U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Feb 22, 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
=============================================================================
PBY PEP BOYS MM PBY US 04/21/12 C15 48.8 8.4 0.20 0.0 1097
GCI GANNETT CO GCI US 03/17/12 C15 42.0 46.1 1.20 140.0 1045
CTAS CINTAS CORP CTAS US 03/17/12 C35 39.9 23.0 3.85 -5.2 2000
RGP REGENCY ENE RGP US 03/17/12 C25 31.1 19.8 1.65 120.0 200
EWJ ISHARES-JAP EWJ US 03/17/12 C9 27.8 31.4 1.03 8.4 297
FIRE SOURCEFIRE FIRE US 03/17/12 C30 25.2 79.7 13.80 119.0 364
SXC SUNCOKE ENE SXC US 03/17/12 C12.5 25.1 42.8 1.80 -16.3 300
MTSN MATTSON TEC MTSN US 06/16/12 C2.5 24.8 73.0 0.55 -35.3 210
ETE ENERGY TRAN ETE US 03/17/12 C45 24.1 19.9 0.05 -85.7 216
LDK LDK SOLAR C LDK US 06/16/12 C5 23.6 36.8 1.42 12.7 615
SDRL SEADRILL LT SDRL US 04/21/12 C36 21.8 32.2 4.00 9.6 1092
HW HEADWATERS HW US 03/17/12 C2 21.5 113.7 1.00 -16.7 200
FXY CRYSHS-JAPA FXY US 03/17/12 P127 21.4 10.1 4.60 24.3 351
GCI GANNETT CO GCI US 04/21/12 P16 20.8 41.1 1.05 -30.0 249
GPC GENUINE PAR GPC US 03/17/12 C65 20.4 22.1 0.40 -33.3 630
WES WESTERN GAS WES US 03/17/12 C45 19.8 20.1 0.65 -18.8 201
WMB WILLIAMS CO WMB US 03/17/12 C29 18.5 27.6 1.00 17.6 238
AGNC AMERICAN CA AGNC US 03/17/12 C31 18.3 11.4 0.09 0.0 248
PSEC PROSPECT CA PSEC US 08/18/12 C10 17.7 24.0 1.35 17.4 294
TLT ISHARES BAR TLT US 01/19/13 C100 17.4 16.9 16.30 -6.3 214
WMB WILLIAMS CO WMB US 03/17/12 C30 16.5 26.4 0.49 28.9 3244
YHOO YAHOO! INC YHOO US 03/17/12 P15 16.0 29.8 0.78 50.0 6893
MIND MITCHAM IND MIND US 03/17/12 C25 15.9 55.8 1.05 0.0 209
FORM FORMFACTOR FORM US 03/17/12 C5 15.1 47.4 0.35 -12.5 200
TDS TELEPHONE & TDS US 03/17/12 C30 15.0 32.8 0.50 100.0 1086
FXY CRYSHS-JAPA FXY US 03/17/12 P125 13.8 9.8 2.75 30.9 1325
FMCN FOCUS MEDIA FMCN US 03/17/12 P24 13.3 82.6 1.85 0.0 355
FMCN FOCUS MEDIA FMCN US 03/17/12 P23 12.9 86.6 1.54 10.0 4170
ALU ALCATEL-LUC ALU US 03/17/12 C2 12.7 77.6 0.52 -13.3 227
WMB WILLIAMS CO WMB US 03/17/12 P29 12.5 26.7 0.69 3.0 711
GLNG GOLAR LNG L GLNG US 03/17/12 C45 12.3 42.3 1.05 -38.2 405
YHOO YAHOO! INC YHOO US 03/17/12 C15 12.3 30.4 0.23 -23.3 1898
GCI GANNETT CO GCI US 03/17/12 C16 12.1 35.0 0.60 300.0 562
FMCN FOCUS MEDIA FMCN US 03/17/12 P22 11.7 89.5 1.05 -4.5 840
QIHU QIHOO 360 T QIHU US 03/17/12 P17.5 11.5 91.0 1.55 -6.1 1170
FMCN FOCUS MEDIA FMCN US 03/17/12 P25 11.1 78.7 2.30 7.0 290
RDN RADIAN GROU RDN US 03/17/12 C4 10.9 107.1 0.35 -30.0 612
INTC INTEL CORP INTC US 03/17/12 C23 10.8 33.7 3.70 -11.9 210
MNST MONSTER BEV MNST US 03/17/12 C55 10.7 53.1 2.65 29.3 603
WMB WILLIAMS CO WMB US 03/17/12 P28 10.6 28.3 0.35 25.0 597
