U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Jan 4, 2013
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
=============================================================================
SVU SUPERVALU I SVU US 01/19/13 C2 53.0 147.1 0.70 16.7 200
UVXY PRO ULTRA V UVXY US 01/17/15 C2 44.6 229.4 14.10 -21.7 432
KKD KRISPY KREM KKD US 01/19/13 C10 41.2 39.0 0.80 220.0 245
C CITIGROUP I C1 US 01/19/13 C3 36.3 93.3 1.20 7.1 903
OPK OPKO HEALTH OPK US 01/19/13 C5 31.7 51.0 0.30 200.0 371
RIG TRANSOCEAN RIG US 01/19/13 C40 31.7 61.7 11.25 23.6 216
JNJ JOHNSON&JOH JNJ US 01/19/13 P67.5 28.5 16.9 0.03 0.0 701
MED MEDIFAST IN MED US 03/16/13 C17 27.0 117.2 10.40 0.0 203
OIH MARKET VECT OIH US 01/19/13 P36.67 25.4 35.0 0.05 -75.0 850
AKS AK STEEL HL AKS US 01/19/13 C4 25.3 78.9 0.83 22.1 585
JRCC JAMES RIVER JRCC US 01/19/13 P3 25.3 108.4 0.05 0.0 1000
DNDN DENDREON CO DNDN US 01/19/13 C5 24.4 111.0 1.22 35.6 231
APKT ACME PACKET APKT US 01/19/13 C21 23.9 68.4 2.65 140.9 501
JNJ JOHNSON&JOH JNJ US 01/19/13 P65 23.3 24.5 0.02 -50.0 4671
OREX OREXIGEN TH OREX US 01/19/13 P6 22.6 74.4 0.25 -44.4 275
NOK NOKIA CORP- NOK US 01/19/13 C3.5 22.0 56.7 0.71 7.6 374
CXW CORRECTIONS CXW US 06/22/13 C37 21.7 33.3 3.10 21.6 469
APKT ACME PACKET APKT US 01/19/13 P20 20.5 68.6 0.20 -50.0 225
NLY ANNALY CAPI NLY US 01/19/13 C14 19.7 21.1 0.70 27.3 270
HW HEADWATERS HW US 01/19/13 C8 19.6 59.2 0.95 0.0 808
JNJ JOHNSON&JOH JNJ US 01/19/13 C70 19.1 10.8 1.66 84.4 1948
ZNGA ZYNGA INC- ZNGA US 01/19/13 C2.5 18.8 62.3 0.13 62.5 6112
APKT ACME PACKET APKT US 01/19/13 C22.5 18.4 62.6 1.55 210.0 712
APKT ACME PACKET APKT US 01/19/13 P21 17.9 64.1 0.30 -60.0 902
LLY ELI LILLY & LLY US 01/19/13 C49 17.5 22.4 2.70 162.1 565
F FORD MOTOR F US 01/19/13 C12.5 17.3 33.1 0.97 -1.0 4623
CHK CHESAPEAKE CHK US 01/19/13 P15 16.8 50.0 0.04 -50.0 616
GM GENERAL MOT GM US 01/19/13 C26 16.3 39.4 3.50 -11.4 446
LLY ELI LILLY & LLY US 02/16/13 C48 15.8 22.4 3.60 61.4 351
LLY ELI LILLY & LLY US 01/19/13 C50 15.6 20.6 1.90 239.3 316
T AT&T INC T US 01/19/13 C34 15.0 14.6 1.09 11.2 395
FXY CRYSHS-JAPA FXY US 01/19/13 P114 14.8 10.9 2.80 86.7 302
JNJ JOHNSON&JOH JNJ US 01/19/13 P70 14.8 10.9 0.12 -58.6 369
GOOG GOOGLE INC- GOOG US 01/19/13 P665 14.7 29.0 0.62 -19.5 313
DRYS DRYSHIPS IN DRYS US 03/16/13 P1.5 14.5 84.1 0.08 -33.3 510
GOOG GOOGLE INC- GOOG US 01/19/13 P650 14.3 32.7 0.55 1.9 779
LNG CHENIERE EN LNG US 01/19/13 C18 14.2 43.0 2.12 17.8 247
MSFT MICROSOFT C MSFT US 01/19/13 C28 13.8 21.0 0.10 -33.3 14280
LLY ELI LILLY & LLY US 01/19/13 P49 13.8 21.8 0.11 -79.2 845
KRE SPDR S&P RE KRE US 01/19/13 P30 13.6 15.1 0.88 -70.7 200
DAL DELTA AIR L DAL US 01/19/13 C11 13.6 51.1 1.82 13.8 226
