U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Sep 25, 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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XLS EXELIS INC XLS US 10/20/12 C10 101.7 44.5 0.75 44.2 268
NLY ANNALY CAPI NLY US 01/19/13 P17.5 64.6 24.5 1.02 8.5 1302
HD HOME DEPOT HD US 10/20/12 C52.5 63.3 28.2 7.60 12.3 2487
DTG DOLLAR THRI DTG US 11/17/12 C85 53.5 11.1 2.20 -6.4 200
SVNT SAVIENT PHA SVNT US 01/19/13 C1 44.7 221.3 1.75 -9.3 455
HTS HATTERAS FI HTS US 10/20/12 C29 44.1 16.3 0.47 -27.7 200
EPD ENTERPRISE EPD US 11/17/12 C52.5 42.9 16.7 1.75 -20.4 3335
ZAGG ZAGG INC ZAGG US 10/20/12 P8 37.3 75.6 0.35 75.0 984
DTG DOLLAR THRI DTG US 11/17/12 P85 35.7 9.5 0.50 0.0 317
BBT BB&T CORP BBT US 11/17/12 C30 34.0 20.7 3.65 0.0 800
BBT BB&T CORP BBT US 11/17/12 C31 31.9 21.3 2.66 0.0 800
EPD ENTERPRISE EPD US 12/22/12 C50 28.5 17.1 3.70 -15.3 202
ZAGG ZAGG INC ZAGG US 10/20/12 C8 28.4 71.3 1.00 11.1 201
PPHM PEREGRINE P PPHM US 10/20/12 P1 27.2 279.0 0.10 -50.0 503
BMY BRISTOL-MYE BMY US 11/17/12 C34 24.0 15.7 0.74 19.4 873
SWY SAFEWAY INC SWY US 10/20/12 P16 21.9 41.4 0.45 -25.0 5197
ESI ITT EDUCATI ESI US 10/20/12 P30 21.2 80.4 1.40 211.1 397
DE DEERE & CO DE US 11/17/12 C80 21.2 22.8 4.45 4.2 407
ABT ABBOTT LABS ABT US 10/20/12 C70 21.0 15.2 1.12 69.7 3006
BBT BB&T CORP BBT US 10/20/12 C31 20.8 24.5 2.61 7.4 800
ABT ABBOTT LABS ABT US 10/20/12 P70 20.4 15.1 1.15 -19.6 498
EPD ENTERPRISE EPD US 10/20/12 C52.5 18.9 15.4 1.55 -29.6 491
ABT ABBOTT LABS ABT US 10/20/12 P67.5 18.9 16.8 0.37 0.0 2378
CTFO CHINA TRANS CTFO US 12/22/12 P5 18.4 39.5 0.05 0.0 200
ZAGG ZAGG INC ZAGG US 10/20/12 P7 17.6 85.4 0.20 100.0 274
DTG DOLLAR THRI DTG US 01/19/13 C87.5 17.1 1.3 0.05 0.0 290
DPZ DOMINO'S PI DPZ US 10/20/12 C38 17.1 35.9 0.65 225.0 252
NSM NATIONSTAR NSM US 10/20/12 C35 16.9 61.4 1.60 113.3 255
DPZ DOMINO'S PI DPZ US 10/20/12 P37 16.7 36.3 1.60 -48.4 594
ABT ABBOTT LABS ABT US 10/20/12 C72.5 16.4 15.3 0.27 170.0 1548
ZAGG ZAGG INC ZAGG US 11/17/12 P7 16.1 80.5 0.35 75.0 330
PM PHILIP MORR PM US 01/19/13 C92.5 15.8 14.8 2.51 18.4 1501
DTG DOLLAR THRI DTG US 10/20/12 C87.5 15.4 2.9 0.09 80.0 363
CQP CHENIERE EN CQP US 11/17/12 C22 15.2 40.8 1.70 -26.1 708
FSIN FUSHI COPPE FSIN US 11/17/12 P7.5 15.1 46.9 0.10 0.0 529
CVH COVENTRY HE CVH US 04/20/13 C41 14.7 15.1 2.40 6.7 500
XLU SPDR-UTIL S XLU US 10/20/12 C36 14.2 9.7 0.67 13.6 4519
LO LORILLARD I LO US 10/20/12 P105 14.1 32.2 0.25 47.1 563
