U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Jan 17, 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
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BAM BROOKFIELD BAM US 03/16/13 C35 24.6 31.0 2.65 10.4 1685
IAG IAMGOLD COR IAG US 02/16/13 P11 23.8 50.6 0.65 18.2 283
VOD VODAFONE GR VOD US 02/16/13 C26 23.2 23.8 0.50 35.1 8002
KMI KINDER MORG KMI US 02/16/13 P37.5 21.7 16.4 1.10 -18.5 229
NXY NEXEN INC NXY US 02/16/13 P20 21.7 69.4 0.10 100.0 643
CYMI CYMER INC CYMI US 05/18/13 C95 20.6 29.3 5.90 84.4 253
CIM CHIMERA INV CIM US 03/16/13 C3 20.5 34.9 0.10 100.0 418
BID SOTHEBY'S BID US 07/20/13 P15 18.9 65.5 0.05 0.0 750
VOD VODAFONE GR VOD US 02/16/13 C25 17.0 23.5 1.00 11.1 10277
VICL VICAL INC VICL US 03/16/13 P2.5 16.9 84.0 0.05 0.0 213
XLE SPDR-ENERGY XLE US 02/16/13 C71 16.5 17.4 4.00 10.8 295
VOD VODAFONE GR VOD US 02/16/13 P26 16.4 22.8 0.85 6.2 813
PDLI PDL BIOPHAR PDLI US 08/17/13 P7 16.4 29.4 0.65 8.3 250
CYMI CYMER INC CYMI US 05/18/13 C100 15.8 26.8 3.50 233.3 680
SRPT SAREPTA THE SRPT US 02/16/13 C22.5 15.7 84.8 3.20 0.0 231
VMED VIRGIN MEDI VMED US 02/16/13 P35 15.7 32.4 0.30 0.0 3880
VOD VODAFONE GR VOD US 02/16/13 P25 15.2 22.3 0.37 23.3 327
GNK GENCO SHIPP GNK US 01/18/14 P1 14.9 123.8 0.10 100.0 5000
IAG IAMGOLD COR IAG US 02/16/13 C11 14.3 48.6 0.57 3.6 665
APL ATLAS PIPEL APL US 02/16/13 C31 14.0 15.2 2.30 12.2 265
NXY NEXEN INC NXY US 02/16/13 P21 13.3 60.1 0.10 100.0 869
CYMI CYMER INC CYMI US 05/18/13 P85 12.9 32.8 2.95 -18.1 970
KLAC KLA-TENCOR KLAC US 02/16/13 C47 12.8 30.3 4.72 100.8 286
KO COCA-COLA C KO US 02/16/13 P32.5 12.6 26.9 0.03 200.0 1016
NRG NRG ENERGY NRG US 02/16/13 P22 11.5 30.3 0.20 -33.3 2500
WU WESTERN UNI WU US 05/18/13 P10 11.4 39.2 0.10 0.0 269
MOS MOSAIC CO/T MOS US 02/16/13 P60 11.3 22.6 2.14 2.9 222
NTES NETEASE INC NTES US 06/22/13 P20 11.1 60.4 0.05 0.0 841
KLAC KLA-TENCOR KLAC US 02/16/13 P49 11.1 28.3 0.85 -59.5 267
AMD ADV MICRO D AMD US 02/16/13 P2.5 10.3 73.2 0.12 9.1 6284
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
EBAY EBAY INC EBAY US 02/16/13 C55 -30.8 24.7 1.28 -5.2 4979
EBAY EBAY INC EBAY US 02/16/13 P55 -30.7 24.5 1.80 -46.8 1028
EBAY EBAY INC EBAY US 02/16/13 P52.5 -29.4 25.9 0.77 -61.1 1829
EBAY EBAY INC EBAY US 02/16/13 C52.5 -29.3 26.3 2.80 13.8 2115
EBAY EBAY INC EBAY US 02/16/13 C50 -26.3 28.6 4.60 13.6 279
EBAY EBAY INC EBAY US 02/16/13 P50 -25.2 28.1 0.29 -72.6 4925
WEN WENDY'S CO/ WEN US 02/16/13 C5 -23.6 17.7 0.15 -25.0 441
HBAN HUNTINGTON HBAN US 02/16/13 C7 -22.9 17.3 0.10 66.7 922
WSM WILLIAMS-SO WSM US 02/16/13 C45 -21.2 25.5 0.93 -68.5 214
NTCT NETSCOUT SY NTCT US 02/16/13 C25 -20.9 40.7 1.70 -43.3 203
S SPRINT NEXT S US 01/18/14 C5 -20.3 46.4 0.78 -2.5 237
WSM WILLIAMS-SO WSM US 02/16/13 P42 -20.2 28.5 0.60 76.5 214
S SPRINT NEXT S US 02/16/13 P5.5 -17.8 18.5 0.08 -42.9 751
CRR CARBO CERAM CRR US 02/16/13 C70 -17.5 44.7 10.70 0.0 200
HLF HERBALIFE L HLF US 02/16/13 C40 -16.6 59.8 5.21 -19.9 219
