U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Feb 5, 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
=============================================================================
GNW GENWORTH FI GNW US 03/16/13 C5 49.8 87.7 4.11 -1.0 200
OZM OCH-ZIFF CA OZM US 03/16/13 C7.5 44.3 94.6 2.75 14.6 200
VMED VIRGIN MEDI VMED US 03/16/13 P42 43.5 34.6 0.80 0.0 1181
VMED VIRGIN MEDI VMED US 03/16/13 C40 36.6 35.8 5.70 660.0 486
VMED VIRGIN MEDI VMED US 03/16/13 C41 36.5 35.0 4.70 683.3 437
ITUB ITAU UNIBAN ITUB US 01/18/14 P10 33.4 49.7 0.14 16.7 2000
MAPP MAP PHARMAC MAPP US 06/22/13 P25 31.3 2.6 0.40 0.0 200
SPY SPDR S&P 50 SPY US 03/16/13 P155 27.7 9.7 5.16 -17.2 4183
UUP POWERSHARES UUP US 03/16/13 C21 23.3 7.8 0.72 -2.7 280
VLO VALERO ENER VLO US 03/16/13 P31 22.6 54.3 0.04 100.0 9368
INTC INTEL CORP INTC US 05/18/13 C20 21.2 21.9 1.62 12.5 2836
LBTYA LIBERTY GLO LBTYA US 03/16/13 C70 20.2 26.9 1.00 -4.8 875
MHP MCGRAW-HILL MHP US 03/16/13 P50 18.0 48.5 4.30 43.3 312
RNF RENTECH NIT RNF US 07/20/13 C40 17.1 32.8 7.45 -8.0 209
VLO VALERO ENER VLO US 03/16/13 P32 16.6 49.9 0.05 150.0 1511
ZNGA ZYNGA INC- ZNGA US 06/22/13 C2 16.1 73.5 0.86 26.5 856
ZNGA ZYNGA INC- ZNGA US 03/16/13 C2 15.9 93.1 0.71 18.3 1164
SD SANDRIDGE E SD US 03/16/13 P5 15.1 77.4 0.17 112.5 779
VLO VALERO ENER VLO US 03/16/13 P33 13.5 46.3 0.04 33.3 1241
WAG WALGREEN CO WAG US 03/16/13 P38 13.4 25.5 0.30 -33.3 992
MCO MOODY'S COR MCO US 05/18/13 C47 13.3 36.7 4.35 -13.0 1059
ITUB ITAU UNIBAN ITUB US 01/17/15 P8 12.3 40.7 0.17 -43.3 1000
LBTYA LIBERTY GLO LBTYA US 03/16/13 P60 12.2 33.1 0.40 0.0 750
IWM ISHARES-RUS IWM US 02/22/13 P81 11.8 26.8 0.06 -40.0 735
BAC BANK OF AME BAC US 03/16/13 C9 11.7 44.3 2.82 9.7 219
SPY SPDR S&P 50 SPY US 03/01/13 P153 11.4 10.0 3.00 -21.3 212
MHP MCGRAW-HILL MHP US 05/18/13 P40 11.3 45.5 1.60 33.3 217
TTWO TAKE-TWO IN TTWO US 03/16/13 P12 11.2 48.5 0.45 -10.0 580
SD SANDRIDGE E SD US 01/18/14 P5 11.0 59.3 0.83 33.9 603
XLF SPDR-FINL S XLF US 04/20/13 P14 10.8 31.6 0.06 50.0 59655
SD SANDRIDGE E SD US 04/20/13 P6 10.8 66.6 0.71 31.5 1078
SD SANDRIDGE E SD US 09/21/13 P5 10.8 63.3 0.66 40.4 651
BX BLACKSTONE BX US 03/16/13 C18 10.6 30.0 1.25 30.2 363
SPY SPDR S&P 50 SPY US 02/22/13 P152 10.5 10.3 2.00 -34.2 487
BBRY RESEARCH IN BBRY US 03/16/13 C10 10.4 99.2 6.06 21.0 897
KERX KERYX BIOPH KERX US 03/16/13 P5.5 10.2 101.4 0.25 -16.7 242
MHP MCGRAW-HILL MHP US 08/17/13 P45 10.1 37.7 4.10 95.2 461
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
KCAP KCAP FINANC KCAP US 03/16/13 P10 -93.7 26.2 0.35 40.0 254
