U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Nov 27, 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
=============================================================================
NWL NEWELL RUBB NWL US 12/22/12 C19 340.0 41.3 2.40 6.2 2866
ALL ALLSTATE CO ALL US 01/19/13 C35 235.0 31.4 5.85 11.4 2724
ARNA ARENA PHARM ARNA US 01/19/13 C3.5 65.3 173.2 5.75 2.7 1200
LVS LAS VEGAS S LVS US 12/22/12 C45 61.6 44.1 2.29 189.9 1087
LVS LAS VEGAS S LVS US 01/19/13 C45 61.3 47.4 2.75 96.4 702
LVS LAS VEGAS S LVS US 12/22/12 C46 57.1 42.1 1.64 241.7 2479
LVS LAS VEGAS S LVS US 01/19/13 C46 57.0 45.3 2.25 120.6 996
LVS LAS VEGAS S LVS US 01/19/13 C47 52.6 43.5 1.68 121.0 1229
LVS LAS VEGAS S LVS US 12/22/12 C47 51.1 40.6 1.09 289.3 2793
LVS LAS VEGAS S LVS US 01/19/13 C48 46.9 41.7 1.22 121.8 633
LVS LAS VEGAS S LVS US 12/22/12 C48 46.4 39.3 0.70 337.5 2898
MNST MONSTER BEV MNST US 12/22/12 P52.5 43.3 44.9 3.80 -52.3 916
LVS LAS VEGAS S LVS US 01/19/13 C49 43.2 40.2 0.94 147.4 674
LVS LAS VEGAS S LVS US 12/22/12 C49 39.5 38.3 0.40 344.4 979
YHOO YAHOO! INC YHOO US 12/22/12 C16 35.3 40.0 3.05 10.1 631
LVS LAS VEGAS S LVS US 01/18/14 C30 34.5 56.8 17.30 13.4 689
IWM ISHARES-RUS IWM US 12/22/12 P84 31.1 15.2 3.80 -8.2 527
AMD ADV MICRO D AMD US 12/22/12 C1.5 28.6 76.4 0.38 2.7 1575
MNST MONSTER BEV MNST US 12/22/12 C52.5 26.6 46.8 1.40 677.8 4396
KCG KNIGHT CAPI KCG US 01/19/13 C2.5 25.4 62.5 0.50 25.0 1262
MNST MONSTER BEV MNST US 12/22/12 C50 22.6 46.6 2.50 354.6 1964
COV COVIDIEN PL COV US 01/19/13 C55 22.1 19.1 3.40 25.9 2006
EQR EQUITY RESI EQR US 12/22/12 C55 21.6 19.0 1.15 91.7 1510
ALL ALLSTATE CO ALL US 01/19/13 C36 21.1 27.8 4.85 13.6 8230
MNST MONSTER BEV MNST US 12/22/12 P50 21.0 45.7 2.37 -48.5 721
GLW CORNING INC GLW US 12/22/12 P11 20.7 30.6 0.05 -66.7 581
MYL MYLAN INC MYL US 12/22/12 C25 20.5 28.5 2.32 20.2 1736
GLW CORNING INC GLW US 12/22/12 C11 20.0 30.3 1.22 144.0 1121
KCG KNIGHT CAPI KCG US 01/19/13 P2.5 19.9 55.9 0.05 -50.0 1771
PPHM PEREGRINE P PPHM US 12/22/12 C1 19.5 208.1 0.30 100.0 598
AMRN AMARIN CORP AMRN US 12/22/12 P9 19.3 123.8 0.30 0.0 646
TWX TIME WARNER TWX US 12/22/12 C39 18.9 52.7 7.70 43.9 560
JOSB JOS A BANK JOSB US 12/22/12 P45 18.2 59.9 1.81 24.8 1939
MWV MEADWESTVAC MWV US 03/16/13 C30 17.8 24.5 1.35 43.6 2694
