U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Aug 28, 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 3:00 p.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 500 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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LXK LEXMARK INT LXK US 09/22/12 C16 380.9 90.2 6.30 26.0 3235
TPCG TPC GROUP I TPCG US 09/22/12 C40 150.3 11.3 1.20 242.9 1132
LO LORILLARD I LO US 09/22/12 C125 65.8 21.4 1.40 -62.7 812
LXK LEXMARK INT LXK US 09/22/12 C18 65.6 65.0 4.30 138.9 3850
LXK LEXMARK INT LXK US 09/22/12 C17 60.5 85.4 5.30 74.3 2380
PPO POLYPORE IN PPO US 09/22/12 P32.5 38.8 63.8 2.85 171.4 533
PPO POLYPORE IN PPO US 09/22/12 P30 31.3 64.4 1.40 250.0 764
YELP YELP INC YELP US 09/22/12 P19 30.6 133.4 3.00 7.1 1108
LXK LEXMARK INT LXK US 10/20/12 C17 29.9 53.9 5.30 51.4 781
DDD 3D SYSTEMS DDD US 09/22/12 P40 25.7 58.5 1.15 -30.7 980
YELP YELP INC YELP US 09/22/12 P18 25.6 129.7 2.30 4.5 1095
VMC VULCAN MATE VMC US 09/22/12 C41 24.2 36.8 1.25 38.9 640
LXK LEXMARK INT LXK US 09/22/12 P20 24.0 47.5 0.40 -73.3 1646
YELP YELP INC YELP US 10/20/12 P17 23.7 115.4 2.45 0.0 504
YELP YELP INC YELP US 09/22/12 P17 22.3 124.0 1.70 9.7 1353
NTE NAM TAI ELE NTE US 09/22/12 P7.5 22.2 78.7 0.10 -50.0 634
ABX BARRICK GOL ABX US 09/22/12 C34 22.1 33.8 3.85 1.3 4850
SHAW SHAW GROUP SHAW US 09/22/12 P39 20.0 31.6 0.30 20.0 560
CFN CAREFUSION CFN US 09/22/12 C27 19.0 23.6 0.35 16.7 1663
SHAW SHAW GROUP SHAW US 10/20/12 P39 19.0 31.2 0.80 0.0 763
JOSB JOS A BANK JOSB US 09/22/12 P40 18.9 63.3 1.90 -12.4 1389
LO LORILLARD I LO US 09/22/12 C120 18.8 33.7 10.00 21.2 1448
CNP CENTERPOINT CNP US 11/17/12 C20 17.6 20.7 1.15 35.3 5941
NKE NIKE INC -C NKE US 09/22/12 P90 17.6 25.7 0.22 -40.5 801
BBY BEST BUY CO BBY US 09/22/12 P18 17.5 58.1 1.18 9.3 2365
BBY BEST BUY CO BBY US 09/22/12 C18 17.4 58.4 0.97 29.3 2213
HNZ HJ HEINZ CO HNZ US 09/22/12 C55 17.0 20.0 3.10 67.6 1278
SHAW SHAW GROUP SHAW US 10/20/12 P36 16.7 36.4 0.35 40.0 510
BBY BEST BUY CO BBY US 09/22/12 C17 16.5 56.0 1.44 11.6 605
SPY SPDR S&P 50 SPY US 09/22/12 C139 15.8 14.7 3.70 2.8 852
YELP YELP INC YELP US 09/22/12 P16 15.3 120.6 1.20 9.1 660
NKE NIKE INC -C NKE US 09/22/12 C97.5 15.1 19.9 2.70 128.8 765
MO ALTRIA GROU MO US 10/20/12 C32 15.0 19.3 2.48 8.3 760
AGQ PRSH-ULT SI AGQ US 09/22/12 P37 14.7 73.0 0.30 0.0 2096
NKE NIKE INC -C NKE US 09/22/12 C100 14.6 18.9 1.32 214.3 718
BBY BEST BUY CO BBY US 09/22/12 P17 14.2 55.2 0.67 15.5 3185
AINV APOLLO INV AINV US 03/16/13 C8 14.0 26.8 0.50 25.0 503
CAG CONAGRA FOO CAG US 09/22/12 P25 13.8 16.4 0.35 0.0 898
LXK LEXMARK INT LXK US 10/20/12 C22 13.6 42.0 1.25 400.0 584
EBIX EBIX INC EBIX US 03/16/13 P16 13.3 54.8 0.75 0.0 574
EBIX EBIX INC EBIX US 03/16/13 P22 12.8 47.2 2.30 0.0 656
ERY DIR ENERGY ERY US 10/20/12 C8 12.6 64.0 0.98 8.9 48909
TNGO TANGOE INC/ TNGO US 09/22/12 P17.5 12.4 62.6 0.95 216.7 511
YELP YELP INC YELP US 10/20/12 P14 12.1 111.9 1.01 -3.8 514
URBN URBAN OUTFI URBN US 09/22/12 C31 12.1 38.7 6.10 1.7 510
CCL CARNIVAL CO CCL US 09/22/12 P33 12.0 29.8 0.33 -40.0 815
MW MEN'S WEARH MW US 09/22/12 C32 12.0 54.3 1.20 33.3 530
RCL ROYAL CARIB RCL US 09/22/12 P25 12.0 32.4 0.23 -43.9 2102