OPXA OPEXA THERA OPXA1 US 03/16/13 C2.5 -66.3 257.7 0.10 0.0 860
PBR/A PETROBRAS-S PBRA US 06/22/13 C17.5 -59.3 44.8 1.20 -33.3 400
DELL DELL INC DELL US 03/16/13 P13 -55.7 10.9 0.05 -82.8 4050
DELL DELL INC DELL US 04/20/13 P13 -52.0 10.6 0.11 -70.3 640
DELL DELL INC DELL US 01/18/14 C10 -50.8 13.5 3.44 -0.9 340
DELL DELL INC DELL US 08/17/13 C14 -44.5 7.0 0.08 -55.6 6470
DELL DELL INC DELL US 05/18/13 P13 -43.9 11.2 0.15 -62.5 1050
DELL DELL INC DELL US 03/16/13 C13 -43.2 14.3 0.50 -16.7 843
BIDU BAIDU INC-S BIDU US 02/22/13 P90 -42.7 35.3 0.84 33.3 278
DELL DELL INC DELL US 03/16/13 C14 -42.3 12.4 0.03 -76.9 10002
BIDU BAIDU INC-S BIDU US 02/22/13 P95 -41.6 33.6 2.36 93.4 348
DELL DELL INC DELL US 04/20/13 C14 -41.4 10.0 0.04 -75.0 7815
DELL DELL INC DELL US 01/18/14 C13 -41.1 9.0 0.66 -26.7 236
BIDU BAIDU INC-S BIDU US 02/22/13 P85 -40.4 38.1 0.25 -19.4 256
DELL DELL INC DELL US 05/18/13 C14 -40.1 9.3 0.07 -56.2 6101
BIDU BAIDU INC-S BIDU US 02/22/13 C100 -39.3 34.0 1.36 -85.2 213
BIDU BAIDU INC-S BIDU US 02/22/13 P100 -39.1 33.7 5.30 126.5 238
DELL DELL INC DELL US 03/16/13 C12 -38.3 21.8 1.42 1.4 1188
DELL DELL INC DELL US 05/18/13 C13 -36.6 12.4 0.56 -16.4 4987
BIDU BAIDU INC-S BIDU US 02/22/13 P80 -35.5 43.2 0.09 -18.2 362
DELL DELL INC DELL US 03/16/13 P12 -35.0 23.0 0.03 -80.0 313
BIDU BAIDU INC-S BIDU US 03/01/13 P100 -33.2 33.7 5.80 120.5 237
BIDU BAIDU INC-S BIDU US 03/01/13 C100 -32.4 34.7 1.68 -82.9 280
BIDU BAIDU INC-S BIDU US 03/01/13 P80 -30.4 39.0 0.15 25.0 214
DELL DELL INC DELL US 08/17/13 C13 -30.4 11.0 0.65 -13.3 3195
DELL DELL INC DELL US 01/18/14 P13 -29.9 9.3 0.26 -55.9 1397
INTC INTEL CORP INTC US 03/16/13 P22 -29.1 17.8 1.02 -15.0 246
MIL MFC INDUSTR MIL US 04/20/13 C7.5 -28.5 34.4 2.30 -2.1 300
BIDU BAIDU INC-S BIDU US 03/16/13 P80 -27.8 38.6 0.36 16.1 214
BIDU BAIDU INC-S BIDU US 03/16/13 P85 -27.2 36.7 0.83 36.1 489
BIDU BAIDU INC-S BIDU US 03/16/13 P87.5 -27.2 35.9 1.28 60.0 733
BIDU BAIDU INC-S BIDU US 03/16/13 C90 -27.0 36.3 7.90 -56.1 236
EL ESTEE LAUDE EL US 03/16/13 C65 -27.0 22.3 1.85 68.2 306
BIDU BAIDU INC-S BIDU US 03/16/13 P92.5 -26.9 34.9 2.77 87.2 262
BIDU BAIDU INC-S BIDU US 02/22/13 P75 -26.8 51.9 0.05 0.0 264
BIDU BAIDU INC-S BIDU US 03/16/13 P95 -26.3 34.6 3.80 91.9 1027
YUM YUM! BRANDS YUM US 03/16/13 C62.5 -25.9 24.9 1.78 -49.9 1751
BIDU BAIDU INC-S BIDU US 03/16/13 P97.5 -25.7 34.2 5.05 99.6 220
YUM YUM! BRANDS YUM US 03/16/13 P62.5 -25.4 24.8 2.21 5.7 1846
BIDU BAIDU INC-S BIDU US 03/16/13 C95 -25.4 35.5 4.95 -64.1 460