MNST MONSTER BEV MNST US 12/22/12 P47.5 17.7 48.4 1.35 -53.6 615
EWG ISHARES-GER EWG US 01/19/13 C20 17.3 31.5 3.20 -3.0 2042
PFG PRINCIPAL F PFG US 12/22/12 C27 17.0 25.9 0.82 49.1 517
CROX CROCS INC CROX US 01/19/13 C11 16.2 50.9 2.75 66.7 1121
MMP MAGELLAN MI MMP US 12/22/12 C45 15.9 18.4 0.35 40.0 1024
Z ZILLOW INC- Z US 12/22/12 P22.5 15.7 69.4 0.60 100.0 1960
F FORD MOTOR F US 12/22/12 C9 15.4 40.9 2.16 5.4 1800
AKAM AKAMAI TECH AKAM US 12/22/12 C35 14.7 34.4 0.90 -37.9 1494
SMBL SMART BALAN SMBL US 12/22/12 C10 14.7 54.9 2.42 61.3 865
PFG PRINCIPAL F PFG US 12/22/12 P27 14.5 25.1 0.60 -1.6 1716
ALL ALLSTATE CO ALL US 01/19/13 C33 14.3 40.6 7.65 6.2 28000
FSLR FIRST SOLAR FSLR US 12/22/12 C27 13.9 64.3 1.20 64.4 1632
NXY NEXEN INC NXY US 12/22/12 C25 13.9 72.2 1.35 -12.9 791
NXY NEXEN INC NXY US 03/16/13 C24 13.9 47.9 2.52 -4.9 1173
FSLR FIRST SOLAR FSLR US 12/22/12 C26 13.7 64.2 1.50 36.4 2605
IWM ISHARES-RUS IWM US 12/22/12 P83 13.5 15.0 3.18 -7.0 887
UNP UNION PAC C UNP US 12/22/12 C110 13.4 35.9 12.80 11.3 1750
NXY NEXEN INC NXY US 01/19/13 C25 13.4 58.2 1.70 -8.1 534
VRSN VERISIGN IN VRSN US 12/22/12 P35 13.1 100.8 1.87 16.9 2418
JIVE JIVE SOFTWA JIVE US 12/22/12 C12.5 13.0 52.7 1.40 3.7 710
IBKR INTERACTIVE IBKR US 12/22/12 C14 13.0 30.2 1.15 9.5 4525
DVAX DYNAVAX TEC DVAX US 01/19/13 P2.5 13.0 90.1 0.25 25.0 505
YHOO YAHOO! INC YHOO US 12/22/12 P17 12.5 30.6 0.05 0.0 1305
CROX CROCS INC CROX US 12/22/12 C13 12.3 40.6 1.00 376.2 774
FSLR FIRST SOLAR FSLR US 12/22/12 C25 12.2 64.6 2.08 40.5 1126
LNG CHENIERE EN LNG US 12/22/12 C15 12.0 43.3 1.27 64.9 554
PFG PRINCIPAL F PFG US 12/22/12 P26 12.0 27.2 0.30 -25.0 1584
FMCN FOCUS MEDIA FMCN US 12/22/12 P22 11.7 65.2 0.85 21.4 781
AKAM AKAMAI TECH AKAM US 12/22/12 P35 11.6 33.9 1.61 103.8 703
GLW CORNING INC GLW US 01/19/13 C11 11.4 29.9 1.28 96.9 670
XLU SPDR-UTIL S XLU US 12/22/12 P35 11.4 13.4 0.96 -11.9 1586
ES ENERGYSOLUT ES US 01/19/13 C2.5 11.3 79.6 0.75 15.4 588
NEE NEXTERA ENE NEE US 12/22/12 C65 11.2 20.6 3.10 12.7 1283
Z ZILLOW INC- Z US 12/22/12 P20 11.2 72.7 0.25 150.0 1778
VRSN VERISIGN IN VRSN US 01/19/13 C40 11.0 67.8 4.10 15.5 544
FDX FEDEX CORP FDX US 12/22/12 C92.5 10.8 21.7 0.76 52.0 2293
HFC HOLLYFRONTI HFC US 12/22/12 C42 10.6 36.2 3.50 9.0 1841
CLSN CELSION COR CLSN US 02/16/13 C7 10.6 279.4 2.75 1.9 614
