Bloomberg News

U.S. Stock Options With Biggest Changes in Implied Volatility

February 28, 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
=============================================================================
AGNC   AMERICAN CA  AGNC US 03/17/12 C30      60.9  12.8   0.69   15.0    561
TLEO   TALEO CORP-  TLEO US 03/17/12 C40      56.9  38.3   5.80    1.8    388
WEN    WENDY'S CO/  WEN US 03/17/12 P5        50.0  40.6   0.10  -33.3    314
CLNE   CLEAN ENERG  CLNE US 03/17/12 C12      39.4 134.6   8.30    2.5    289
QQQ    POWERSH-QQQ  QQQ US 03/17/12 P67       36.4  14.1   2.72  -12.5    574
S      SPRINT NEXT  S US 03/17/12 C1          30.0 264.0   1.55   -0.6    601
CIM    CHIMERA INV  CIM US 09/22/12 P3        25.0  22.8   0.27  -10.0    342
SPLS   STAPLES INC  SPLS US 03/17/12 P15      24.7  46.4   0.30  -23.1   2560
GRPN   GROUPON INC  GRPN US 03/17/12 C19      22.9  42.1   1.50   87.5    279
AGNC   AMERICAN CA  AGNC US 03/17/12 P31      22.1  14.9   1.53   -6.7    217
OKS    ONEOK PARTN  OKS US 03/17/12 C60       21.6  15.5   0.40  -65.2   1192
MU     MICRON TECH  MU US 03/17/12 C8         20.3  56.9   1.13   63.8    847
PCLN   PRICELINE.C  PCLN US 03/17/12 P420     20.1  71.8   0.05  -28.6    222
GRPN   GROUPON INC  GRPN US 03/17/12 C20      19.9  43.4   0.80  100.0   2585
UNG    US NAT GAS   UNG2 US 03/17/12 P6       19.7  54.4   0.98   16.7    222
PPC    PILGRIM'S P  PPC US 03/17/12 C5        19.3  79.7   1.75   12.9    200
MU     MICRON TECH  MU US 03/17/12 C7         18.5  73.5   2.01   24.1    474
SPRD   SPREADTRUM-  SPRD US 03/17/12 P17      17.9  91.8   1.30  -31.6    269
SPLS   STAPLES INC  SPLS US 03/17/12 C16      17.6  43.1   0.50  150.0   3676
EXPE   EXPEDIA INC  EXPE US 04/21/12 P27      17.4  44.1   0.15  -25.0   1311
EP     EL PASO COR  EP US 04/21/12 C28        16.9  14.2   0.45   21.6    246
SPLS   STAPLES INC  SPLS US 03/17/12 P16      16.7  42.3   0.66  -30.5    284
FXP    PROSHARES U  FXP US 03/17/12 C20       16.6  47.5   2.30  -28.1    242
KMI    KINDER MORG  KMI US 04/21/12 C35       16.5  19.2   1.30   62.5    518
MU     MICRON TECH  MU US 03/17/12 P8         16.1  55.6   0.08  -46.7   1815
AGNC   AMERICAN CA  AGNC US 03/17/12 P30      15.7  11.1   0.61  -12.9    421
UNG    US NAT GAS   UNG2 US 03/17/12 C6       15.2  56.7   0.03    0.0    877
SPPI   SPECTRUM PH  SPPI US 03/17/12 C15      15.1  87.7   0.85   -5.6    308
EEM    ISHARES-EMG  EEM US 12/22/12 C45       14.8  26.4   3.67    4.9    381
BAC    BANK OF AME  BAC US 03/17/12 C6        14.5  79.2   2.15    6.4    706