BAC BANK OF AME BAC US 02/16/13 C11 -16.3 29.9 0.62 -34.0 5197
UNH UNITEDHEALT UNH US 02/16/13 C55 -15.9 18.2 0.68 -9.3 471
EBAY EBAY INC EBAY US 02/16/13 P45 -15.2 34.0 0.04 -81.0 824
PWER POWER-ONE I PWER US 02/16/13 P4 -14.7 56.6 0.27 80.0 273
HTZ HERTZ GLOBA HTZ US 02/16/13 P18 -14.6 23.6 0.60 -40.0 422
BAC BANK OF AME BAC US 02/08/13 P11.5 -14.4 29.8 0.38 31.0 328
HLF HERBALIFE L HLF US 02/16/13 C45 -14.4 59.3 2.60 -27.8 913
PNC PNC FINANCI PNC US 02/16/13 C62.5 -14.4 16.1 0.74 80.5 430
BAC BANK OF AME BAC US 02/08/13 C11 -14.2 30.0 0.60 -32.6 325
C CITIGROUP I C US 02/16/13 C43 -14.2 24.9 0.52 -55.9 889
HLF HERBALIFE L HLF US 02/16/13 P40 -14.1 67.3 1.60 -15.8 636
AVEO AVEO PHARMA AVEO US 02/16/13 P7.5 -14.1 65.7 0.45 28.6 2080
C CITIGROUP I C US 02/16/13 C42 -14.1 25.4 0.88 -50.0 2503
HLF HERBALIFE L HLF US 02/16/13 C42.5 -14.1 61.5 3.80 -24.0 519
C CITIGROUP I C US 02/16/13 P42 -14.0 25.1 1.55 34.8 688
SPY SPDR S&P 50 SPY US 02/16/13 P153 -14.0 9.8 5.42 -8.9 349
C CITIGROUP I C US 02/16/13 C40 -13.9 26.7 2.00 -34.4 1245
C CITIGROUP I C US 02/16/13 C41 -13.9 26.1 1.37 -42.2 2027
C CITIGROUP I C US 02/16/13 P43 -13.8 24.6 2.23 37.6 320
BAC BANK OF AME BAC US 02/08/13 C11.5 -13.7 29.3 0.29 -46.3 801
BAC BANK OF AME BAC US 02/16/13 C10 -13.7 33.7 1.46 -19.8 1126
CIM CHIMERA INV CIM US 06/22/13 P2.5 -13.4 32.6 0.14 40.0 750
C CITIGROUP I C US 02/16/13 P41 -13.2 26.0 1.06 37.7 2064
UNH UNITEDHEALT UNH US 02/16/13 P52.5 -13.2 20.1 0.60 -33.3 291
WTSLA WET SEAL IN WTSLA US 02/16/13 C2.5 -12.4 622.6 0.30 0.0 1000
SVU SUPERVALU I SVU US 04/20/13 C2.5 -12.4 44.2 1.04 4.0 270
ERF ENERPLUS CO ERF US 02/16/13 C14 -12.4 24.4 0.15 50.0 205
JRCC JAMES RIVER JRCC US 02/16/13 C3 -12.3 72.6 0.15 0.0 344
HLF HERBALIFE L HLF US 02/16/13 P37.5 -12.3 71.1 0.92 -16.4 1203
HLF HERBALIFE L HLF US 02/16/13 P45 -12.3 65.0 3.82 -2.0 363
ASML ASML HOLDIN ASML US 02/16/13 P70 -12.1 26.0 3.18 0.0 856
C CITIGROUP I C US 02/16/13 P40 -11.9 27.0 0.69 40.8 789
FITB FIFTH THIRD FITB US 02/16/13 P16 -11.9 19.5 0.20 -70.2 553
SONS SONUS NETWO SONS US 04/20/13 C2 -11.6 52.9 0.40 -11.1 524
DECK DECKERS OUT DECK US 02/16/13 C37.5 -11.1 54.4 2.50 -21.9 331
NTI NORTHERN TI NTI US 02/16/13 C25 -10.9 32.3 1.00 -20.0 340
C CITIGROUP I C US 02/16/13 P39 -10.7 27.9 0.45 50.0 1439
RGR STURM RUGER RGR US 02/16/13 C50 -10.6 27.0 2.70 34.3 401
BAC BANK OF AME BAC US 02/16/13 P11 -10.6 30.6 0.21 23.5 22691
C CITIGROUP I C US 02/16/13 C39 -10.6 27.9 2.72 -31.1 322
HLF HERBALIFE L HLF US 02/16/13 P42.5 -10.5 67.1 2.56 -5.2 3470
HTZ HERTZ GLOBA HTZ US 02/16/13 C18 -10.3 24.0 0.40 33.3 680
EPB EL PASO PIP EPB US 03/16/13 C37.5 -10.2 16.5 2.10 13.5 500
SLM SLM CORP SLM US 04/20/13 P16 -10.1 25.2 0.44 -2.2 421
EGO ELDORADO GO EGO US 02/16/13 C13 -10.1 33.7 0.40 -20.0 1021
S SPRINT NEXT S US 08/17/13 C5 -10.1 51.9 0.66 -5.7 300
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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