COV COVIDIEN PL COV US 01/19/13 C57.5 10.5 17.2 1.65 32.0 854
NXY NEXEN INC NXY US 01/19/13 P20 10.4 82.1 1.20 0.0 11573
DNDN DENDREON CO DNDN US 01/19/13 C4.5 10.1 75.7 0.42 -4.5 563
VXX IPATH-S&P S VXX1 US 01/19/13 P15 10.0 97.8 7.65 0.7 605
LO LORILLARD I LO US 01/19/13 C105 10.0 41.8 17.30 65.2 743
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
RAH RALCORP HLD RAH US 03/16/13 C90 -96.6 2.1 0.05 -92.3 2265
RAH RALCORP HLD RAH US 12/22/12 P90 -91.7 3.6 1.15 0.0 635
RAH RALCORP HLD RAH US 06/22/13 P90 -89.5 2.4 1.20 0.0 1432
RAH RALCORP HLD RAH US 03/16/13 C85 -78.1 12.0 4.60 736.4 500
LVS LAS VEGAS S LVS US 01/19/13 P45 -76.9 6.7 1.37 -50.0 521
LVS LAS VEGAS S LVS US 12/22/12 P44 -75.7 6.8 0.48 -66.0 1052
RAH RALCORP HLD RAH US 12/22/12 P85 -74.4 11.4 0.10 0.0 888
ACAD ACADIA PHAR ACAD US 12/22/12 C5 -69.7 107.6 0.70 133.3 6299
ACAD ACADIA PHAR ACAD US 12/22/12 P4.5 -69.7 110.5 0.25 -90.7 2518
ACAD ACADIA PHAR ACAD US 12/22/12 C4.5 -69.3 108.3 1.25 212.5 1025
ACAD ACADIA PHAR ACAD US 12/22/12 P5 -69.2 105.8 0.40 -86.7 14398
ACAD ACADIA PHAR ACAD US 12/22/12 C4 -66.7 130.1 1.55 210.0 754
ACAD ACADIA PHAR ACAD US 12/22/12 P3 -60.1 164.6 0.05 -96.5 778
ACAD ACADIA PHAR ACAD US 12/22/12 C3 -58.5 175.2 2.35 193.8 524
RAH RALCORP HLD RAH US 06/22/13 P85 -58.3 8.6 0.75 0.0 1107
RAH RALCORP HLD RAH US 12/22/12 C82.5 -58.2 23.1 6.34 1052.7 1502
ACAD ACADIA PHAR ACAD US 12/22/12 C2.5 -57.4 176.5 2.90 241.2 10578
ACAD ACADIA PHAR ACAD US 03/16/13 P4.5 -56.3 92.8 0.55 0.0 802
ACAD ACADIA PHAR ACAD US 03/16/13 C5 -55.0 93.0 1.20 140.0 694
ACAD ACADIA PHAR ACAD US 12/22/12 P2.5 -54.6 193.3 0.05 -95.5 3300
RAH RALCORP HLD RAH US 03/16/13 P85 -54.2 11.0 0.65 0.0 658
LVS LAS VEGAS S LVS US 12/22/12 P43 -53.4 13.7 0.34 -64.6 1243
ACAD ACADIA PHAR ACAD US 03/16/13 P2.5 -47.6 119.2 0.20 -84.0 604
RAH RALCORP HLD RAH US 12/22/12 C80 -46.6 22.8 8.84 1507.3 2346
LVS LAS VEGAS S LVS US 12/22/12 P42 -40.8 17.9 0.22 -66.2 822
ADT ADT CORP/TH ADT US 12/22/12 P42 -33.3 24.9 0.45 -64.0 1000
KO COCA-COLA C KO US 01/19/13 C31.25 -31.4 37.6 6.30 5.0 3600
ADT ADT CORP/TH ADT US 12/22/12 P41 -28.8 25.4 0.15 -82.3 1076
CSX CSX CORP CSX US 01/19/13 C15 -28.2 37.5 5.17 5.5 1758
CRDN CERADYNE IN CRDN US 12/22/12 P32.5 -27.5 18.3 0.05 -66.7 518
ADT ADT CORP/TH ADT US 12/22/12 C45 -27.5 25.7 0.95 18.8 1139
