U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Aug 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
=============================================================================
EXPE EXPEDIA INC EXPE US 10/20/12 C35 50.0 81.5 22.44 -3.7 500
SEMG SEMGROUP CO SEMG US 10/20/12 C25 48.6 51.9 9.10 19.7 245
AAPL APPLE INC AAPL US 09/22/12 C445 19.1 59.8 174.00 6.8 350
AAPL APPLE INC AAPL US 09/22/12 C450 16.2 56.6 169.79 1.6 586
LDK LDK SOLAR C LDK US 12/22/12 P1 15.7 139.9 0.25 0.0 800
ENOC ENERNOC INC ENOC US 09/22/12 P7.5 15.0 53.4 0.15 -84.2 344
AAPL APPLE INC AAPL US 10/20/12 C425 14.4 51.5 194.00 1.8 441
AAPL APPLE INC AAPL US 09/22/12 C420 13.6 65.5 199.00 -2.3 862
VC VISTEON COR VC US 12/22/12 P25 13.3 69.0 0.90 -63.3 232
GT GOODYEAR TI GT US 09/22/12 C2 13.0 232.9 9.60 0.0 200
AAPL APPLE INC AAPL US 10/20/12 C420 13.0 52.2 199.00 -2.0 1015
SIRI SIRIUS XM R SIRI US 01/18/14 C1 12.5 42.4 1.35 2.3 401
GPOR GULFPORT EN GPOR US 09/22/12 P25 12.4 53.4 1.40 0.0 202
VNET 21VIANET-AD VNET US 12/22/12 C10 12.3 78.6 2.35 17.5 1546
AAPL APPLE INC AAPL US 09/22/12 C440 12.3 58.0 179.00 -0.2 310
RIMM RESEARCH IN RIMM US 09/22/12 C7 12.2 73.1 1.12 36.6 1338
BAC BANK OF AME BAC US 09/22/12 P6 12.0 49.2 0.04 33.3 454
AAPL APPLE INC AAPL US 10/20/12 C470 11.9 38.5 150.00 -0.8 930
RIMM RESEARCH IN RIMM US 09/22/12 C8 11.9 72.2 0.64 56.1 17884
CLSN CELSION COR CLSN US 01/19/13 C2.5 11.8 102.5 1.10 4.8 260
AAPL APPLE INC AAPL US 09/22/12 C435 11.7 59.4 184.20 -2.5 425
MTW MANITOWOC C MTW US 09/22/12 C11 11.4 67.0 2.30 15.0 3728
DF DEAN FOODS DF US 09/22/12 C13 11.3 53.9 4.00 627.3 989
AAPL APPLE INC AAPL US 09/22/12 C425 11.2 62.4 194.00 29.9 595
AAPL APPLE INC AAPL US 10/20/12 C445 11.1 44.7 175.00 -0.8 1116
SLW SILVER WHEA SLW US 09/22/12 P31 10.4 38.5 1.89 -35.9 598
AAPL APPLE INC AAPL US 09/22/12 C495 10.3 39.7 124.00 -4.1 855
SLW SILVER WHEA SLW US 09/22/12 P30 10.3 39.4 1.42 -36.0 792
EXPR EXPRESS INC EXPR US 09/22/12 P15 10.2 57.6 0.60 -7.7 500
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
DF DEAN FOODS DF US 09/22/12 C17 -42.9 35.1 0.90 1700.0 467
DF DEAN FOODS DF US 09/22/12 P17 -37.7 35.8 0.85 -82.7 325
SVNT SAVIENT PHA SVNT US 01/19/13 C0.5 -33.8 60.8 0.20 0.0 265
SODA SODASTREAM SODA US 09/22/12 C42.5 -28.3 47.9 2.50 -26.5 214
SUN SUNOCO INC SUN US 09/22/12 C47 -27.9 12.3 1.05 0.0 1250
WCRX WARNER CHIL WCRX US 10/20/12 C16 -25.5 38.5 1.20 -35.1 641
WCRX WARNER CHIL WCRX US 10/20/12 P15 -25.4 42.7 0.55 -40.2 7824
KWK QUICKSILVER KWK US 12/22/12 C5 -23.9 54.5 0.60 0.0 4546
SODA SODASTREAM SODA US 10/20/12 C42.5 -23.0 47.1 3.00 -26.8 331
KCG KNIGHT CAPI KCG US 09/22/12 C2.5 -22.6 63.8 0.75 7.1 793
WCRX WARNER CHIL WCRX US 09/22/12 C16 -22.2 38.3 1.00 -52.4 365
PCLN PRICELINE.C PCLN US 09/22/12 P500 -22.1 36.8 5.20 372.7 221