WCRX   WARNER CHIL  WCRX US 03/17/12 C16      14.5  47.6   1.10  -33.3    261
DCTH   DELCATH SYS  DCTH US 03/17/12 C4.5     14.3  81.8   0.40   60.0    202
HUN    HUNTSMAN CO  HUN US 03/17/12 C14       13.9  47.4   0.75   25.0    546
EWJ    ISHARES-JAP  EWJ US 03/17/12 P9        13.7  38.3   0.03  200.0    612
SLV    ISHARES SIL  SLV US 03/17/12 P30       13.6  45.1   0.06  -14.3    875
GRPN   GROUPON INC  GRPN US 04/21/12 C21      13.3  39.8   0.95  102.1   1284
GRPN   GROUPON INC  GRPN US 03/17/12 C21      13.3  42.7   0.40  100.0    368
QQQ    POWERSH-QQQ  QQQ US 03/17/12 P66       12.9  14.3   1.87  -16.1   1381
PSS    COLLECTIVE   PSS US 03/17/12 P17       12.9  64.2   0.75    7.1    847
PRGO   PERRIGO CO   PRGO US 05/19/12 C100     12.7  32.1   5.60   24.4   1527
COV    COVIDIEN PL  COV US 04/21/12 P45       12.1  32.5   0.25    0.0    939
KMI    KINDER MORG  KMI US 03/17/12 C35       12.0  21.9   0.85   88.9   2645
SLV    ISHARES SIL  SLV US 03/17/12 P30.5     11.9  42.8   0.08  -20.0    724
UNG    US NAT GAS   UNG US 04/21/12 P21       11.9  45.4   1.88   26.2    324
PETM   PETSMART IN  PETM US 03/17/12 C55      11.6  38.7   2.10   20.0    541
SHLD   SEARS HOLDI  SHLD US 03/17/12 C47.5    11.6  70.1  21.50    1.0    393
ILMN   ILLUMINA IN  ILMN US 03/17/12 C52.5    11.3  24.4   0.55   10.0    520
SNV    SYNOVUS FIN  SNV US 04/21/12 C2        10.9  48.6   0.20   33.3    553
VNDA   VANDA PHARM  VNDA US 06/16/12 C5       10.8  66.3   0.65    0.0    300
RIG    TRANSOCEAN   RIG US 03/17/12 P42.5     10.7  63.0   0.09  -10.0    239
AMD    ADV MICRO D  AMD US 03/17/12 C7        10.5  44.5   0.67   19.6    362
QIHU   QIHOO 360 T  QIHU US 03/17/12 P17.5    10.5  92.6   0.45  -18.2    525
OMX    OFFICEMAX I  OMX US 03/17/12 C6        10.2  52.3   0.18   80.0    363
FSIN   FUSHI COPPE  FSIN US 06/16/12 C5       10.0  48.7   3.10    0.0    210

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
DPZ    DOMINO'S PI  DPZ US 03/17/12 C34      -44.7  26.2   3.50  204.3    405
CVC    CABLEVISION  CVC US 03/17/12 P14      -43.4  33.9   0.25  -16.7   3166
CVC    CABLEVISION  CVC US 03/17/12 P15      -42.1  36.6   1.05   75.0    352
DPZ    DOMINO'S PI  DPZ US 03/17/12 C35      -41.9  25.9   2.60  225.0   1345
ZAGG   ZAGG INC     ZAGG US 03/17/12 C11     -41.2  54.1   0.50    0.0    595
DPZ    DOMINO'S PI  DPZ US 03/17/12 C38      -40.9  26.3   0.55 1000.0    305
ODP    OFFICE DEPO  ODP US 03/17/12 C3       -39.0  55.0   0.50  100.0    297
PCLN   PRICELINE.C  PCLN US 03/17/12 C600    -38.9  29.5  39.20   78.2    481
AZO    AUTOZONE IN  AZO US 03/17/12 C380     -38.9  15.7   2.70  -20.1   1036