SWY SAFEWAY INC SWY US 10/20/12 P17 13.0 37.6 0.95 -20.8 304
ABT ABBOTT LABS ABT US 10/20/12 C67.5 12.8 16.4 3.05 27.1 268
WRLD WORLD ACCEP WRLD US 10/20/12 P65 12.7 42.0 1.40 64.7 1757
CAH CARDINAL HE CAH US 11/17/12 C39 12.5 19.7 1.00 0.0 502
NLY ANNALY CAPI NLY US 10/20/12 P17 12.3 22.2 0.16 6.7 482
PM PHILIP MORR PM US 01/18/14 C60 12.1 32.5 32.01 -0.3 231
XLF SPDR-FINL S XLF US 11/17/12 C14 12.1 26.1 1.98 3.7 948
DPZ DOMINO'S PI DPZ US 10/20/12 C37 12.1 35.9 1.10 100.0 582
MSFT MICROSOFT C MSFT US 10/20/12 C28 11.8 26.6 2.94 3.5 687
BAC BANK OF AME BAC US 11/17/12 C7 11.5 47.1 2.17 0.9 972
JAZZ JAZZ PHARMA JAZZ US 10/20/12 P55 11.4 42.0 1.60 28.0 293
BMY BRISTOL-MYE BMY US 10/20/12 C32 11.2 19.1 2.18 12.9 533
SWY SAFEWAY INC SWY US 10/20/12 P14 11.1 50.4 0.05 -50.0 211
MEET MEETME INC MEET US 02/16/13 C3 10.9 89.7 0.50 0.0 418
BWLD BUFFALO WIL BWLD US 11/17/12 C90 10.8 37.4 3.00 87.5 255
MDY SPDR S&P MI MDY US 10/20/12 C184 10.7 13.4 1.80 7.1 226
BAC BANK OF AME BAC US 10/20/12 C7 10.4 55.5 2.16 1.4 540
MDT MEDTRONIC I MDT US 10/20/12 P40 10.3 23.5 0.09 12.5 500
GOOG GOOGLE INC- GOOG US 10/20/12 P665 10.2 37.5 2.33 -11.4 233
OCN OCWEN FINL OCN US 01/19/13 P30 10.2 52.1 4.20 -4.5 306
CLNE CLEAN ENERG CLNE US 11/17/12 C14 10.2 39.6 0.50 -16.7 311
DTV DIRECTV DTV US 10/20/12 P55 10.0 17.9 0.97 -60.6 628
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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FDS FACTSET RES FDS US 10/20/12 P95 -45.6 26.9 1.35 -32.8 773
FDS FACTSET RES FDS US 10/20/12 P100 -43.8 26.6 3.93 4.0 1133
LBTYA LIBERTY GLO LBTYA US 01/19/13 C55 -42.9 11.9 6.84 80.0 200
RHT RED HAT INC RHT US 10/20/12 C57.5 -37.8 32.4 1.00 -68.8 552
RHT RED HAT INC RHT US 10/20/12 P55 -35.0 32.7 1.65 -13.2 819
PAYX PAYCHEX INC PAYX US 10/20/12 P34 -34.7 14.7 0.75 25.0 537
RHT RED HAT INC RHT US 10/20/12 C55 -34.4 33.6 2.10 -53.3 775
RHT RED HAT INC RHT US 10/20/12 P52.5 -32.5 34.4 0.70 -33.3 317
PAYX PAYCHEX INC PAYX US 10/20/12 C34 -32.2 14.8 0.30 -68.1 356
IYR ISHARES-DJ IYR US 10/20/12 P66 -32.0 11.4 1.25 -6.7 996
PAYX PAYCHEX INC PAYX US 10/20/12 C35 -29.5 13.9 0.10 -78.7 334
DSW DSW INC-CL DSW US 10/20/12 C60 -29.4 29.4 6.46 61.5 300
RHT RED HAT INC RHT US 10/20/12 P50 -28.6 37.4 0.35 -40.7 407
PAYX PAYCHEX INC PAYX US 10/20/12 P35 -24.8 15.6 1.50 36.4 570
IYR ISHARES-DJ IYR US 10/20/12 P65 -23.0 12.4 0.73 -1.4 923
DVAX DYNAVAX TEC DVAX US 10/20/12 C5 -22.1 59.2 0.25 -3.9 932
CALL MAGICJACK V CALL US 11/17/12 P22.5 -21.7 67.5 1.40 -6.7 1040