KO COCA-COLA C KO US 05/18/13 C30 -24.3 26.1 7.50 8.7 600
MMR MCMORAN EXP MMR US 12/22/12 P5 -23.5 135.7 0.06 0.0 3031
ACAD ACADIA PHAR ACAD US 12/22/12 P1.5 -23.4 308.9 0.04 -90.9 548
KO COCA-COLA C KO US 01/19/13 C28.75 -20.7 50.6 8.80 -9.7 4000
KCG KNIGHT CAPI KCG US 01/18/14 P3 -20.0 33.4 0.50 -33.3 711
RIMM RESEARCH IN RIMM US 12/22/12 C7 -19.4 87.6 4.00 -20.0 8102
RIMM RESEARCH IN RIMM US 12/22/12 P7 -19.3 84.8 0.02 -33.3 799
KKD KRISPY KREM KKD US 12/22/12 P9 -18.6 30.3 0.30 50.0 572
MMR MCMORAN EXP MMR US 12/22/12 P7 -18.6 105.6 0.27 8.0 3160
MMR MCMORAN EXP MMR US 12/22/12 C7 -18.4 105.7 1.95 -46.6 859
EL ESTEE LAUDE EL US 01/19/13 C52.5 -18.3 31.9 6.70 40.2 3000
MMR MCMORAN EXP MMR US 12/22/12 P8 -17.4 100.2 0.61 35.6 4220
MMR MCMORAN EXP MMR US 12/22/12 C8 -17.2 100.1 1.07 -51.4 6665
ADT ADT CORP/TH ADT US 12/22/12 C41 -17.1 29.6 3.40 28.3 3754
CSCO CISCO SYSTE CSCO US 01/18/14 C10 -16.6 38.5 9.05 0.0 629
KO COCA-COLA C KO US 01/18/14 C27.5 -16.4 25.7 10.00 4.2 4800
CSCO CISCO SYSTE CSCO US 12/22/12 P19 -16.0 18.8 0.38 -11.6 1232
STSI STAR SCIENT STSI US 02/16/13 P2 -15.4 83.2 0.15 -25.0 532
ROVI ROVI CORP ROVI US 12/22/12 C15 -15.2 32.4 0.75 87.5 1020
ZNGA ZYNGA INC- ZNGA US 12/22/12 C2 -14.8 54.1 0.46 7.0 1092
KO COCA-COLA C KO US 01/18/14 C25 -14.7 32.2 12.60 -4.8 1440
MMR MCMORAN EXP MMR US 01/19/13 P6 -13.1 112.7 0.36 50.0 2291
INFA INFORMATICA INFA US 12/22/12 P25 -12.7 37.1 0.25 -21.9 3187
MMR MCMORAN EXP MMR US 12/22/12 P6 -12.6 120.9 0.13 30.0 3547
VZ VERIZON COM VZ US 12/22/12 C43 -11.6 17.3 0.83 -7.8 525
IBM IBM IBM US 12/22/12 C190 -11.6 14.9 3.60 -23.4 515
KCG KNIGHT CAPI KCG US 12/22/12 C2.5 -11.5 62.7 0.45 12.5 538
BCS BARCLAYS PL BCS US 06/22/13 P13 -11.3 40.9 0.85 0.0 609
ARNA ARENA PHARM ARNA US 01/19/13 C1.5 -11.3 305.5 7.75 4.7 800
VZ VERIZON COM VZ US 01/19/13 C42 -10.9 17.3 1.62 -9.5 1137
EBAY EBAY INC EBAY US 12/22/12 P52.5 -10.8 24.2 2.05 2.5 1146
YHOO YAHOO! INC YHOO US 12/22/12 P20 -10.8 26.4 1.15 -17.3 822
CSCO CISCO SYSTE CSCO US 12/22/12 P18 -10.6 21.4 0.09 -25.0 863
NOK NOKIA CORP- NOK US 12/22/12 C3 -10.4 62.6 0.33 -28.3 1697
CSCO CISCO SYSTE CSCO US 01/19/13 P19 -10.4 20.2 0.58 -9.4 1781
MMR MCMORAN EXP MMR US 01/19/13 P7.5 -10.2 100.4 0.76 26.7 1565
x - Ex-dividend. * - Ex-earnings.
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