U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Dec 20, 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
=============================================================================
XLI SPDR-INDU S XLI US 01/19/13 C32 165.3 49.7 6.35 30.9 3520
NYX NYSE EURONE NYX US 01/19/13 C25 92.9 54.5 7.15 1602.4 3578
GE GENERAL ELE GE US 03/16/13 C16 73.3 38.2 5.20 -2.8 508
NYX NYSE EURONE NYX US 03/16/13 C24 54.2 39.3 8.25 554.8 2177
MO ALTRIA GROU MO US 01/19/13 C32 52.2 15.0 0.67 8.1 660
NYX NYSE EURONE NYX US 01/19/13 C26 41.2 43.1 6.32 2772.7 4867
ARRS ARRIS GROUP ARRS US 01/19/13 P15 36.5 28.5 0.40 0.0 1179
MED MEDIFAST IN MED US 03/16/13 P23 31.9 56.6 0.35 -69.6 599
MED MEDIFAST IN MED US 03/16/13 P29 30.8 45.0 1.57 0.0 1685
SPY SPDR S&P 50 SPY US 01/19/13 C124 26.9 43.9 20.85 -0.1 1520
CBOE CBOE HOLDIN CBOE US 01/19/13 C30.25 26.8 19.1 0.85 226.9 763
SPY SPDR S&P 50 SPY US 01/19/13 C128 26.2 37.0 16.85 13.8 2960
SPY SPDR S&P 50 SPY US 01/19/13 C127 26.1 38.8 17.90 7.6 600
CBOE CBOE HOLDIN CBOE US 01/19/13 C31.25 26.0 18.2 0.35 600.0 1011
SPY SPDR S&P 50 SPY US 01/19/13 C120 26.0 51.0 24.70 1.0 3370
ENOC ENERNOC INC ENOC US 01/19/13 P12.5 25.6 55.4 0.75 11.9 1554
CBOE CBOE HOLDIN CBOE US 01/19/13 P30.25 25.5 18.9 0.50 -44.4 1646
TASR TASER INTL TASR US 01/19/13 C7.5 24.8 64.1 1.40 47.4 553
SPY SPDR S&P 50 SPY US 01/19/13 C125 24.7 41.3 19.85 -0.7 8720
ARRS ARRIS GROUP ARRS US 02/16/13 P15 24.6 32.9 0.70 -40.7 1385
SPY SPDR S&P 50 SPY US 01/19/13 C115 24.1 59.5 29.65 -2.1 1160
SPY SPDR S&P 50 SPY US 01/19/13 C110 23.2 68.5 34.65 -1.3 2320
STP SUNTECH POW STP US 01/19/13 P0.5 23.1 270.8 0.04 33.3 500
DELL DELL INC DELL US 01/19/13 C9 23.0 42.3 1.45 -6.5 865
NYX NYSE EURONE NYX US 06/22/13 C24 23.0 29.4 7.80 477.8 1446
LNG CHENIERE EN LNG US 01/19/13 C17 22.2 51.5 1.70 21.4 17450
SPY SPDR S&P 50 SPY US 01/19/13 C105 22.0 77.5 39.65 5.2 1200
ARRS ARRIS GROUP ARRS US 01/19/13 C15 21.8 27.8 0.45 125.0 607
SPY SPDR S&P 50 SPY US 01/19/13 C100 21.8 87.3 44.65 -0.9 4800
CBI CHICAGO BRI CBI US 01/19/13 C42 21.4 30.1 3.90 40.8 1058
S SPRINT NEXT S US 01/19/13 C5.5 20.9 21.9 0.14 40.0 10075
ALU ALCATEL-LUC ALU US 06/22/13 C1 20.1 84.6 0.45 -23.7 830
ELNK EARTHLINK I ELNK US 01/19/13 C7 19.9 32.8 0.15 0.0 557
FTR FRONTIER CO FTR US 01/19/13 P4.5 19.5 47.2 0.30 20.0 550
NYX NYSE EURONE NYX US 03/16/13 C26 19.3 31.3 6.15 1018.2 2045
BAC BANK OF AME BAC US 01/19/13 P9 18.7 49.8 0.02 0.0 562
SNE SONY CORP-A SNE US 01/19/13 C10 18.3 41.8 1.20 9.1 6716
HLF HERBALIFE L HLF US 02/16/13 P22.5 17.8 113.1 1.30 116.7 682
HLF HERBALIFE L HLF US 05/18/13 P30 17.5 76.1 4.96 71.0 1817
GBX GREENBRIER GBX US 01/19/13 P17.5 17.3 59.8 0.90 500.0 767
LNG CHENIERE EN LNG US 01/19/13 C18 17.1 48.0 1.05 16.7 584
HLF HERBALIFE L HLF US 02/16/13 P30 17.1 95.3 3.20 100.0 1655
HLF HERBALIFE L HLF US 02/16/13 P25 17.0 105.9 1.62 131.4 1469