KKD KRISPY KREM KKD US 08/17/13 C11 13.6 43.5 1.35 68.8 530
APKT ACME PACKET APKT US 01/19/13 P22.5 13.5 58.7 0.70 -54.8 1805
DNDN DENDREON CO DNDN US 01/19/13 C5.5 13.4 102.8 0.80 40.4 289
KRO KRONOS WORL KRO US 05/18/13 P20 13.3 40.7 2.70 14.9 838
NTRI NUTRISYSTEM NTRI US 02/16/13 C9 13.3 28.2 0.20 100.0 1064
APKT ACME PACKET APKT US 01/19/13 P24 13.2 57.4 1.20 -54.7 285
JNJ JOHNSON&JOH JNJ US 01/19/13 C72.5 13.2 10.1 0.23 666.7 4633
STP SUNTECH POW STP US 01/19/13 P1 13.1 221.3 0.02 100.0 200
GOOG GOOGLE INC- GOOG US 01/19/13 P655 12.9 30.9 0.59 0.0 533
LLY ELI LILLY & LLY US 01/19/13 P50 12.5 19.9 0.24 -76.0 696
XOM EXXON MOBIL XOM US 01/19/13 C80 12.2 30.3 8.70 -2.8 230
LLY ELI LILLY & LLY US 02/16/13 C49 11.6 21.0 3.05 95.5 207
WCRX WARNER CHIL WCRX US 04/20/13 C13 11.5 36.6 0.90 20.0 721
FXY CRYSHS-JAPA FXY US 01/19/13 P110 11.5 10.7 0.45 200.0 1108
HP HELMERICH & HP US 06/22/13 P25 11.5 58.2 0.05 0.0 375
AA ALCOA INC AA US 01/19/13 P9 11.2 31.8 0.14 -30.0 525
KMI KINDER MORG KMI US 02/16/13 C37.5 11.0 16.5 0.45 0.0 336
KO COCA-COLA C KO US 01/19/13 C35 10.8 24.3 2.79 9.8 459
LLY ELI LILLY & LLY US 02/16/13 P47 10.8 23.1 0.35 -34.0 1122
BZH BEAZER HOME BZH US 01/19/13 P16 10.6 57.6 0.10 0.0 1162
APKT ACME PACKET APKT US 01/19/13 C24 10.6 59.3 0.95 400.0 443
LLY ELI LILLY & LLY US 02/16/13 P46 10.6 24.4 0.25 -32.4 795
RIG TRANSOCEAN RIG US 01/19/13 C47.5 10.5 32.8 3.90 74.9 327
APC ANADARKO PE APC US 01/19/13 P70 10.4 36.5 0.15 -37.5 1013
MS MORGAN STAN MS US 01/19/13 P17.5 10.3 44.8 0.05 -28.6 1158
BBY BEST BUY CO BBY US 01/19/13 P11 10.3 71.7 0.25 8.7 526
LLY ELI LILLY & LLY US 02/16/13 P45 10.2 25.8 0.19 -26.9 988
FTI FMC TECHNOL FTI US 01/19/13 C42.5 10.1 25.9 1.70 129.7 200
SYK STRYKER COR SYK US 01/19/13 P55 10.1 19.3 0.30 -25.0 3500
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
S SPRINT NEXT S US 01/18/14 C4 -45.3 36.3 1.83 1.7 210
FINL FINISH LINE FINL US 01/19/13 P17.5 -38.3 41.7 0.30 -14.3 355
EUO PRO ULTSHRT EUO US 01/19/13 P20 -37.4 10.2 0.60 -14.3 251
JNJ JOHNSON&JOH JNJ US 01/18/14 C50 -35.1 17.1 21.50 4.2 277
ULTA ULTA SALON ULTA US 01/19/13 P90 -32.6 34.2 0.40 -27.3 452
YONG YONGYE INTE YONG US 01/19/13 C5.5 -27.8 32.3 0.25 -16.7 300
SNDK SANDISK COR SNDK US 02/16/13 C35 -26.3 49.2 9.80 0.0 4400
EEM ISHARES-EMG EEM US 01/19/13 C42 -26.1 20.5 2.74 -7.7 3858
VRX VALEANT PHA VRX US 01/19/13 P60 -25.2 31.1 1.80 12.5 356
FINL FINISH LINE FINL US 02/16/13 C15 -21.7 44.1 3.40 -5.6 225
MOS MOSAIC CO/T MOS US 01/19/13 P57.5 -21.3 22.5 0.67 -60.6 530
KKD KRISPY KREM KKD US 01/19/13 C11 -21.2 36.7 0.20 100.0 527
VRX VALEANT PHA VRX US 01/19/13 P57.5 -21.1 37.5 0.90 -5.3 398
MOS MOSAIC CO/T MOS US 01/19/13 C57.5 -20.9 22.4 1.45 48.0 1533
MOS MOSAIC CO/T MOS US 01/19/13 C60 -19.8 22.6 0.44 51.7 1155
