U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Feb 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 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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XLU SPDR-UTIL S XLU US 03/16/13 C36 25.7 10.2 0.77 -14.4 2212
TD TORONTO-DOM TD US 03/16/13 C85 24.6 13.7 0.75 15.4 1739
HRB H&R BLOCK I HRB US 03/16/13 P22 20.5 32.0 0.35 -7.9 848
DPM DCP MIDSTRE DPM US 03/16/13 P40 18.5 29.0 0.25 0.0 546
AMRS AMYRIS INC AMRS US 06/22/13 P2.5 17.8 82.1 0.25 -16.7 500
HRB H&R BLOCK I HRB US 04/20/13 P20 17.4 34.9 0.30 3.5 2500
RRGB RED ROBIN G RRGB US 03/16/13 P30 16.5 52.5 0.40 81.8 988
ETP ENERGY TRAN ETP US 03/16/13 C42.5 16.5 37.3 4.67 1.5 15566
CXW CORRECTIONS CXW US 03/16/13 P34 16.0 38.6 0.55 57.1 5075
SIRI SIRIUS XM R SIRI US 03/16/13 C3 15.5 42.7 0.26 -13.3 615
XLF SPDR-FINL S XLF US 02/22/13 C18 15.0 15.2 0.05 -44.4 527
AIG AMERICAN IN AIG US 03/16/13 C40 14.8 29.1 0.75 -14.8 797
LINE LINN ENERGY LINE US 03/16/13 P38 14.8 22.2 0.85 0.0 632
TLLP TESORO LOGI TLLP US 03/16/13 C45 14.6 19.3 0.85 21.4 655
EXC EXELON CORP EXC US 04/20/13 C31 14.1 24.6 1.00 -9.1 863
HRB H&R BLOCK I HRB US 04/20/13 P22 14.1 27.9 0.65 0.0 500
PEP PEPSICO INC PEP US 03/16/13 C75 14.0 11.6 0.23 21.1 3661
LINE LINN ENERGY LINE US 04/20/13 P35 13.9 23.7 0.35 16.7 828
TD TORONTO-DOM TD US 04/20/13 P80 13.7 15.1 1.30 44.4 1552
EXPD EXPEDITORS EXPD US 03/16/13 C45 13.4 26.1 0.65 8.3 10551
TMO THERMO FISH TMO US 09/21/13 P75 13.0 23.1 6.55 26.0 542
TWX TIME WARNER TWX US 03/16/13 C52.5 12.8 22.1 0.61 -1.6 947
SPY SPDR S&P 50 SPY US 03/01/13 C156 12.7 9.9 0.11 -35.3 793
AIG AMERICAN IN AIG US 03/16/13 C39 12.7 28.8 1.12 -13.2 3833
XLF SPDR-FINL S XLF US 02/22/13 C17.5 12.1 15.0 0.20 -33.3 8975
ALL ALLSTATE CO ALL US 03/16/13 C45 11.8 22.9 0.80 -27.9 11722
NFLX NETFLIX INC NFLX US 03/16/13 P150 11.5 68.0 5.75 -17.3 1207
NFLX NETFLIX INC NFLX US 03/01/13 C175 11.4 67.5 10.93 58.4 548
XLE SPDR-ENERGY XLE US 03/16/13 C81 11.2 14.6 0.36 -25.0 543
PEP PEPSICO INC PEP US 03/16/13 C72.5 11.0 11.9 1.09 3.8 533
IWM ISHARES-RUS IWM US 02/22/13 C93 10.9 13.4 0.14 -41.7 907
AIG AMERICAN IN AIG US 03/16/13 C38 10.8 28.8 1.52 -16.5 820
SD SANDRIDGE E SD US 06/22/13 C6 10.6 56.0 0.94 -14.6 1317
AA ALCOA INC AA US 03/16/13 C9 10.4 22.4 0.18 -18.2 1147
YUM YUM! BRANDS YUM US 03/16/13 P60 10.4 33.8 0.92 41.5 2290
YUM YUM! BRANDS YUM US 03/16/13 P62.5 10.4 32.4 1.64 36.7 1592
SEE SEALED AIR SEE US 04/20/13 P17.5 10.3 31.5 0.50 -23.1 1338
SPY SPDR S&P 50 SPY US 02/22/13 C153 10.3 10.1 0.34 -44.3 845
SPY SPDR S&P 50 SPY US 02/22/13 C152 10.2 10.5 0.60 -43.4 623
FB FACEBOOK IN FB US 02/22/13 C29 10.2 38.3 0.63 -56.2 739
YUM YUM! BRANDS YUM US 03/16/13 C65 10.1 30.8 2.57 -13.8 1164