VNDA VANDA PHARM VNDA US 01/19/13 P3 16.8 103.2 0.10 0.0 712
PM PHILIP MORR PM US 01/19/13 C82.5 16.3 20.8 3.05 11.3 1174
XLY SPDR-CONS D XLY US 01/19/13 P46 16.1 18.7 0.37 0.0 1221
FMCN FOCUS MEDIA FMCN US 01/19/13 P14 15.9 122.1 0.10 -50.0 3000
CBOE CBOE HOLDIN CBOE US 03/16/13 C31.25 15.4 18.6 0.75 134.4 933
MAKO MAKO SURGIC MAKO US 01/19/13 P12.5 15.1 68.6 0.60 50.0 624
MAKO MAKO SURGIC MAKO US 02/16/13 P12.5 15.0 68.4 1.05 61.5 3121
HLF HERBALIFE L HLF US 05/18/13 P35 14.5 69.3 7.60 46.1 506
SPY SPDR S&P 50 SPY US 01/19/13 C132 14.2 29.3 12.89 5.0 10345
CBI CHICAGO BRI CBI US 01/19/13 C43 13.8 28.9 3.10 49.8 2070
SPY SPDR S&P 50 SPY US 01/19/13 C133 13.8 27.2 11.96 1.6 8173
HLF HERBALIFE L HLF US 02/16/13 P35 13.5 84.9 5.50 66.7 1091
NLY ANNALY CAPI NLY US 01/19/13 C14 13.3 20.6 0.79 31.7 1722
ALXA ALEXZA PHAR ALXA US 01/19/13 C5.5 12.9 203.4 1.55 40.9 1336
SPY SPDR S&P 50 SPY US 01/19/13 C138 12.8 19.0 6.98 6.9 2324
MMR MCMORAN EXP MMR US 02/16/13 P15 12.5 22.3 0.30 11.1 505
SPY SPDR S&P 50 SPY US 01/11/13 C140 12.4 17.9 4.65 -2.9 3366
SPY SPDR S&P 50 SPY US 01/19/13 C119 12.4 52.9 25.65 6.7 5800
SPY SPDR S&P 50 SPY US 01/19/13 P108 12.2 41.7 0.03 50.0 15836
SLV ISHARES SIL SLV US 01/11/13 C30 12.1 25.5 0.30 -57.1 1308
SPY SPDR S&P 50 SPY US 01/19/13 P107 12.1 42.9 0.03 50.0 8285
SPY SPDR S&P 50 SPY US 01/19/13 P106 12.0 44.1 0.03 0.0 8960
HLF HERBALIFE L HLF US 01/19/13 P32.5 11.4 96.9 3.00 100.0 2242
SLV ISHARES SIL SLV US 01/11/13 C29.5 11.4 25.5 0.43 -64.5 1994
XLU SPDR-UTIL S XLU US 01/19/13 C32 11.4 38.4 2.85 -15.2 14060
BAC BANK OF AME BAC US 01/19/13 C9 11.2 44.8 2.48 12.7 1361
NYX NYSE EURONE NYX US 06/22/13 C25 10.9 26.1 7.10 528.3 2584
MLNX MELLANOX TE MLNX US 01/19/13 P60 10.7 91.6 7.10 54.4 1109
MO ALTRIA GROU MO US 01/19/13 C33 10.5 13.1 0.23 15.0 2587
SNE SONY CORP-A SNE US 01/19/13 C11 10.4 34.2 0.45 12.5 695
NTI NORTHERN TI NTI US 01/19/13 P25 10.2 39.1 0.45 -35.7 542
CMCSK COMCAST COR CMCSK US 01/19/13 C30 10.1 47.1 6.70 15.5 703
SPY SPDR S&P 50 SPY US 01/19/13 C139 10.0 18.0 5.94 6.1 1836
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
NYX NYSE EURONE NYX US 01/19/13 P32 -74.4 24.8 0.93 0.0 992
FOLD AMICUS THER FOLD US 01/19/13 P2.5 -61.6 98.9 0.10 -60.0 5195
SPY SPDR S&P 50 SPY US 01/19/13 C134 -60.7 9.4 10.81 3.9 10998
NYX NYSE EURONE NYX US 01/19/13 C32 -60.0 24.9 0.95 9400.0 2552
XLB SPDR-MATERI XLB US 01/19/13 C33 -54.1 18.8 4.40 3.5 5200
NYX NYSE EURONE NYX US 03/16/13 C33 -54.1 19.9 0.80 0.0 1240
RAD RITE AID CO RAD US 01/19/13 C1 -45.8 47.7 0.25 150.0 1000
SPY SPDR S&P 50 SPY US 03/16/13 C120 -43.0 15.1 24.80 3.7 1500
NYX NYSE EURONE NYX US 03/16/13 C32 -42.1 19.9 1.21 0.0 639
NYX NYSE EURONE NYX US 01/19/13 C30 -41.5 26.6 2.30 3185.7 727
SPY SPDR S&P 50 SPY US 01/19/13 C129 -38.4 18.8 15.90 1.6 3471
FMCN FOCUS MEDIA FMCN US 01/19/13 P26 -38.0 15.7 0.60 -33.3 3645