EEM ISHARES-EMG EEM US 01/19/13 C43 -17.8 17.6 1.85 -13.9 240
VRX VALEANT PHA VRX US 01/19/13 C55 -17.2 43.0 5.80 -13.4 10045
MOS MOSAIC CO/T MOS US 01/19/13 P55 -17.0 25.6 0.17 -74.2 832
MOS MOSAIC CO/T MOS US 01/19/13 C55 -16.7 25.2 3.65 52.7 272
AIXG AIXTRON SE- AIXG US 03/16/13 C12 -16.6 41.3 1.45 70.6 500
NSC NORFOLK SOU NSC US 01/19/13 C67.5 -15.8 17.5 0.15 50.0 264
WIN WINDSTREAM WIN US 01/19/13 C9 -15.6 18.4 0.18 80.0 535
KCG KNIGHT CAPI KCG US 01/19/13 C3.5 -15.5 26.0 0.15 25.0 261
INXN INTERXION H INXN US 01/19/13 P22.5 -15.3 35.9 0.15 -66.7 2734
KRO KRONOS WORL KRO US 05/18/13 C20 -14.4 32.2 1.20 -20.0 758
DELL DELL INC DELL US 01/19/13 C10 -14.4 31.5 0.89 -10.1 276
STSI STAR SCIENT STSI US 01/19/13 C2.5 -14.1 108.3 0.40 -11.1 311
VRX VALEANT PHA VRX US 01/19/13 C45 -13.8 96.2 15.35 19.8 825
IWM ISHARES-RUS IWM US 01/19/13 C84 -13.8 16.8 3.34 20.6 295
AVP AVON PRODUC AVP US 01/19/13 C16 -13.8 40.4 0.55 37.5 301
CSTR COINSTAR IN CSTR US 01/19/13 P42.5 -13.7 50.1 0.15 200.0 501
VZ VERIZON COM VZ US 03/16/13 C41 -13.4 16.3 2.96 -2.0 271
TBT PRO ULTSH 2 TBT US 01/17/15 P40 -12.8 29.4 1.20 0.0 1252
EDAP EDAP TMS SA EDAP US 05/18/13 C2.5 -12.6 111.3 0.68 36.0 248
CMCSA COMCAST COR CMCSA US 01/19/13 P38 -12.2 15.7 0.49 8.9 340
PDS PRECISION D PDS US 01/19/13 C9 -12.1 33.8 0.05 -66.7 260
INFA INFORMATICA INFA US 01/19/13 P30 -11.8 36.6 0.65 -18.8 1445
INFA INFORMATICA INFA US 01/19/13 P27.5 -11.7 43.3 0.15 -62.5 1390
HYG ISH-IBOXX H HYG US 03/16/13 C95 -11.7 6.3 0.38 -30.9 1500
NPSP NPS PHARM I NPSP US 05/18/13 C8 -11.6 48.4 1.45 -9.4 2558
MOS MOSAIC CO/T MOS US 02/16/13 C60 -11.6 22.2 1.03 28.8 405
TLT ISHARES BAR TLT US 01/19/13 P122 -11.3 12.8 4.50 12.5 767
VRNG VRINGO INC VRNG US 01/19/13 C3 -11.3 92.8 0.64 16.4 303
HIG HARTFORD FI HIG US 01/19/13 C22 -11.1 29.6 2.71 25.5 1539
EWH ISHARES-HON EWH US 01/19/13 C19 -11.1 14.3 0.70 7.7 251
CHK CHESAPEAKE CHK US 01/19/13 C17.5 -11.0 32.9 0.36 89.5 1970
S SPRINT NEXT S US 05/18/13 P5.5 -10.8 28.5 0.60 -7.7 254
IWM ISHARES-RUS IWM US 02/16/13 C79 -10.7 21.3 8.43 4.2 430
MOS MOSAIC CO/T MOS US 02/16/13 P55 -10.5 24.5 0.70 -50.4 2689
EEM ISHARES-EMG EEM US 01/19/13 C44 -10.5 16.2 0.94 -20.3 848
TD TORONTO-DOM TD US 01/19/13 P82.5 -10.4 11.4 0.25 -16.7 1012
GIS GENERAL MIL GIS US 01/19/13 C41 -10.3 9.6 0.67 67.5 218
WAG WALGREEN CO WAG US 01/19/13 P37 -10.3 17.5 0.29 3.6 279
MS MORGAN STAN MS US 04/20/13 P9 -10.3 65.1 0.03 -40.0 250
AGNC AMERICAN CA AGNC US 01/19/13 C32 -10.2 16.0 0.05 0.0 371
BAC BANK OF AME BAC US 03/16/13 P8 -10.1 45.3 0.02 0.0 400
T AT&T INC T US 01/19/13 P35 -10.1 14.3 0.62 -13.9 202
x - Ex-dividend. * - Ex-earnings.
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