DTG DOLLAR THRI DTG US 10/20/12 C87.5 11.7 1.9 0.15 50.0 581
SHAW SHAW GROUP SHAW US 10/20/12 P37 11.7 35.2 0.45 28.6 620
OSG OVERSEAS SH OSG US 09/22/12 C6 11.6 109.8 0.85 -5.6 2502
SPY SPDR S&P 50 SPY US 09/22/12 C138 11.3 15.8 4.50 4.7 997
FSLR FIRST SOLAR FSLR US 09/22/12 P26 11.2 83.8 2.29 -4.2 646
CPB CAMPBELL SO CPB US 09/22/12 P35 11.0 17.3 0.45 0.0 1115
LXK LEXMARK INT LXK US 09/22/12 P22 11.0 43.0 1.05 -63.2 950
DTG DOLLAR THRI DTG US 10/20/12 C85 10.7 7.0 2.35 4.4 598
KO COCA-COLA C KO US 09/22/12 P36.25 10.5 17.1 0.17 54.5 598
SUN SUNOCO INC SUN US 10/20/12 C49 10.4 13.9 0.30 20.0 922
ERY DIR ENERGY ERY US 09/22/12 C8 10.2 57.3 0.70 7.7 908
BAS BASIC ENERY BAS US 10/20/12 P10 10.1 70.6 0.55 22.2 3436
ABX BARRICK GOL ABX US 09/22/12 C32 10.0 46.1 5.85 -1.7 5366
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
XLF SPDR-FINL S XLF US 03/16/13 P9 -61.3 44.8 0.08 -20.0 500
SVNT SAVIENT PHA SVNT US 01/19/13 C0.5 -59.5 80.7 0.85 4.9 3209
SVNT SAVIENT PHA SVNT US 01/19/13 C1 -55.7 40.5 0.35 6.1 531
SAFM SANDERSON F SAFM US 09/22/12 C40 -43.8 25.9 4.08 101.0 1120
SVNT SAVIENT PHA SVNT US 09/22/12 C1 -42.9 71.1 0.35 16.7 3578
CALL MAGICJACK V CALL US 03/16/13 C17.5 -39.0 47.5 6.90 15.0 800
PWRD PERFECT WOR PWRD US 09/22/12 P10 -32.3 45.6 0.30 -40.0 635
STSI STAR SCIENT STSI US 09/22/12 C3.5 -32.0 55.3 0.50 11.1 518
YELP YELP INC YELP US 09/22/12 C19 -31.3 71.7 1.00 -33.3 961
SIRI SIRIUS XM R SIRI US 01/18/14 C1 -28.9 42.2 1.50 0.7 700
CYB WISDOMTR CH CYB US 04/20/13 P25 -27.5 4.3 0.25 -44.4 999
MVIS MICROVISION MVIS US 11/17/12 C2.5 -27.1 62.4 0.35 40.0 567
CLSN CELSION COR CLSN US 09/22/12 C5 -27.1 56.7 0.25 -28.6 597
PWRD PERFECT WOR PWRD US 09/22/12 C10 -25.9 47.1 0.75 -25.0 586
PVH PVH CORP PVH US 09/22/12 C95 -25.1 29.4 2.05 56.5 534
STSI STAR SCIENT STSI US 01/19/13 C3 -25.0 64.8 1.20 9.1 1006
PVH PVH CORP PVH US 09/22/12 C92.5 -23.2 30.2 3.40 68.3 2292
PVH PVH CORP PVH US 09/22/12 C85 -20.7 33.3 8.90 56.1 555
GRPN GROUPON INC GRPN US 10/20/12 C3 -20.2 71.0 1.45 0.0 600
NAVB NAVIDEA BIO NAVB US 10/20/12 C3 -19.5 113.3 1.10 1.9 775
EZCH EZCHIP SEMI EZCH US 09/22/12 C35 -18.7 41.5 1.80 80.0 803
FSLR FIRST SOLAR FSLR US 09/22/12 C10 -17.3 164.0 15.80 0.3 3000
CVLT COMMVAULT S CVLT US 09/22/12 C50 -14.9 40.6 3.20 24.0 660
SIRI SIRIUS XM R SIRI US 01/18/14 C2.5 -14.8 38.3 0.49 6.5 519
KCG KNIGHT CAPI KCG US 10/20/12 P2.5 -14.2 46.5 0.10 0.0 2629
LGF LIONS GATE LGF US 09/22/12 C14 -13.7 28.1 0.50 -9.1 1766
SIRI SIRIUS XM R SIRI US 01/18/14 C2 -13.6 40.8 0.76 5.6 1009
RDN RADIAN GROU RDN US 09/22/12 C3.5 -13.6 53.1 0.15 0.0 770
KCG KNIGHT CAPI KCG US 01/19/13 P2.5 -13.5 53.6 0.25 -16.7 3906
XLI SPDR-INDU S XLI US 09/22/12 P32 -13.3 27.2 0.03 -25.0 807
TWX TIME WARNER TWX US 01/19/13 C25 -12.2 53.4 16.45 40.0 2160
ZNGA ZYNGA INC- ZNGA US 09/22/12 P3 -12.1 55.3 0.14 -17.6 1329
CIM CHIMERA INV CIM US 12/22/12 C2.5 -11.3 28.9 0.10 0.0 1000
QIHU QIHOO 360 T QIHU US 09/22/12 C22.5 -10.6 67.9 1.15 -42.5 503
BIOS BIOSCRIP IN BIOS US 09/22/12 C7.5 -10.2 31.4 0.60 200.0 1538
XLF SPDR-FINL S XLF US 09/22/12 P13 -10.2 31.3 0.02 0.0 3978
x - Ex-dividend. * - Ex-earnings.
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