PAYX PAYCHEX INC PAYX US 01/19/13 P33 -35.2 15.8 0.85 -5.6 938
SPY SPDR S&P 50 SPY US 01/19/13 C130 -35.0 18.8 14.89 2.8 26236
FMCN FOCUS MEDIA FMCN US 01/19/13 C26 -34.9 16.1 0.35 -36.4 13488
BBBY BED BATH &B BBBY US 01/19/13 P52.5 -30.9 27.2 0.45 28.6 2063
BBBY BED BATH &B BBBY US 01/19/13 P55 -30.6 25.8 1.13 66.2 2913
BBBY BED BATH &B BBBY US 01/19/13 P57.5 -29.7 25.3 2.43 92.9 1656
GE GENERAL ELE GE US 01/19/13 C17.5 -28.9 38.4 3.70 5.4 1521
BBBY BED BATH &B BBBY US 01/19/13 C57.5 -28.6 25.4 1.01 -75.7 3334
FOLD AMICUS THER FOLD US 04/20/13 P2.5 -27.6 104.4 0.40 33.3 518
XLY SPDR-CONS D XLY US 01/19/13 C45 -26.5 23.5 3.00 -1.0 719
CLWR CLEARWIRE - CLWR US 03/16/13 C3 -24.5 18.2 0.05 0.0 666
ACN ACCENTURE P ACN US 01/19/13 C70 -24.1 19.3 0.85 -63.0 702
BBBY BED BATH &B BBBY US 02/16/13 P52.5 -21.2 26.7 0.97 67.2 619
SIRI SIRIUS XM R SIRI US 01/19/13 C2 -20.9 65.8 0.97 -2.0 7665
BBBY BED BATH &B BBBY US 02/16/13 P55 -20.1 25.9 1.76 66.0 1217
FMCN FOCUS MEDIA FMCN US 01/19/13 C25 -20.1 26.9 1.25 4.2 4747
MO ALTRIA GROU MO US 01/18/14 C25 -19.9 29.9 7.55 -12.2 10922
DFS DISCOVER FI DFS US 01/19/13 P38 -19.9 27.2 1.40 75.0 1326
ACN ACCENTURE P ACN US 01/19/13 P65 -19.7 23.4 0.54 12.5 503
JBL JABIL CIRCU JBL US 01/19/13 C21 -18.7 31.7 0.41 173.3 731
RDY DR REDDY'S- RDY US 01/19/13 P35 -17.9 16.9 1.30 0.0 1000
ACN ACCENTURE P ACN US 02/16/13 C67.5 -17.6 21.0 2.75 -40.2 544
FLEX FLEXTRONICS FLEX US 01/19/13 P6 -17.6 29.2 0.13 -23.5 523
XLY SPDR-CONS D XLY US 01/19/13 C38 -17.0 61.1 9.80 0.0 1920
EEP ENBRIDGE EN EEP US 01/19/13 C27.5 -16.6 17.3 0.99 23.8 2845
FLEX FLEXTRONICS FLEX US 01/19/13 C6 -16.3 29.3 0.36 24.1 787
JBL JABIL CIRCU JBL US 01/19/13 C20 -15.3 33.1 0.88 193.3 1266
GE GENERAL ELE GE US 01/18/14 C13 -15.3 35.4 8.20 1.9 1000
GE GENERAL ELE GE US 01/19/13 P21 -15.2 22.8 0.50 -24.2 789
UBS UBS AG-REG UBS US 03/16/13 P12 -14.8 43.0 0.08 -68.0 560
KBH KB HOME KBH US 01/19/13 C16 -14.8 44.9 0.59 -56.9 900
KBH KB HOME KBH US 01/19/13 P15 -14.5 46.6 0.59 68.6 18303
AGNC AMERICAN CA AGNC US 01/19/13 C31 -14.2 18.6 0.70 -4.1 1695
MO ALTRIA GROU MO US 01/18/14 C20 -14.1 47.0 12.55 -5.3 5380
XLY SPDR-CONS D XLY US 01/19/13 C40 -14.0 50.3 7.80 -3.1 20820
NYX NYSE EURONE NYX US 01/18/14 P30 -13.3 18.9 1.90 -73.7 1372
FMCN FOCUS MEDIA FMCN US 01/19/13 P25 -13.0 26.7 0.40 -46.7 3866
MDC MDC HOLDING MDC US 01/19/13 P32 -12.8 42.4 0.29 -37.0 668
RCL ROYAL CARIB RCL US 01/19/13 C35 -12.3 29.8 0.97 -32.2 1039
MO ALTRIA GROU MO US 06/22/13 P31 -11.7 16.4 1.38 -2.1 508
MO ALTRIA GROU MO US 01/18/14 C27 -11.7 23.5 5.55 -12.6 8960
MDRX ALLSCRIPTS MDRX US 01/19/13 P9 -11.6 63.8 0.60 100.0 689
HOV HOVNANIAN E HOV US 01/19/13 P6 -11.1 55.8 0.40 -4.8 2408
XLV SPDR-HEALTH XLV US 01/19/13 C37 -10.6 29.9 3.40 -11.0 34020
GE GENERAL ELE GE US 03/16/13 P21 -10.3 21.0 0.91 -11.7 533
x - Ex-dividend. * - Ex-earnings.
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