AAPL APPLE INC AAPL US 02/22/13 P450 10.1 27.1 14.35 38.0 892
NFLX NETFLIX INC NFLX US 03/16/13 C170 10.1 65.4 15.60 44.4 793
SPY SPDR S&P 50 SPY US 02/22/13 C151 10.1 11.1 1.03 -35.6 1651
YUM YUM! BRANDS YUM US 03/16/13 P67.5 10.1 29.4 3.90 18.2 559
XLP SPDR-CONS S XLP US 03/16/13 C37 10.1 10.1 0.43 -18.9 1186
XLF SPDR-FINL S XLF US 02/22/13 P17.5 10.1 15.2 0.26 44.4 9444
YUM YUM! BRANDS YUM US 03/16/13 P65 10.0 31.0 2.70 31.1 3384
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
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APKT ACME PACKET APKT US 08/17/13 C29 -93.0 3.3 0.55 0.0 892
APKT ACME PACKET APKT US 08/17/13 P29 -89.2 5.0 0.25 0.0 2409
APKT ACME PACKET APKT US 01/18/14 C30 -88.8 5.3 0.35 -86.5 698
APKT ACME PACKET APKT US 08/17/13 C30 -88.8 5.3 0.15 -89.7 1150
APKT ACME PACKET APKT US 05/18/13 P29 -88.0 5.3 0.23 -96.6 692
APKT ACME PACKET APKT US 03/16/13 P29 -87.7 6.4 0.20 0.0 2611
APKT ACME PACKET APKT US 05/18/13 C29 -86.9 6.1 0.60 -29.4 1085
APKT ACME PACKET APKT US 03/16/13 C29 -85.9 7.3 0.40 21.2 7178
APKT ACME PACKET APKT US 08/17/13 C28 -85.0 7.3 1.45 -30.9 521
APKT ACME PACKET APKT US 05/18/13 C30 -84.1 7.4 0.20 -69.2 1476
APKT ACME PACKET APKT US 08/17/13 P28 -83.3 7.8 0.20 -96.9 848
APKT ACME PACKET APKT US 03/16/13 C30 -79.3 10.3 0.15 0.0 6319
APKT ACME PACKET APKT US 05/18/13 C28 -75.3 11.9 1.32 15.8 546
APKT ACME PACKET APKT US 05/18/13 C23 -24.0 40.7 6.22 94.4 548
DELL DELL INC DELL US 03/16/13 P13 -24.0 25.0 0.30 -6.2 14881
INTC INTEL CORP INTC US 01/18/14 C13 -22.5 44.7 8.30 1.8 2100
DELL DELL INC DELL US 04/20/13 C13 -21.9 21.7 0.69 -31.0 930
DELL DELL INC DELL US 05/18/13 P13 -21.9 19.7 0.44 -2.2 543
DELL DELL INC DELL US 08/17/13 C13 -20.6 16.7 0.72 -35.1 510
MOS MOSAIC CO/T MOS US 03/16/13 C40 -20.3 76.1 20.80 14.9 660
DELL DELL INC DELL US 05/18/13 P12 -18.9 26.1 0.25 -7.4 593
DELL DELL INC DELL US 03/16/13 C13 -16.9 26.9 0.65 -32.3 5273
HYG ISH-IBOXX H HYG US 03/16/13 P92 -14.9 7.4 0.70 7.7 9893
CLSN CELSION COR CLSN US 03/16/13 P1 -14.7 128.4 0.15 0.0 1682
HYG ISH-IBOXX H HYG US 03/16/13 P90 -13.8 9.4 0.35 16.7 4130
HYG ISH-IBOXX H HYG US 03/16/13 P93 -13.3 6.6 1.15 15.0 2255
P PANDORA MED P US 03/16/13 C12 -13.2 82.9 1.00 0.0 500
DELL DELL INC DELL US 05/18/13 C10 -12.1 36.9 3.40 -8.6 4878
CLX CLOROX CO CLX US 04/20/13 P80 -11.5 12.8 1.65 -32.6 1005
SID SID NACIONA SID US 03/16/13 C5 -11.1 38.2 0.49 -10.9 500
SIRI SIRIUS XM R SIRI US 01/18/14 C2 -11.1 42.2 1.21 -6.2 1125
SYY SYSCO CORP SYY US 01/17/15 C30 -10.7 14.8 2.80 -5.1 821
BUD ANHEUSER-SP BUD US 03/16/13 P80 -10.2 27.4 0.60 100.0 1178
x - Ex-dividend. * - Ex-earnings.
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