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
IVR INVESCO MOR IVR US 03/17/12 P16 -72.2 1.4 0.20 -20.0 343
ETE ENERGY TRAN ETE US 03/17/12 P45 -54.5 12.0 2.15 53.6 200
CHS CHICO'S FAS CHS US 03/17/12 C14 -44.1 30.4 0.70 204.3 1426
HLF HERBALIFE L HLF US 03/17/12 C65 -41.5 34.0 2.70 3.9 599
DELL DELL INC DELL US 03/17/12 P17 -40.6 25.0 0.40 37.9 6718
HLF HERBALIFE L HLF US 03/17/12 C62.5 -39.4 34.3 4.40 22.2 236
DELL DELL INC DELL US 03/17/12 C16 -38.7 28.9 1.18 -50.2 445
HLF HERBALIFE L HLF US 03/17/12 P65 -38.7 34.0 1.75 -67.3 279
HLF HERBALIFE L HLF US 03/17/12 P62.5 -38.6 34.3 0.90 -74.7 233
DELL DELL INC DELL US 03/17/12 C17 -38.2 25.9 0.47 -69.5 1619
CHS CHICO'S FAS CHS US 03/17/12 P14 -38.1 32.0 0.25 -83.7 234
DELL DELL INC DELL US 03/17/12 P16 -37.7 28.2 0.12 -7.7 2451
HLF HERBALIFE L HLF US 03/17/12 P60 -37.0 35.8 0.45 -81.6 979
CAKE CHEESECAKE CAKE US 03/17/12 P28 -36.9 32.0 0.35 6.1 448
HLF HERBALIFE L HLF US 03/17/12 C60 -36.6 37.2 6.60 34.7 478
LAMR LAMAR ADVER LAMR US 03/17/12 C33 -35.6 35.9 1.10 -7.6 440
GRMN GARMIN LTD GRMN US 03/17/12 P47 -35.0 28.5 0.73 -76.8 290
FIRE SOURCEFIRE FIRE US 03/17/12 P45 -34.9 49.3 2.80 0.0 307
GRMN GARMIN LTD GRMN US 03/17/12 P45 -33.5 30.0 0.30 -88.2 2374
YNDX YANDEX NV-A YNDX US 03/17/12 P22 -33.4 45.5 0.85 -5.6 535
GRMN GARMIN LTD GRMN US 03/17/12 P46 -33.2 29.2 0.45 -84.4 263
GRMN GARMIN LTD GRMN US 03/17/12 C47 -33.0 27.2 2.86 225.0 279
GRMN GARMIN LTD GRMN US 03/17/12 P50 -33.0 28.5 2.15 -62.8 677
CYH COMMUNITY H CYH US 03/17/12 C23 -32.1 38.0 0.90 125.0 2259
GRMN GARMIN LTD GRMN US 03/17/12 C48 -31.9 26.9 1.83 221.1 233
GRMN GARMIN LTD GRMN US 03/17/12 C49 -31.7 26.9 1.30 242.1 415
YNDX YANDEX NV-A YNDX US 03/17/12 P21 -31.4 48.7 0.55 0.0 523
GRMN GARMIN LTD GRMN US 03/17/12 P49 -30.9 28.9 1.59 -66.5 1015
DELL DELL INC DELL US 03/17/12 P15 -30.5 33.9 0.05 0.0 1427
GRMN GARMIN LTD GRMN US 03/17/12 C45 -30.2 30.2 4.15 139.9 241
DLTR DOLLAR TREE DLTR US 03/17/12 P85 -29.9 21.6 1.61 15.0 418
INTU INTUIT INC INTU US 03/17/12 C60 -29.5 23.3 2.30 130.0 1384
INTU INTUIT INC INTU US 03/17/12 C62.5 -29.2 22.4 0.85 118.0 767
CYH COMMUNITY H CYH US 03/17/12 P23 -28.9 37.9 0.75 -87.9 282
FIRE SOURCEFIRE FIRE US 03/17/12 C45 -28.6 47.2 1.55 520.0 703
GRMN GARMIN LTD GRMN US 03/17/12 C50 -28.0 27.6 0.87 210.7 1483
DLTR DOLLAR TREE DLTR US 03/17/12 C87.5 -27.8 21.8 1.10 -62.1 333
TXRH TEXAS ROADH TXRH US 03/17/12 C17.5 -27.2 28.5 0.40 33.3 224
DLTR DOLLAR TREE DLTR US 03/17/12 P87.5 -26.3 21.5 2.85 18.8 252
INTU INTUIT INC INTU US 03/17/12 P60 -25.4 23.4 0.85 -75.7 536
