U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Nov 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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PFE PFIZER INC PFE US 12/22/12 C20 153.2 47.5 4.65 -2.1 1040
WY WEYERHAEUSE WY US 01/19/13 C20 108.0 39.0 7.80 1.3 5040
AOL AOL INC AOL US 04/20/13 C40 68.5 49.5 2.90 141.7 302
AOL AOL INC AOL US 01/19/13 C36 48.9 48.8 4.30 122.8 230
AOL AOL INC AOL US 01/19/13 C40 48.5 47.3 2.10 255.9 254
NLY ANNALY CAPI NLY US 01/19/13 P16 37.9 23.4 1.18 47.5 378
NLY ANNALY CAPI NLY US 04/20/13 P16 30.0 19.7 1.69 35.2 289
IN INTERMEC IN IN US 03/16/13 C7.5 19.5 51.5 0.90 63.6 200
MET METLIFE INC MET US 12/22/12 C30 18.6 49.8 4.60 8.2 1675
ESRX EXPRESS SCR ESRX US 01/19/13 C50 17.2 28.0 5.40 -58.7 303
ARRS ARRIS GROUP ARRS US 02/16/13 C12.5 16.1 32.8 2.00 81.8 250
NLY ANNALY CAPI NLY US 01/19/13 P15 15.3 22.1 0.53 60.6 557
MET METLIFE INC MET US 12/22/12 C31 15.1 40.4 3.65 -15.1 8000
TRGP TARGA RESOU TRGP US 12/22/12 C50 13.6 22.2 1.40 0.0 750
URA GLOBAL X UR URA US 01/19/13 P7 13.5 34.2 0.55 0.0 291
HOV HOVNANIAN E HOV US 12/22/12 C5.5 12.9 68.8 0.35 25.0 830
CLWR CLEARWIRE - CLWR US 12/22/12 P2 12.7 108.2 0.25 25.0 3055
AGNC AMERICAN CA AGNC US 12/22/12 C33 11.0 21.3 0.45 -25.0 1497
NLY ANNALY CAPI NLY US 04/20/13 P15 10.9 19.1 0.97 31.1 509
LLTC LINEAR TECH LLTC US 12/22/12 P33 10.7 21.6 1.09 0.0 376
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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XLV SPDR-HEALTH XLV US 06/22/13 P34 -66.0 21.0 0.60 0.0 418
XLV SPDR-HEALTH XLV US 06/22/13 P35 -65.3 19.9 0.74 -5.1 451
XLV SPDR-HEALTH XLV US 06/22/13 P36 -64.6 18.8 0.91 -5.2 363
XLV SPDR-HEALTH XLV US 06/22/13 P37 -63.7 17.7 1.11 -5.1 1270
XOM EXXON MOBIL XOM US 01/19/13 C77.5 -63.6 9.4 13.75 10.9 9076
MET METLIFE INC MET US 01/19/13 C28 -63.1 18.8 6.70 -16.4 2925
XLV SPDR-HEALTH XLV US 06/22/13 P38 -62.0 16.9 1.40 0.0 945
AOL AOL INC AOL US 04/20/13 P35 -61.5 12.0 1.40 -44.0 417
MIPS MIPS TECH I MIPS US 01/19/13 P7 -60.4 26.3 0.30 -66.7 252
MIPS MIPS TECH I MIPS US 12/22/12 C7 -57.2 27.3 0.35 -41.7 834
MIPS MIPS TECH I MIPS US 01/19/13 C7 -57.2 28.8 0.45 -40.0 313
MET METLIFE INC MET US 01/19/13 C21 -54.6 43.9 13.60 0.0 5000
XOM EXXON MOBIL XOM US 01/19/13 C70 -51.2 18.8 21.20 4.7 16075
PFE PFIZER INC PFE US 01/19/13 C20 -49.0 18.8 4.65 1.1 500
GM GENERAL MOT GM US 01/19/13 C17.5 -47.0 24.6 8.50 2.4 250
XOM EXXON MOBIL XOM US 01/19/13 C60 -36.8 37.5 31.20 4.3 9000
ESRX EXPRESS SCR ESRX US 12/22/12 P47.5 -32.8 28.9 0.20 0.0 560
AEP AMERICAN EL AEP US 05/18/13 C40 -32.1 10.5 3.70 -1.3 270
XOM EXXON MOBIL XOM US 12/22/12 C80 -30.9 18.8 11.20 1.8 390
PFE PFIZER INC PFE US 12/22/12 C22 -30.6 18.8 2.67 0.4 12856
ESRX EXPRESS SCR ESRX US 12/22/12 P50 -30.3 26.8 0.50 0.0 1534
FOSL FOSSIL INC FOSL US 12/22/12 P70 -30.1 48.9 1.20 5.3 264
FOSL FOSSIL INC FOSL US 12/22/12 P85 -30.0 43.2 6.40 51.3 486
