U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Dec 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
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C CITIGROUP I C1 US 01/19/13 P5 92.4 59.4 1.14 5.6 7978
RAD RITE AID CO RAD US 07/20/13 C1 37.0 99.6 0.55 0.0 544
PBR PETROBRAS S PBR US 01/19/13 C17 34.8 36.8 2.17 -27.7 1497
XLF SPDR-FINL S XLF US 01/19/13 C15 26.9 28.5 1.24 -10.8 529
SNV SYNOVUS FIN SNV US 02/16/13 P2 25.6 79.8 0.05 -50.0 3078
CMCSK COMCAST COR CMCSK US 01/19/13 C30 24.6 61.7 5.30 -20.9 11000
CMCSK COMCAST COR CMCSK US 01/19/13 C20 23.1 163.1 15.30 -2.5 3200
UVXY PRO ULTRA V UVXY US 01/19/13 P20 19.1 155.2 1.00 -9.9 814
UVXY PRO ULTRA V UVXY US 01/19/13 P18 18.5 151.9 0.54 -10.0 801
UVXY PRO ULTRA V UVXY US 01/19/13 C25 17.4 159.8 5.50 71.9 589
SAN BANCO SANTA SAN US 01/19/13 C8 17.3 34.3 0.20 33.3 1250
UVXY PRO ULTRA V UVXY US 01/19/13 C22 17.2 156.9 7.30 58.7 585
SHAW SHAW GROUP SHAW US 01/19/13 C47 17.1 7.2 0.05 -50.0 1084
EWZ ISHARES-BRA EWZ US 01/19/13 C50 16.6 29.7 5.17 -5.3 2868
FAZ DIR FIN BEA FAZ US 01/19/13 C14 16.3 55.7 1.95 32.6 833
SPY SPDR S&P 50 SPY US 01/19/13 C129 15.7 27.7 12.00 -8.1 1866
MDLZ MONDELEZ IN MDLZ US 01/19/13 C26 15.4 18.2 0.19 11.8 570
ANN ANN INC ANN US 01/19/13 C33 15.3 38.8 0.80 9.6 2213
EWJ ISHARES-JAP EWJ US 03/16/13 P9 15.2 22.7 0.14 40.0 4231
UVXY PRO ULTRA V UVXY US 01/19/13 P25 14.9 157.2 2.95 -15.7 775
UVXY PRO ULTRA V UVXY US 01/19/13 P24 14.8 155.0 2.50 -16.7 593
TLT ISHARES BAR TLT US 04/20/13 C122 14.2 13.8 3.70 10.4 505
JWN NORDSTROM I JWN US 01/19/13 C49 13.7 35.1 3.10 5.8 1186
BRK/B BERKSHIRE H BRKB US 01/19/13 C90 13.2 15.2 0.82 -14.6 1553
SVU SUPERVALU I SVU US 01/19/13 C2.5 12.9 106.1 0.25 0.0 599
URA GLOBAL X UR URA US 04/20/13 C6 12.8 38.4 0.80 -15.8 1000
MRVL MARVELL TEC MRVL US 01/19/13 C6 12.7 63.8 1.16 -20.0 1106
MDLZ MONDELEZ IN MDLZ US 01/19/13 P25 12.6 19.7 0.36 28.6 2943
NUGT DIR GLD BUL NUGT US 01/19/13 C9 12.5 98.2 1.90 15.2 2060
TLAB TELLABS INC TLAB US 06/22/13 C2 12.3 46.2 0.45 -18.2 1155
TZA DIR SMCAP B TZA US 01/19/13 C13 12.3 59.1 1.75 26.8 508
GCI GANNETT CO GCI US 02/16/13 P17 12.1 39.1 0.75 0.0 7636
IWM ISHARES-RUS IWM US 01/19/13 C82 12.0 22.3 1.90 -20.2 716
IWM ISHARES-RUS IWM US 01/19/13 C85 11.9 19.4 0.60 -22.1 5146
CLX CLOROX CO CLX US 01/19/13 C75 11.8 13.5 0.22 -12.0 563
IMAX IMAX CORP IMAX US 01/19/13 C22.5 11.7 36.1 0.50 0.0 501