BRCD BROCADE COM BRCD US 03/17/12 C6 -25.1 46.4 0.15 -11.8 1058
PWR QUANTA SERV PWR US 03/17/12 C22 -25.1 27.6 0.35 -53.3 515
CQB CHIQUITA BR CQB US 05/19/12 C8 -24.9 40.0 1.60 3.2 205
SZYM SOLAZYME IN SZYM US 06/16/12 C10 -24.9 51.5 2.65 -5.4 235
NFX NEWFIELD EX NFX US 03/17/12 P35 -24.0 35.8 0.40 166.7 565
HLF HERBALIFE L HLF US 03/17/12 P55 -23.0 44.3 0.15 -84.4 339
FIRE SOURCEFIRE FIRE US 03/17/12 P40 -22.3 52.1 0.75 -90.8 413
INTU INTUIT INC INTU US 03/17/12 C57.5 -22.2 26.1 4.10 105.0 626
RRD RR DONNELLE RRD US 03/17/12 C14 -22.0 37.2 0.30 -14.3 284
PWR QUANTA SERV PWR US 03/17/12 P21 -21.9 29.5 0.45 -11.8 1133
NBR NABORS INDS NBR US 03/17/12 C22 -21.3 39.5 0.70 52.2 505
INTU INTUIT INC INTU US 03/17/12 P55 -20.3 28.7 0.10 -90.5 1131
GRMN GARMIN LTD GRMN US 03/17/12 P41 -19.5 40.4 0.09 -90.4 282
NBR NABORS INDS NBR US 03/17/12 P21 -19.5 39.9 0.70 -36.4 339
NBR NABORS INDS NBR US 03/17/12 C21 -19.3 40.1 1.26 68.0 526
NBR NABORS INDS NBR US 03/17/12 P20 -18.8 40.9 0.28 -69.2 315
FIRE SOURCEFIRE FIRE US 03/17/12 C40 -18.3 52.7 4.50 429.4 1340
GRMN GARMIN LTD GRMN US 04/21/12 C49 -18.3 26.3 1.94 169.4 376
NBR NABORS INDS NBR US 03/17/12 P19 -18.1 42.7 0.12 -77.4 5423
PKT PROCERA NET PKT US 03/17/12 C20 -17.8 51.2 0.75 -6.2 210
GRMN GARMIN LTD GRMN US 04/21/12 P49 -17.7 28.6 2.39 0.0 336
MGM MGM RESORTS MGM US 03/17/12 P14 -17.6 38.6 0.50 -18.0 1262
HLF HERBALIFE L HLF US 05/19/12 C65 -17.4 35.6 4.90 22.5 315
DELL DELL INC DELL US 05/19/12 C16 -17.4 29.1 1.56 -40.0 1656
GRMN GARMIN LTD GRMN US 04/21/12 C50 -17.4 26.0 1.52 204.0 327
DELL DELL INC DELL US 05/19/12 P16 -17.3 29.2 0.51 37.8 1228
LL LUMBER LIQU LL US 03/17/12 C20 -17.2 34.8 0.55 -75.0 255
MGM MGM RESORTS MGM US 03/17/12 C14 -17.1 38.5 0.59 -21.3 3812
DELL DELL INC DELL US 05/19/12 P17 -17.1 27.2 0.83 33.9 2846
DELL DELL INC DELL US 05/19/12 C17 -16.9 27.1 0.96 -48.1 2018
NBR NABORS INDS NBR US 03/17/12 P18 -16.9 46.0 0.05 -82.1 267
FXY CRYSHS-JAPA FXY US 03/17/12 P115 -16.8 12.1 0.05 0.0 205
MGM MGM RESORTS MGM US 03/17/12 P13 -16.2 41.7 0.19 -29.6 563
TJX TJX COS INC TJX US 03/17/12 C35 -15.6 23.3 0.70 -39.1 1438
GRMN GARMIN LTD GRMN US 03/17/12 P38 -15.6 45.1 0.04 -89.5 209
JAG JAGUAR MINI JAG US 03/17/12 P5 -15.3 96.1 0.05 -50.0 4995
TJX TJX COS INC TJX US 03/17/12 P35 -14.8 23.3 0.95 10.5 1327
CHS CHICO'S FAS CHS US 03/17/12 P13 -14.7 42.6 0.05 -94.1 223
RRC RANGE RESOU RRC US 03/17/12 C70 -14.6 38.5 1.65 65.0 276
ARIA ARIAD PHARM ARIA US 03/17/12 C15 -14.6 50.4 0.50 -16.7 1578
HLF HERBALIFE L HLF US 03/17/12 P52.5 -14.3 49.8 0.08 -84.0 672
CHK CHESAPEAKE CHK US 03/17/12 P22 -13.9 40.6 0.24 -7.7 248
RRC RANGE RESOU RRC US 03/17/12 C67.5 -13.7 37.7 2.60 67.7 686
