1505
DIS WALT DISNEY DIS US 04/21/12 P39 -11.1 23.6 0.84 -20.0 306
RL RALPH LAURE RL US 03/17/12 P165 -11.0 30.1 3.20 0.0 1084
NLY ANNALY CAPI NLY US 07/21/12 P16 -11.0 13.6 0.86 36.5 776
TWX TIME WARNER TWX US 03/17/12 C39 -10.9 19.8 0.59 -7.8 297
CTSH COGNIZANT T CTSH US 03/17/12 P72.5 -10.7 28.1 3.20 0.0 1014
SPLS STAPLES INC SPLS US 03/17/12 P15 -10.6 27.0 0.60 0.0 1450
CSC COMPUTER SC CSC US 03/17/12 C32.5 -10.5 48.0 1.32 325.8 712
RL RALPH LAURE RL US 03/17/12 C150 -10.4 34.1 23.60 96.7 234
CSC COMPUTER SC CSC US 03/17/12 C30 -10.1 49.2 2.57 295.4 301
NG NOVAGOLD RE NG US 03/17/12 P9 -10.0 56.2 0.85 13.3 370
x - Ex-dividend. * - Ex-earnings.
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