CVC    CABLEVISION  CVC US 03/17/12 C15      -38.8  36.8   0.35  -69.6   1523
ZAGG   ZAGG INC     ZAGG US 03/17/12 C9      -38.5  53.8   2.10   40.0    247
PCLN   PRICELINE.C  PCLN US 03/17/12 C630    -38.5  28.2  18.20   82.0    907
AZO    AUTOZONE IN  AZO US 03/17/12 C370     -38.3  15.8   7.30   11.6    583
PCLN   PRICELINE.C  PCLN US 03/17/12 C590    -38.2  30.0  48.81   82.8    406
PCLN   PRICELINE.C  PCLN US 03/17/12 C595    -38.2  30.0  44.10   79.3    326
PCLN   PRICELINE.C  PCLN US 03/17/12 C620    -38.2  28.6  24.79   85.0    556
PCLN   PRICELINE.C  PCLN US 03/17/12 C625    -38.1  28.4  21.40   82.9    224
PCLN   PRICELINE.C  PCLN US 03/17/12 C615    -38.0  28.7  28.50   90.0   1056
DPZ    DOMINO'S PI  DPZ US 03/17/12 C36      -37.7  27.6   1.80  260.0    454
PCLN   PRICELINE.C  PCLN US 03/17/12 C580    -37.7  30.4  56.30   77.0    411
PCLN   PRICELINE.C  PCLN US 03/17/12 C660    -37.4  27.6   6.30   48.9    386
AZO    AUTOZONE IN  AZO US 03/17/12 P370     -37.3  15.5   3.20  -68.6    305
PCLN   PRICELINE.C  PCLN US 03/17/12 P630    -37.1  28.2  12.82  -72.4    401
VXX    IPATH-S&P S  VXX US 03/17/12 C14      -37.0  97.0  10.96    3.4    365
PCLN   PRICELINE.C  PCLN US 03/17/12 P610    -36.8  29.2   6.08  -82.3    296
PCLN   PRICELINE.C  PCLN US 03/17/12 P600    -36.7  29.7   4.10  -85.7    421
PCLN   PRICELINE.C  PCLN US 03/17/12 C650    -36.5  27.7   9.50   72.7    576
CVC    CABLEVISION  CVC US 03/17/12 P13      -36.4  45.4   0.10   25.0    203
PCLN   PRICELINE.C  PCLN US 03/17/12 P620    -36.3  28.7   8.97  -77.8    922
PCLN   PRICELINE.C  PCLN US 03/17/12 P590    -36.0  30.7   2.65  -89.1    328
PCLN   PRICELINE.C  PCLN US 03/17/12 C570    -35.8  31.0  66.50   79.7    438
PCLN   PRICELINE.C  PCLN US 03/17/12 P640    -35.6  27.8  18.00  -67.2    415
PCLN   PRICELINE.C  PCLN US 03/17/12 P625    -35.1  28.6  10.70  -74.8    390
AZO    AUTOZONE IN  AZO US 03/17/12 C390     -34.9  16.8   1.00  -39.4    512
PCLN   PRICELINE.C  PCLN US 03/17/12 P580    -34.3  31.4   1.70  -91.5    864
PCLN   PRICELINE.C  PCLN US 03/17/12 P575    -33.9  31.4   1.30  -92.1    248
DPZ    DOMINO'S PI  DPZ US 04/21/12 P38      -33.2  24.4   1.80    0.0    524
TECD   TECH DATA C  TECD US 03/17/12 P55     -32.5  29.2   1.89   64.3    226
AZO    AUTOZONE IN  AZO US 03/17/12 P360     -32.5  17.3   1.16  -77.2    238
AZO    AUTOZONE IN  AZO US 03/17/12 C360     -32.2  17.5  15.30   27.5    596
PCLN   PRICELINE.C  PCLN US 03/17/12 P570    -31.9  32.1   1.05  -92.9    390
PQ     PETROQUEST   PQ US 03/17/12 C7        -31.9  46.2   0.10  -33.3    240