GRMN GARMIN LTD GRMN US 07/21/12 P49 -13.5 29.9 4.13 0.0 255
GRMN GARMIN LTD GRMN US 07/21/12 P50 -13.4 29.6 4.50 -48.3 201
UPL ULTRA PETRO UPL US 03/17/12 C20 -13.4 49.4 3.40 -10.5 1031
FIRE SOURCEFIRE FIRE US 03/17/12 P35 -13.2 52.7 0.10 -94.3 432
OPTR OPTIMER PHA OPTR US 03/17/12 C10 -13.0 63.8 2.70 -12.9 200
CHS CHICO'S FAS CHS US 05/19/12 C15 -13.0 32.5 0.80 220.0 263
CHK CHESAPEAKE CHK US 03/17/12 P24 -12.7 37.3 0.84 9.1 763
ILMN ILLUMINA IN ILMN US 03/17/12 P49 -12.7 23.4 0.45 -10.0 205
NRF NORTHSTAR R NRF US 06/16/12 C5 -12.6 33.4 0.55 -35.3 230
OCR OMNICARE IN OCR US 03/17/12 P34 -12.6 35.6 0.75 -34.8 429
CHK CHESAPEAKE CHK US 03/17/12 C23 -12.5 38.9 1.64 -19.6 1477
TBT PROSHARES U TBT US 03/17/12 C18 -12.5 29.5 1.51 -12.2 513
RDS/B ROYAL DUTCH RDSB US 04/21/12 C75 -12.3 19.1 1.55 0.0 219
WPRT WESTPORT IN WPRT US 03/17/12 P40 -12.2 52.5 0.70 0.0 368
DLTR DOLLAR TREE DLTR US 05/19/12 C85 -11.9 23.0 4.10 -33.9 488
CHK CHESAPEAKE CHK US 03/17/12 P25 -11.9 35.8 1.39 13.0 1386
BAS BASIC ENERY BAS US 03/17/12 P17.5 -11.9 54.3 0.30 0.0 204
SPY SPDR S&P 50 SPY US 03/17/12 P140 -11.8 9.5 4.75 2.1 627
CHK CHESAPEAKE CHK US 03/17/12 C25 -11.8 36.0 0.51 -40.7 1955
CHK CHESAPEAKE CHK US 03/17/12 P23 -11.8 38.7 0.47 0.0 1515
CHK CHESAPEAKE CHK US 03/17/12 P21 -11.6 43.6 0.12 -14.3 399
FOSL FOSSIL INC FOSL US 03/17/12 P120 -11.6 32.1 6.60 10.0 654
WIN WINDSTREAM WIN US 03/17/12 P12 -11.5 19.4 0.17 54.5 343
S SPRINT NEXT S US 03/17/12 C1.5 -11.5 95.3 0.72 -10.0 243
FSYS FUEL SYSTEM FSYS US 03/17/12 P27 -11.5 60.6 1.50 40.2 255
ITB ISHARES-DJ ITB US 03/17/12 P14 -11.4 26.0 0.55 22.2 218
CHK CHESAPEAKE CHK US 03/17/12 C24 -11.4 37.1 0.96 -29.4 975
XLE SPDR-ENERGY XLE US 03/17/12 C70 -11.0 23.5 5.90 1.7 201
ASIA ASIAINFO-LI ASIA US 07/21/12 P7 -10.8 97.1 0.40 -55.6 200
LAD LITHIA MOTO LAD US 03/17/12 C20 -10.6 68.5 4.70 -4.1 240
RRC RANGE RESOU RRC US 03/17/12 P62.5 -10.5 38.3 0.80 -60.0 289
IRWD IRONWOOD PH IRWD US 05/19/12 P12.5 -10.5 56.2 0.80 -5.9 218
CETV CENTRAL EUR CETV US 04/21/12 P7.5 -10.5 79.0 0.90 28.6 351
JBLU JETBLUE AIR JBLU US 03/17/12 P5 -10.5 51.2 0.20 11.1 324
DLTR DOLLAR TREE DLTR US 05/19/12 P85 -10.4 23.5 3.50 14.4 472
WMT WAL-MART ST WMT US 03/17/12 P55 -10.2 17.1 0.12 100.0 297
NRF NORTHSTAR R NRF US 06/16/12 P5 -10.2 30.4 0.25 25.0 212
NFX NEWFIELD EX NFX US 06/16/12 P35 -10.1 39.7 2.10 68.0 594
TJX TJX COS INC TJX US 04/21/12 P35 -10.1 21.2 1.45 20.8 291
RRC RANGE RESOU RRC US 03/17/12 C65 -10.0 38.3 4.30 79.2 917
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
To contact Bloomberg News for this story: newsdev@bloomberg.net