SPPI SPECTRUM PH SPPI US 09/22/12 P11 -21.5 69.8 0.78 73.3 397
PCLN PRICELINE.C PCLN US 09/22/12 P495 -21.3 37.3 4.64 303.5 209
DF DEAN FOODS DF US 09/22/12 P16 -21.1 37.3 0.48 -78.2 262
PCLN PRICELINE.C PCLN US 09/22/12 P475 -20.4 38.7 2.80 211.1 238
PCLN PRICELINE.C PCLN US 10/20/12 P510 -20.1 36.2 12.00 233.3 207
CREE CREE INC CREE US 09/22/12 C27 -20.0 43.4 1.41 -18.0 292
SODA SODASTREAM SODA US 09/22/12 P32.5 -19.8 66.3 0.60 -45.5 225
PCLN PRICELINE.C PCLN US 09/22/12 C600 -19.4 32.2 14.50 -83.8 344
EZCH EZCHIP SEMI EZCH US 09/22/12 P30 -18.9 53.6 2.63 378.2 242
IQNT NEUTRAL TAN IQNT US 09/22/12 C12.5 -18.6 30.1 0.60 -14.3 503
RAX RACKSPACE H RAX US 09/22/12 C55 -18.4 37.5 2.65 103.8 286
CREE CREE INC CREE US 09/22/12 C25 -17.7 46.0 2.52 -8.0 317
PCLN PRICELINE.C PCLN US 09/22/12 C580 -17.6 32.9 23.00 0.0 356
SUN SUNOCO INC SUN US 09/22/12 P47 -16.9 12.5 0.67 -6.9 290
BZH BEAZER HOME BZH US 02/16/13 C2.5 -16.7 60.7 0.55 37.5 3194
HOS HORNBECK OF HOS US 12/22/12 C40 -16.7 36.6 3.90 -7.1 200
SODA SODASTREAM SODA US 10/20/12 P40 -16.6 59.6 3.50 -27.8 262
BZH BEAZER HOME BZH US 02/16/13 P2.5 -16.4 63.9 0.40 -20.0 4407
WCRX WARNER CHIL WCRX US 09/22/12 C14 -15.9 40.4 2.40 -35.1 288
DISH DISH NETWOR DISH US 09/22/12 C31 -15.6 31.0 1.00 -28.6 234
NXY NEXEN INC NXY US 09/22/12 C25 -15.6 13.9 1.00 5.3 385
CSC COMPUTER SC CSC US 09/22/12 C27.5 -15.4 31.8 2.65 341.7 293
KCG KNIGHT CAPI KCG US 10/20/12 C2.5 -15.2 65.5 0.80 6.7 417
TLT ISHARES BAR TLT US 09/22/12 P108 -14.7 21.8 0.04 0.0 259
WMT WAL-MART ST WMT US 09/22/12 C65 -14.6 23.9 9.55 6.1 304
DIS WALT DISNEY DIS US 09/22/12 C49 -13.9 18.5 2.20 11.1 361
DIS WALT DISNEY DIS US 09/22/12 P49 -13.7 18.7 0.68 -40.4 727
CSC COMPUTER SC CSC US 09/22/12 C29 -13.6 32.1 1.55 933.3 236
DF DEAN FOODS DF US 12/22/12 P16 -13.6 39.2 1.10 -4.3 229
PHMD PHOTOMEDEX PHMD US 09/22/12 P12.5 -13.5 86.3 1.10 -12.0 350
RENN RENREN INC- RENN US 09/22/12 C3.5 -13.2 54.6 0.50 0.0 204
RENN RENREN INC- RENN US 10/20/12 P4 -13.2 60.6 0.50 11.1 521
WPZ WILLIAMS PA WPZ US 01/19/13 P45 -13.1 24.9 1.40 21.7 570
BZH BEAZER HOME BZH US 01/19/13 C2.5 -13.0 62.1 0.50 0.0 2026
DIS WALT DISNEY DIS US 09/22/12 C48 -12.9 19.3 2.92 12.3 796
RL RALPH LAURE RL US 09/22/12 P125 -12.7 41.6 0.98 -6.7 699
SUNH SUN HEALTHC SUNH US 11/17/12 C7.5 -12.6 18.2 0.95 0.0 200
NRG NRG ENERGY NRG US 09/22/12 C20 -12.2 31.1 0.88 10.0 428
SHAW SHAW GROUP SHAW US 10/20/12 C41 -11.7 21.6 1.30 0.0 1060
DF DEAN FOODS DF US 09/22/12 C15 -11.3 40.4 2.20 2100.0 265
TLT ISHARES BAR TLT US 09/22/12 P105 -10.7 21.0 0.03 0.0 272
RAX RACKSPACE H RAX US 09/22/12 P47 -10.4 45.7 0.70 -70.8 201
SPPI SPECTRUM PH SPPI US 11/17/12 P12 -10.1 66.5 1.70 36.0 837
WFR MEMC ELEC M WFR US 10/20/12 P2.5 -10.1 87.6 0.35 -40.7 264
x - Ex-dividend. * - Ex-earnings.
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