BIDU BAIDU INC-S BIDU US 03/16/13 C97.5 -25.4 35.0 3.70 -69.3 520
DELL DELL INC DELL US 08/17/13 P13 -25.2 10.9 0.25 -46.8 3930
GILD GILEAD SCIE GILD US 03/16/13 P41.25 -25.1 22.1 1.63 -30.3 605
EW EDWARDS LIF EW US 03/16/13 P85 -24.9 25.0 1.35 22.7 337
DELL DELL INC DELL US 05/18/13 P12 -24.7 19.1 0.10 -50.0 1035
YUM YUM! BRANDS YUM US 03/16/13 P60 -24.7 26.0 1.18 -3.3 6126
ARCC ARES CAPITA ARCC US 01/17/15 P10 -24.6 31.1 0.50 -23.1 254
YUM YUM! BRANDS YUM US 03/16/13 P65 -24.5 24.1 3.80 16.9 601
BIDU BAIDU INC-S BIDU US 03/16/13 C100 -24.3 34.8 2.60 -74.8 1461
GILD GILEAD SCIE GILD US 03/16/13 C42.5 -24.1 22.8 0.50 -13.8 791
DELL DELL INC DELL US 08/17/13 P12 -24.1 16.1 0.14 -50.0 752
DELL DELL INC DELL US 01/17/15 P12 -23.9 10.1 0.20 -53.5 1330
YUM YUM! BRANDS YUM US 03/16/13 C60 -23.6 26.0 3.20 -46.8 1109
GILD GILEAD SCIE GILD US 03/16/13 P40 -22.9 22.7 0.94 -41.2 743
YUM YUM! BRANDS YUM US 03/16/13 C65 -22.8 24.0 0.83 -61.8 880
YUM YUM! BRANDS YUM US 03/16/13 P57.5 -22.7 27.4 0.58 -14.7 1386
YUM YUM! BRANDS YUM US 03/16/13 P55 -22.4 28.9 0.30 -21.1 613
GILD GILEAD SCIE GILD US 03/16/13 C41.25 -22.2 23.0 0.94 5.6 1121
DELL DELL INC DELL US 05/18/13 C12 -22.1 19.4 1.46 -5.2 2225
GILD GILEAD SCIE GILD US 03/16/13 C40 -22.1 23.7 1.62 18.2 686
EW EDWARDS LIF EW US 03/16/13 C90 -22.1 24.5 1.90 -65.5 220
BP BP PLC-ADR BP US 02/22/13 C45 -21.6 20.9 0.36 0.0 210
DELL DELL INC DELL US 08/17/13 C12 -21.4 17.1 1.52 -22.4 1735
GILD GILEAD SCIE GILD US 03/16/13 P38.75 -21.4 23.8 0.50 -55.0 608
EL ESTEE LAUDE EL US 03/16/13 P60 -21.4 25.3 0.40 -80.5 400
VMED VIRGIN MEDI VMED US 01/18/14 P40 -21.1 18.3 1.20 -67.6 474
GILD GILEAD SCIE GILD US 03/16/13 P37.5 -20.3 25.1 0.33 -52.9 456
TLAB TELLABS INC TLAB US 03/16/13 C2 -20.1 33.1 0.10 -33.3 2223
BIDU BAIDU INC-S BIDU US 04/20/13 C95 -19.8 35.5 6.55 -56.2 270
K KELLOGG CO K US 03/16/13 C60 -19.4 10.8 0.35 16.7 1075
IDIX IDENIX PHAR IDIX US 03/16/13 C5 -19.0 68.1 0.25 -50.0 297
PBR PETROBRAS S PBR US 03/16/13 P14 -18.6 42.8 0.09 0.0 380
BP BP PLC-ADR BP US 02/22/13 P44 -18.1 21.1 1.00 -28.6 344
YUM YUM! BRANDS YUM US 04/20/13 C62.5 -17.8 23.5 2.36 -40.4 604
TSLA TESLA MOTOR TSLA US 03/16/13 C25 -17.7 72.8 12.80 8.5 721
GNW GENWORTH FI GNW US 03/16/13 C4 -17.6 94.9 5.10 -1.0 200
HCA HCA HOLDING HCA US 03/16/13 C37.5 -17.6 28.9 1.50 -16.7 312
IDIX IDENIX PHAR IDIX US 04/20/13 P5 -17.3 69.0 0.70 -17.6 278
ACI ARCH COAL I ACI US 03/16/13 P5 -17.0 67.8 0.09 0.0 315
RBN ROBBINS & M RBN US 04/20/13 P55 -16.4 17.3 0.55 -47.6 1439
ITUB ITAU UNIBAN ITUB US 06/22/13 P11 -16.0 46.5 0.05 -87.5 700