IYR ISHARES-DJ IYR US 01/19/13 C50 -21.7 19.1 15.20 -3.8 695
CCL CARNIVAL CO CCL US 10/20/12 C38 -19.5 21.6 0.85 41.7 512
CCL CARNIVAL CO CCL US 10/20/12 C39 -19.2 20.3 0.50 38.9 961
CCL CARNIVAL CO CCL US 10/20/12 P37 -19.2 23.5 0.50 -56.5 2644
IYR ISHARES-DJ IYR US 10/20/12 C64 -19.2 12.9 1.60 -5.9 241
CCL CARNIVAL CO CCL US 10/20/12 P38 -18.4 21.8 0.85 -48.5 342
NLY ANNALY CAPI NLY US 01/19/13 C17.5 -18.4 5.4 0.26 4.0 1424
CCL CARNIVAL CO CCL US 10/20/12 C37 -18.1 22.9 1.55 47.6 293
TSLA TESLA MOTOR TSLA US 03/16/13 P23 -17.9 68.2 3.40 0.0 375
XLU SPDR-UTIL S XLU US 10/20/12 P37 -17.8 8.1 0.61 -23.8 292
FMER FIRSTMERIT FMER US 10/20/12 C15 -16.4 16.2 0.45 0.0 200
DLLR DFC GLOBAL DLLR US 01/19/13 C17.5 -16.1 31.6 1.20 -41.5 200
IYR ISHARES-DJ IYR US 10/20/12 P63 -16.1 14.5 0.24 -17.2 217
HTS HATTERAS FI HTS US 11/17/12 P29 -15.7 15.2 0.65 8.3 200
IYR ISHARES-DJ IYR US 10/20/12 P62 -14.4 15.6 0.13 -23.5 621
RHT RED HAT INC RHT US 12/22/12 P50 -14.1 38.8 1.85 2.8 650
ONNN ON SEMICOND ONNN US 10/20/12 P6 -13.8 40.1 0.15 50.0 200
BBY BEST BUY CO BBY US 10/20/12 P15 -13.7 45.9 0.09 -40.0 224
CALL MAGICJACK V CALL US 03/16/13 C17.5 -13.2 73.5 8.30 -3.5 1068
QCOR QUESTCOR PH QCOR US 10/20/12 P20 -13.0 123.6 2.95 -20.3 491
CCL CARNIVAL CO CCL US 10/20/12 P36 -12.9 25.2 0.20 -69.2 2303
Z ZILLOW INC- Z US 10/20/12 P40 -12.8 65.6 1.85 12.1 4989
XOM EXXON MOBIL XOM US 10/20/12 C80 -12.3 21.9 12.59 8.1 313
FDS FACTSET RES FDS US 12/22/12 C100 -12.1 27.9 4.30 -36.8 242
TSLA TESLA MOTOR TSLA US 03/16/13 P20 -12.0 71.9 2.10 20.0 621
SNV SYNOVUS FIN SNV US 02/16/13 P2 -11.9 44.5 0.10 0.0 999
TSLA TESLA MOTOR TSLA US 03/16/13 P19 -11.8 73.4 1.75 20.7 292
JBLU JETBLUE AIR JBLU US 01/19/13 P5 -11.7 33.1 0.40 0.0 1500
LVLT LEVEL 3 COM LVLT US 10/20/12 C24 -11.4 33.5 0.60 0.0 302
CAT CATERPILLAR CAT US 10/20/12 P80 -11.3 29.8 0.30 11.1 2224
IMGN IMMUNOGEN I IMGN US 10/20/12 C16 -11.3 35.5 0.90 25.0 268
HNR HARVEST NAT HNR US 10/20/12 P7.5 -11.2 84.8 0.20 0.0 658
RHT RED HAT INC RHT US 01/19/13 P50 -11.1 38.7 2.35 2.2 596
TSLA TESLA MOTOR TSLA US 03/16/13 P21 -11.0 70.1 2.30 24.3 232
WPZ WILLIAMS PA WPZ US 10/20/12 P55 -10.9 16.2 1.50 -16.7 250
CAT CATERPILLAR CAT US 10/20/12 P82.5 -10.3 28.4 0.58 20.8 796
MDRX ALLSCRIPTS MDRX US 10/20/12 C11 -10.3 34.4 0.40 -11.1 845
CAT CATERPILLAR CAT US 10/20/12 P85 -10.3 27.2 1.12 28.7 3255
HNR HARVEST NAT HNR US 10/20/12 C7.5 -10.2 86.8 1.70 -8.1 2859
x - Ex-dividend. * - Ex-earnings.
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