U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Mar 6, 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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SPY SPDR S&P 50 SPY US 03/30/12 P141 52.6 8.6 6.75 32.9 343
PSEC PROSPECT CA PSEC US 05/19/12 C10 48.9 23.3 0.60 -20.0 240
PM PHILIP MORR PM US 06/16/12 C65 30.6 41.8 19.80 13.8 570
PPC PILGRIM'S P PPC US 06/16/12 C5 20.8 67.1 1.40 55.6 200
STO STATOIL ASA STO US 04/21/12 P27.5 20.1 27.7 1.05 90.9 662
PBR PETROBRAS S PBR US 04/21/12 C24 18.3 36.6 4.55 -23.5 200
JRCC JAMES RIVER JRCC US 04/21/12 P4 17.4 106.4 0.25 66.7 518
STO STATOIL ASA STO US 04/21/12 C27.5 16.2 27.4 1.05 -32.3 397
MWE MARKWEST EN MWE US 04/21/12 P57.5 14.9 21.8 0.75 11.9 401
SDS PROSHARES U SDS US 04/21/12 C14 14.8 25.2 2.62 19.1 387
VXX IPATH-S&P S VXX US 04/21/12 P17 14.5 66.7 0.10 -23.1 260
TSN TYSON FOODS TSN US 04/21/12 C19 14.0 24.9 0.80 0.0 1600
MMR MCMORAN EXP MMR US 04/21/12 P10 13.9 104.5 0.56 60.0 850
MMR MCMORAN EXP MMR US 04/21/12 P11 13.4 101.6 0.86 45.8 852
MMR MCMORAN EXP MMR US 04/21/12 P12 13.3 99.4 1.23 30.9 757
NLY ANNALY CAPI NLY US 04/21/12 C17 13.0 13.3 0.05 -28.6 411
ESI ITT EDUCATI ESI US 04/21/12 P60 12.9 74.8 4.95 47.8 1562
MTL MECHEL-SPON MTL US 04/21/12 P9 12.6 62.1 0.50 66.7 250
CNX CONSOL ENER CNX US 04/21/12 C32 12.3 44.5 2.43 -6.9 417
SDRL SEADRILL LT SDRL US 04/21/12 C38 12.1 27.0 0.95 -44.1 280
SMT SMART TECHN SMT US 08/18/12 C2.5 11.3 57.5 0.85 -19.1 417
SDRL SEADRILL LT SDRL US 04/21/12 P38 11.2 27.9 2.10 100.0 606
ANR ALPHA NATUR ANR US 04/21/12 C16 10.4 63.4 1.64 7.9 1021
SPY SPDR S&P 50 SPY US 03/30/12 P139 10.1 11.8 5.16 47.0 404
EGO ELDORADO GO EGO US 04/21/12 C14 10.1 40.4 0.80 -12.1 286
ANR ALPHA NATUR ANR US 04/21/12 P17 10.0 62.4 1.79 7.2 237
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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ONTY ONCOTHYREON ONTY US 04/21/12 P4 -62.3 96.3 0.20 -64.3 783
ONTY ONCOTHYREON ONTY US 05/19/12 P4 -62.3 84.2 0.20 -69.2 399
ONTY ONCOTHYREON ONTY US 05/19/12 P5 -59.6 90.1 0.70 -41.7 9717
ONTY ONCOTHYREON ONTY US 04/21/12 P3 -57.0 110.2 0.05 -82.8 644
ONTY ONCOTHYREON ONTY US 08/18/12 P5 -52.7 83.4 1.00 -25.9 511
ONTY ONCOTHYREON ONTY US 01/19/13 C5 -37.1 74.8 1.50 -67.4 1087
GAZ IPATH DJ-UB GAZ US 09/22/12 C2 -35.4 70.1 3.20 28.0 283
ONTY ONCOTHYREON ONTY US 01/19/13 C4 -32.8 72.5 2.40 -54.7 442
CLDX CELLDEX THE CLDX US 04/21/12 C3 -22.2 69.6 0.65 -23.5 636
MPEL MELCO CROWN MPEL US 04/21/12 P8 -22.0 71.8 0.05 0.0 226
SNV SYNOVUS FIN SNV US 04/21/12 C2 -21.2 44.4 0.10 -33.3 349
CIM CHIMERA INV CIM US 09/22/12 C2.5 -20.4 32.3 0.50 -9.1 250
DIS WALT DISNEY DIS US 04/21/12 P22 -18.9 70.0 0.02 -66.7 300
NTRI NUTRISYSTEM NTRI US 04/21/12 C11 -18.6 42.8 0.40 -69.2 395
SIRI SIRIUS XM R SIRI US 04/21/12 P2 -14.2 36.5 0.03 0.0 342
GA GIANT INTER GA US 04/21/12 C5 -11.8 48.4 0.25 25.0 1527
DKS DICK'S SPOR DKS US 04/21/12 C46 -11.6 29.2 2.15 12.0 345
DKS DICK'S SPOR DKS US 04/21/12 P43 -10.2 31.3 0.90 -23.7 857
SIRI SIRIUS XM R SIRI US 04/21/12 C2 -10.1 40.9 0.26 -16.1 584
IWM ISHARES-RUS IWM US 04/21/12 C70 -10.1 31.1 9.52 -11.8 288
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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