U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Jul 16, 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 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
=============================================================================
HGT HUGOTON ROY HGT US 08/18/12 P7.5 40.0 33.1 0.45 28.6 200
HGT HUGOTON ROY HGT US 11/17/12 P7.5 20.0 26.0 0.75 15.4 201
XLU SPDR-UTIL S XLU US 08/18/12 P37 19.3 11.1 0.36 9.1 720
PG PROCTER & G PG US 08/18/12 C60 17.4 24.3 5.00 -1.0 1451
AGNC AMERICAN CA AGNC US 08/18/12 C34 17.1 18.8 1.32 21.1 217
PPC PILGRIM'S P PPC US 08/18/12 P5 17.0 72.1 0.25 0.0 275
BZH BEAZER HOME BZH US 08/18/12 P3 16.8 70.6 0.33 10.0 333
AOL AOL INC AOL US 10/20/12 C24 16.8 37.6 4.40 4.8 1646
DBA POWERSHARES DBA US 08/18/12 C27 14.5 21.9 2.75 14.6 515
ARLP ALLIANCE RE ARLP US 08/18/12 P60 14.3 31.9 3.20 3.2 322
XLU SPDR-UTIL S XLU US 08/18/12 C38 14.2 9.1 0.14 -22.2 307
OREX OREXIGEN TH OREX US 08/18/12 P6 13.9 107.8 0.25 -30.6 600
XLP SPDR-CONS S XLP US 08/18/12 C33 11.9 16.1 2.34 0.4 399
RNF RENTECH NIT RNF US 08/18/12 C30 11.8 31.5 1.20 118.2 712
V VISA INC-CL V US 08/18/12 P125 11.8 28.6 3.05 -35.1 224
V VISA INC-CL V US 08/18/12 C130 11.5 27.5 3.20 106.5 1007
ADI ANALOG DEVI ADI US 08/18/12 P35 11.0 29.1 0.60 9.1 2643
TBT PRO ULTSHRT TBT US 08/18/12 C12 10.6 39.7 2.56 -8.9 905
ITB ISHARES-DJ ITB US 08/18/12 P16 10.5 38.4 0.45 50.0 500
V VISA INC-CL V US 08/18/12 C125 10.4 28.9 5.91 68.9 274
VIAB VIACOM INC- VIAB US 08/18/12 P39 10.3 41.4 0.13 30.0 215
SYK STRYKER COR SYK US 08/18/12 C55 10.3 23.3 0.75 36.4 1907
CAKE CHEESECAKE CAKE US 08/18/12 C34 10.2 28.0 0.60 100.0 300
SFD SMITHFIELD SFD US 08/18/12 P18 10.2 42.1 0.74 48.0 2158
ALXN ALEXION PHA ALXN US 08/18/12 P95 10.2 55.4 5.31 7.7 207
V VISA INC-CL V US 09/22/12 C130 10.1 25.7 4.80 83.2 261
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
HGSI HUMAN GENOM HGSI US 01/19/13 P14 -94.4 3.2 0.05 -97.5 2492
HGSI HUMAN GENOM HGSI US 10/20/12 P14 -92.8 3.9 0.04 -97.6 260
PRX PAR PHARMAC PRX US 08/18/12 P50 -87.8 7.9 0.40 0.0 534
HGSI HUMAN GENOM HGSI US 08/18/12 C14 -85.4 6.6 0.25 -55.4 1130
HGSI HUMAN GENOM HGSI US 01/19/13 P13 -79.8 8.6 0.03 -97.6 561
HGSI HUMAN GENOM HGSI US 01/19/13 P12 -74.0 13.0 0.02 -97.9 390
HGSI HUMAN GENOM HGSI US 10/20/12 P13 -72.5 12.3 0.03 -97.0 447
HGSI HUMAN GENOM HGSI US 01/19/13 P11 -66.8 18.4 0.02 -97.5 203
HGSI HUMAN GENOM HGSI US 08/18/12 P13 -60.9 21.9 0.03 -95.6 598
RDWR RADWARE LTD RDWR US 08/18/12 P36 -57.8 38.4 1.50 0.0 300
PRX PAR PHARMAC PRX US 11/17/12 P45 -56.6 15.4 0.25 -96.2 747
PRX PAR PHARMAC PRX US 02/16/13 P45 -48.6 13.9 0.35 0.0 300
ISIL INTERSIL CO ISIL US 08/18/12 P9 -26.3 54.2 0.30 -45.5 1115
TLB TALBOTS INC TLB US 08/18/12 P2.5 -26.1 44.1 0.05 -66.7 500
ISIL INTERSIL CO ISIL US 08/18/12 C10 -25.9 52.5 0.60 -33.3 4507
ISIL INTERSIL CO ISIL US 08/18/12 P10 -25.2 54.5 0.66 -30.5 4348
GCI GANNETT CO GCI US 08/18/12 C13 -17.5 40.4 1.70 93.2 237
ISIL INTERSIL CO ISIL US 10/20/12 C10 -15.6 47.8 0.95 -17.4 564
ISIL INTERSIL CO ISIL US 10/20/12 P10 -15.6 48.2 0.99 -13.9 329
LINE LINN ENERGY LINE US 01/19/13 C37 -15.3 18.8 3.00 9.1 610
BZH BEAZER HOME BZH US 08/18/12 C3 -14.2 62.0 0.20 0.0 984
RIMM RESEARCH IN RIMM US 01/19/13 P2 -14.0 102.8 0.10 233.3 400
LINE LINN ENERGY LINE US 08/18/12 C37 -14.0 18.7 2.80 -1.8 610
GCI GANNETT CO GCI US 08/18/12 P14 -13.2 33.6 0.25 -50.0 224
NSM NATIONSTAR NSM US 01/19/13 C15 -12.9 66.7 10.80 5.9 260
CVX CHEVRON COR CVX US 09/22/12 P50 -12.7 67.4 0.02 -75.0 300
GCI GANNETT CO GCI US 08/18/12 C14 -12.5 33.2 1.00 25.0 249
SO SOUTHERN CO SO US 01/19/13 P25 -12.3 38.3 0.03 -40.0 227
CERN CERNER CORP CERN US 09/22/12 C70 -11.9 37.8 10.50 -24.5 207
BAC BANK OF AME BAC US 08/18/12 C6 -11.2 50.1 1.90 3.3 678
XLF SPDR-FINL S XLF US 08/18/12 C13 -10.5 27.6 1.75 -0.6 470
GCI GANNETT CO GCI US 08/18/12 C15 -10.0 31.2 0.39 -9.3 3667
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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