CRZO   CARRIZO OIL  CRZO US 03/17/12 P27.5   -30.5  43.8   1.10  -21.4   1012
JASO   JA SOLAR HO  JASO US 03/17/12 C2      -30.2  78.2   0.10  -33.3    900
ZAGG   ZAGG INC     ZAGG US 03/17/12 C10     -30.1  62.1   1.15   35.3   1789
DPZ    DOMINO'S PI  DPZ US 03/17/12 C33      -29.9  32.4   4.20  147.1    224
PCLN   PRICELINE.C  PCLN US 03/17/12 P560    -29.3  33.0   0.65  -94.3    236
SAH    SONIC AUTOM  SAH US 03/17/12 C17.5    -28.0  33.5   0.75   50.0    387
DMND   DIAMOND FOO  DMND US 03/17/12 C22.5   -27.4  33.5   2.40    9.1    252
ABVT   ABOVENET IN  ABVT US 03/17/12 C70     -27.0  26.4   4.00    5.3    201
PCLN   PRICELINE.C  PCLN US 03/17/12 P550    -26.2  34.5   0.45  -94.6    433
GTLS   CHART INDUS  GTLS US 03/17/12 P65     -25.7  43.4   1.50  -50.0    207
VIT    VANCEINFO T  VIT US 03/17/12 P12.5    -25.2  71.7   0.60  -33.3    224
ZAGG   ZAGG INC     ZAGG US 04/21/12 P10     -25.1  64.3   0.65  -48.0    344
RDC    ROWAN COMPA  RDC US 03/17/12 P35      -24.7  31.5   0.30  -33.3   1321
SWN    SOUTHWESTRN  SWN US 03/17/12 C35      -24.6  33.6   0.41  -75.2   2061
CECO   CAREER EDUC  CECO US 04/21/12 C9      -24.2  62.3   1.20  -20.0    207
SWN    SOUTHWESTRN  SWN US 03/17/12 C33      -23.9  34.7   1.14  -60.1    513
SWN    SOUTHWESTRN  SWN US 03/17/12 P35      -23.8  33.4   1.86   57.6   1907
SWN    SOUTHWESTRN  SWN US 03/17/12 C34      -23.8  34.1   0.79  -63.9   1617
QQQ    POWERSH-QQQ  QQQ US 03/17/12 C57      -23.4  25.5   7.59    7.7    265
SWN    SOUTHWESTRN  SWN US 03/17/12 P34      -23.4  34.0   1.42   73.2    243
AZO    AUTOZONE IN  AZO US 03/17/12 P350     -22.9  20.6   0.47  -82.6    232
SWN    SOUTHWESTRN  SWN US 03/17/12 P31      -22.4  35.5   0.21   31.2    210
OSG    OVERSEAS SH  OSG US 03/17/12 P9       -22.3  98.9   0.50  -23.1    285
SWN    SOUTHWESTRN  SWN US 03/17/12 P33      -21.9  34.8   0.76   68.9   1480
APOL   APOLLO GROU  APOL US 03/17/12 P40     -21.7  41.2   0.19   26.7    509
MCD    MCDONALDS C  MCD US 06/16/12 C80      -21.1  24.8  20.10   -1.7    283
PCLN   PRICELINE.C  PCLN US 04/21/12 C650    -21.1  27.4  19.80   73.7    305
CECO   CAREER EDUC  CECO US 04/21/12 P10     -21.1  56.7   0.90   50.0    255
PCLN   PRICELINE.C  PCLN US 04/21/12 C630    -21.0  28.1  29.70   73.7    310
PCLN   PRICELINE.C  PCLN US 04/21/12 C620    -20.7  28.5  35.45   71.3    463
SWN    SOUTHWESTRN  SWN US 03/17/12 P32      -20.4  35.5   0.41   28.1    700
HGSI   HUMAN GENOM  HGSI US 03/17/12 P8      -20.2  72.1   0.43  -12.2    515
PCLN   PRICELINE.C  PCLN US 03/17/12 P540    -20.1  36.3   0.33  -93.8    411