SPY SPDR S&P 50 SPY US 01/19/13 C130 11.7 26.3 11.00 -9.6 1996
GLD SPDR GOLD T GLD US 01/19/13 P150 11.6 18.9 0.20 33.3 1108
IWM ISHARES-RUS IWM US 01/19/13 C84 11.5 20.3 0.98 -16.9 1357
F FORD MOTOR F US 01/25/13 P13 11.5 37.8 0.86 22.9 1017
FST FOREST OIL FST US 01/19/13 C6 11.3 65.7 0.75 -25.0 2132
PAYX PAYCHEX INC PAYX US 01/19/13 P30 11.3 22.2 0.35 75.0 8471
EWJ ISHARES-JAP EWJ US 03/16/13 P10 11.3 19.4 0.51 4.1 505
MDLZ MONDELEZ IN MDLZ US 02/16/13 P25 11.2 19.9 0.65 16.1 660
JPM JPMORGAN CH JPM US 01/19/13 C45 11.1 29.4 0.47 -27.7 4086
GLD SPDR GOLD T GLD US 01/19/13 C157 11.0 14.4 4.83 7.3 1058
PRU PRUDENTL FI PRU US 01/19/13 C55 11.0 26.6 0.46 -20.7 566
SAP SAP AG-SPON SAP US 01/19/13 P82.5 10.9 23.8 3.25 -9.7 1500
IWM ISHARES-RUS IWM US 01/19/13 C83 10.9 21.2 1.37 -20.4 887
USB US BANCORP USB US 06/22/13 C31 10.7 23.3 2.25 -9.3 508
SPY SPDR S&P 50 SPY US 01/19/13 C146 10.5 15.4 0.45 -22.4 8122
XLF SPDR-FINL S XLF US 01/19/13 C16 10.5 21.7 0.40 -25.9 1244
VZ VERIZON COM VZ US 01/19/13 C45 10.5 17.0 0.09 -18.2 4745
F FORD MOTOR F US 01/25/13 C13 10.5 38.5 0.35 -12.5 934
EWJ ISHARES-JAP EWJ US 02/16/13 P9 10.4 22.8 0.08 33.3 567
SPY SPDR S&P 50 SPY US 01/19/13 C145 10.2 15.9 0.67 -21.2 66290
TOT TOTAL SA-SP TOT US 01/19/13 P45 10.1 39.4 0.10 0.0 1374
SDS PRO ULTSHRT SDS US 01/19/13 C54 10.1 35.2 2.90 36.1 1955
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
TZA DIR SMCAP B TZA US 01/18/14 C15 -18.2 54.2 3.20 8.5 2264
MMR MCMORAN EXP MMR US 01/19/13 C16 -18.2 14.5 0.09 -40.0 740
BPZ BPZ RESOURC BPZ US 01/19/13 C3 -17.8 74.6 0.15 50.0 500
MMR MCMORAN EXP MMR US 02/16/13 P9 -16.9 67.7 0.02 0.0 3149
WAG WALGREEN CO WAG US 01/19/13 C25 -14.1 62.6 11.60 -5.7 1675
SFI ISTAR FINAN SFI US 01/19/13 P5 -13.2 120.4 0.05 0.0 8765
MRVL MARVELL TEC MRVL US 01/19/13 P6 -13.1 65.3 0.09 0.0 2792
S SPRINT NEXT S US 01/19/13 C5.5 -12.9 18.4 0.15 25.0 1478
AEC ASSOC ESTAT AEC US 03/16/13 C15 -11.7 16.1 0.90 50.0 800
BAC BANK OF AME BAC US 01/19/13 C7.5 -11.3 69.4 3.78 -6.7 1256
NOK NOKIA CORP- NOK US 01/19/13 C3.5 -10.9 55.2 0.52 -11.9 788
HLF HERBALIFE L HLF US 02/16/13 P25 -10.6 113.6 2.95 -21.3 1391
CY CYPRESS SEM CY US 01/19/13 P9 -10.5 54.3 0.05 0.0 524
PG PROCTER & G PG US 01/19/13 C55 -10.4 38.2 12.55 -16.3 1478
x - Ex-dividend. * - Ex-earnings.
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