XLV SPDR-HEALTH XLV US 06/22/13 P39 -29.9 16.0 1.73 0.0 547
FOSL FOSSIL INC FOSL US 12/22/12 C85 -29.0 44.4 4.30 -65.6 350
ESRX EXPRESS SCR ESRX US 12/22/12 C47.5 -28.4 30.8 7.25 0.0 261
ESRX EXPRESS SCR ESRX US 12/22/12 P52.5 -28.0 25.4 1.15 0.0 3336
CDE COEUR D'ALE CDE US 12/22/12 C24 -26.9 50.9 2.15 -65.3 200
FTR FRONTIER CO FTR US 01/19/13 C4 -26.9 38.2 0.40 -33.3 205
BSFT BROADSOFT I BSFT US 12/22/12 P30 -25.9 59.0 1.80 24.1 285
ESRX EXPRESS SCR ESRX US 12/22/12 P55 -24.9 24.7 2.15 411.9 756
ESRX EXPRESS SCR ESRX US 01/19/13 P50 -22.8 26.4 0.79 243.5 1590
XLF SPDR-FINL S XLF US 02/16/13 P11 -22.1 40.3 0.04 0.0 1100
Z ZILLOW INC- Z US 12/22/12 P25 -21.2 61.1 1.15 113.0 310
PPP PRIMERO MIN PPP US 01/19/13 C7.5 -20.6 40.7 0.60 71.4 207
ESRX EXPRESS SCR ESRX US 01/19/13 P52.5 -20.1 25.2 1.61 323.7 2512
ESRX EXPRESS SCR ESRX US 01/19/13 P55 -19.3 24.2 2.53 289.2 386
VVUS VIVUS INC VVUS US 12/22/12 P10 -19.0 73.6 0.44 131.6 577
CDE COEUR D'ALE CDE US 12/22/12 P17 -18.8 65.1 0.10 -33.3 341
PHMD PHOTOMEDEX PHMD US 12/22/12 P12.5 -18.7 59.0 0.90 -10.0 237
VVUS VIVUS INC VVUS US 12/22/12 P12 -18.4 68.7 1.25 123.2 564
VVUS VIVUS INC VVUS US 12/22/12 C12 -18.2 69.4 1.04 0.0 274
ESRX EXPRESS SCR ESRX US 02/16/13 P52.5 -16.9 26.7 2.18 198.6 259
PCYC PHARMACYCLI PCYC US 12/22/12 P35 -16.7 80.3 0.40 0.0 1006
ASIA ASIAINFO-LI ASIA US 04/20/13 P10 -16.4 36.6 0.60 -53.9 200
XLE SPDR-ENERGY XLE US 03/16/13 P36 -16.1 48.9 0.04 -80.0 480
ESRX EXPRESS SCR ESRX US 01/19/13 C55 -15.9 25.2 2.15 -74.7 788
CDE COEUR D'ALE CDE US 12/22/12 P23 -14.9 50.7 1.20 380.0 379
CDE COEUR D'ALE CDE US 12/22/12 P21 -14.8 54.3 0.50 400.0 212
DTV DIRECTV DTV US 12/22/12 P46 -14.8 22.0 0.50 38.9 500
BSFT BROADSOFT I BSFT US 02/16/13 P25 -14.8 62.6 1.25 25.0 280
DTV DIRECTV DTV US 12/22/12 P47 -14.3 21.1 0.64 30.6 351
SBAC SBA COMM CO SBAC US 12/22/12 C60 -14.1 25.1 6.00 -1.6 200
CLNE CLEAN ENERG CLNE US 12/22/12 C10 -13.0 45.4 1.80 24.1 298
ESRX EXPRESS SCR ESRX US 02/16/13 C52.5 -12.3 28.0 4.15 -58.5 798
CDE COEUR D'ALE CDE US 12/22/12 P24 -12.2 49.7 1.40 460.0 270
VVUS VIVUS INC VVUS US 01/19/13 P10 -12.0 75.5 0.72 71.4 741
WAG WALGREEN CO WAG US 01/18/14 C20 -11.9 41.6 14.10 -2.1 2730
DTV DIRECTV DTV US 01/19/13 P43 -11.6 24.3 0.28 0.0 520
DTV DIRECTV DTV US 01/19/13 P47 -11.3 21.2 0.95 58.3 358
NVO NOVO-NORDIS NVO US 12/22/12 P150 -11.3 26.0 5.80 42.2 646
IWM ISHARES-RUS IWM US 12/22/12 P47 -11.3 58.4 0.01 0.0 203
MNKD MANNKIND CO MNKD US 12/22/12 P2 -11.2 56.4 0.15 -11.8 205
ESRX EXPRESS SCR ESRX US 02/16/13 C55 -10.6 27.1 2.88 -66.6 1061
CTRP CTRIP.COM-A CTRP US 12/22/12 P17 -10.5 55.2 0.35 -31.4 285
CTRP CTRIP.COM-A CTRP US 12/22/12 P19 -10.3 51.5 0.85 -5.6 765
EMR EMERSON ELE EMR US 12/22/12 C52.5 -10.2 19.2 0.80 23.1 687
CDE COEUR D'ALE CDE US 12/22/12 P25 -10.1 49.3 2.15 377.8 333
CTRP CTRIP.COM-A CTRP US 12/22/12 P18 -10.1 52.5 0.55 -26.7 604
x - Ex-dividend. * - Ex-earnings.
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