PCLN   PRICELINE.C  PCLN US 04/21/12 C600    -20.0  29.2  48.40   62.4    312
RDC    ROWAN COMPA  RDC US 03/17/12 C38      -19.7  31.6   0.50  -70.6    213
OSG    OVERSEAS SH  OSG US 03/17/12 C10      -19.7  89.8   0.60  -33.3    446
CVC    CABLEVISION  CVC US 04/21/12 P14      -19.5  38.3   0.55   22.2    384
OSG    OVERSEAS SH  OSG US 03/17/12 P7       -19.4 117.6   0.10  -50.0    267
CECO   CAREER EDUC  CECO US 04/21/12 C10     -19.2  56.5   0.75  -70.0    268
PCLN   PRICELINE.C  PCLN US 04/21/12 P600    -19.2  29.1  13.00  -63.8    231
AZO    AUTOZONE IN  AZO US 04/21/12 P360     -19.1  17.1   4.00  -53.8    418
PCLN   PRICELINE.C  PCLN US 04/21/12 P590    -18.6  29.7  10.40  -67.2    237
AMED   AMEDISYS IN  AMED US 03/17/12 C13     -18.5  48.9   0.25  -61.5    390
FTI    FMC TECHNOL  FTI US 03/17/12 C52.5    -18.5  24.1   0.75  -11.8   1860
MR     MINDRAY MED  MR US 03/17/12 C30       -18.5  36.4   0.40  -50.0    479
PCLN   PRICELINE.C  PCLN US 03/17/12 P530    -18.4  37.9   0.25  -93.9    225
XME    SPDR S&P ME  XME US 03/17/12 C51      -18.3  34.6   3.15    5.0    727
CVC    CABLEVISION  CVC US 04/21/12 P15      -18.3  37.6   1.22   52.5    225
TC     THOMPSON CR  TC US 04/21/12 P7        -18.2  44.6   0.25    0.0    207
HGSI   HUMAN GENOM  HGSI US 03/17/12 C8      -18.1  73.0   0.59  -34.4    751
PCLN   PRICELINE.C  PCLN US 04/21/12 P580    -18.1  30.0   8.20  -68.9    280
HFC    HOLLYFRONTI  HFC US 03/17/12 P30.5    -16.9  39.9   0.35  -22.2   1075
JAZZ   JAZZ PHARMA  JAZZ US 03/17/12 C45     -16.9  53.8   5.60  -14.8    268
BMO    BANK OF MON  BMO US 03/17/12 C60      -16.6  13.9   0.30  -25.0    269
WNR    WESTERN REF  WNR US 03/17/12 C18      -16.5  43.6   0.71  -29.0    330
ZAGG   ZAGG INC     ZAGG US 08/18/12 C11     -16.4  53.2   1.60   10.3    450
OSG    OVERSEAS SH  OSG US 03/17/12 P10      -16.1 101.5   1.04   -5.5   2655
ODP    OFFICE DEPO  ODP US 04/21/12 P3.5     -16.0  60.1   0.34  -47.7   2557
APOL   APOLLO GROU  APOL US 05/19/12 P40     -15.9  36.3   0.89   93.5    304
CVC    CABLEVISION  CVC US 06/16/12 C14      -15.7  38.1   1.50  -35.9    205
APOL   APOLLO GROU  APOL US 08/18/12 C45     -15.6  30.9   3.75  -65.1    416
OREX   OREXIGEN TH  OREX US 03/17/12 P4      -15.0  97.1   0.40   14.3    310
WSH    WILLIS GRP   WSH US 03/17/12 C35      -14.2  18.9   0.85  -10.5    200
WNR    WESTERN REF  WNR US 03/17/12 P18      -14.1  43.7   0.70    0.0    235
PCLN   PRICELINE.C  PCLN US 03/17/12 P520    -13.5  40.5   0.24  -91.7    368
VVUS   VIVUS INC    VVUS US 03/17/12 P20     -13.4  84.8   0.78   41.8    983