BIDU BAIDU INC-S BIDU US 04/20/13 P90 -16.0 35.5 3.50 93.4 339
HZNP HORIZON PHA HZNP US 05/18/13 C2.5 -15.9 84.0 0.36 20.0 230
EL ESTEE LAUDE EL US 04/20/13 P60 -15.8 23.2 0.70 -68.2 575
K KELLOGG CO K US 03/16/13 C57.5 -15.8 11.7 1.75 33.6 506
PBR PETROBRAS S PBR US 04/20/13 P11 -15.8 50.6 0.06 20.0 1000
BIDU BAIDU INC-S BIDU US 04/20/13 P95 -15.7 34.9 5.51 86.8 247
YUM YUM! BRANDS YUM US 04/20/13 P60 -15.4 24.2 1.86 10.1 1123
YUM YUM! BRANDS YUM US 04/20/13 P62.5 -15.1 23.4 2.94 11.8 300
YUM YUM! BRANDS YUM US 04/20/13 P57.5 -14.8 25.3 1.07 0.0 247
HIG HARTFORD FI HIG US 03/16/13 C25 -14.8 25.3 0.67 -16.2 225
YUM YUM! BRANDS YUM US 04/20/13 C65 -14.7 22.7 1.31 -49.4 337
YUM YUM! BRANDS YUM US 04/20/13 C60 -14.7 24.6 3.40 -40.9 351
VWO VANGUARD FT VWO US 03/16/13 P40 -14.4 23.5 0.15 0.0 839
VMED VIRGIN MEDI VMED US 03/16/13 C47 -14.4 30.8 1.10 0.0 1081
YUM YUM! BRANDS YUM US 04/20/13 P65 -14.3 22.6 4.40 15.8 222
ANR ALPHA NATUR ANR US 04/20/13 C3 -14.0 127.1 5.55 0.0 220
MCO MOODY'S COR MCO US 03/16/13 P40 -13.3 60.6 0.76 0.0 210
ADM ARCHER-DANI ADM US 03/16/13 P30 -13.3 20.1 1.00 -46.0 1173
MCO MOODY'S COR MCO US 03/16/13 P50 -13.0 39.8 3.30 10.4 3427
LINE LINN ENERGY LINE US 04/20/13 P34 -12.8 24.2 0.35 34.6 316
HIG HARTFORD FI HIG US 03/16/13 P24 -12.7 26.1 0.57 -21.9 201
ADM ARCHER-DANI ADM US 03/16/13 C30 -12.1 20.1 0.52 108.0 204
MHP MCGRAW-HILL MHP US 03/16/13 C50 -11.9 48.1 2.05 -33.9 917
EW EDWARDS LIF EW US 05/18/13 P80 -11.8 28.6 1.87 3.9 340
BP BP PLC-ADR BP US 03/16/13 C46 -11.7 21.2 0.40 -2.4 207
DELL DELL INC DELL US 08/17/13 P11 -11.3 22.0 0.11 -50.0 237
SIRI SIRIUS XM R SIRI US 03/16/13 C3 -11.3 34.3 0.20 -16.7 204
EEM ISHARES-EMG EEM US 02/22/13 C45 -11.2 12.8 0.16 0.0 307
DELL DELL INC DELL US 05/18/13 P8 -11.1 43.4 0.01 -66.7 220
SPY SPDR S&P 50 SPY US 03/16/13 C139 -10.9 18.1 12.08 8.5 807
ACAD ACADIA PHAR ACAD US 03/16/13 P5.5 -10.8 65.3 0.15 -50.0 200
BP BP PLC-ADR BP US 03/01/13 P43 -10.8 23.4 0.72 -28.7 312
PBR PETROBRAS S PBR US 03/16/13 P15 -10.7 36.1 0.18 260.0 499
XLI SPDR-INDU S XLI US 03/16/13 C36 -10.6 20.9 4.50 5.9 237
BAC BANK OF AME BAC US 04/20/13 C7 -10.6 49.8 4.75 2.1 203
MCO MOODY'S COR MCO US 03/16/13 C50 -10.5 40.7 2.05 -10.9 519
BP BP PLC-ADR BP US 03/16/13 C44 -10.4 22.1 1.09 6.9 2741
LINE LINN ENERGY LINE US 04/20/13 P35 -10.3 23.9 0.50 42.9 772
ADM ARCHER-DANI ADM US 03/16/13 P29 -10.0 21.1 0.59 -56.6 380
THO THOR INDUST THO US 03/16/13 P40 -10.0 37.3 2.59 44.7 1138
x - Ex-dividend. * - Ex-earnings.
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