APOL   APOLLO GROU  APOL US 03/17/12 C45     -13.2  34.7   1.38  -80.8    771
EEM    ISHARES-EMG  EEM US 12/22/12 P45      -13.1  25.4   5.02   -4.4    381
TQNT   TRIQUINT SE  TQNT US 03/17/12 C7      -13.1  39.7   0.20    0.0    202
DNDN   DENDREON CO  DNDN US 03/17/12 C9      -13.0  81.1   2.20  -25.2    344
APOL   APOLLO GROU  APOL US 08/18/12 P45     -12.8  31.7   4.00   90.5  11398
IWM    ISHARES-RUS  IWM US 05/19/12 C57      -12.8  36.7  25.74    4.0    720
TC     THOMPSON CR  TC US 06/16/12 P7        -12.7  43.1   0.40  100.0    421
SINA   SINA CORP    SINA US 03/17/12 C72.5   -12.2  61.7   2.95  183.7   2350
CHMT   CHEMTURA CO  CHMT US 03/17/12 C15     -12.0  42.0   0.90  125.0    606
FCN    FTI CONSULT  FCN US 03/17/12 P42      -12.0  20.9   1.25    8.7    500
PCS    METROPCS CO  PCS US 05/19/12 C7       -11.8  60.4   4.80   -4.0    300
AHGP   ALLIANCE HO  AHGP US 03/17/12 C50     -11.8  22.4   0.90  -10.0    250
SINA   SINA CORP    SINA US 03/17/12 C70     -11.6  62.4   4.25  174.2   1819
SWN    SOUTHWESTRN  SWN US 04/21/12 C34      -11.4  34.0   1.50  -46.0    247
CIGX   STAR SCIENT  CIGX US 03/17/12 C4      -11.4  68.8   0.35   16.7    486
TIE    TITANIUM ME  TIE US 03/17/12 P15      -11.2  31.0   0.50    0.0    310
CTL    CENTURYLINK  CTL US 03/17/12 C42      -11.2  17.2   0.05    0.0    200
VVUS   VIVUS INC    VVUS US 03/17/12 P21     -11.1  86.1   1.10   29.4    786
SINA   SINA CORP    SINA US 03/17/12 C65     -11.1  64.2   7.50  138.1   2850
SINA   SINA CORP    SINA US 03/17/12 P72.5   -10.9  62.0   4.70  -55.6    271
DMND   DIAMOND FOO  DMND US 03/17/12 C25     -10.9  45.3   0.90   20.0    431
HBAN   HUNTINGTON   HBAN US 03/17/12 C6      -10.8  24.5   0.09   12.5    385
PCLN   PRICELINE.C  PCLN US 04/21/12 P530    -10.8  33.0   2.30  -76.0    258
MJN    MEAD JOHNSO  MJN US 03/17/12 C80      -10.8  19.0   0.60    0.0    220
RIG    TRANSOCEAN   RIG US 03/17/12 C57.5    -10.7  38.3   0.78   18.2   4683
AIG    AMERICAN IN  AIG US 03/17/12 C30      -10.7  27.6   0.31    3.3    205
XCO    EXCO RESOUR  XCO US 04/21/12 C7       -10.7  61.4   0.60  -31.8   1080
FSIN   FUSHI COPPE  FSIN US 04/21/12 P7.5    -10.6  47.4   0.30   20.0    221
MHR    MAGNUM HUNT  MHR US 03/17/12 C7.5     -10.6  53.6   0.40   33.3   2166
EWW    ISHARES-MEX  EWW US 03/17/12 C60      -10.6  20.0   0.87   -3.3    388
IWM    ISHARES-RUS  IWM US 05/19/12 C59      -10.5  33.6  23.72    3.5    720
DELL   DELL INC     DELL US 01/18/14 C5      -10.4  53.4  12.70   -0.8    231
ODP    OFFICE DEPO  ODP US 04/21/12 C3       -10.4  67.8   0.65   85.7    658
PCLN   PRICELINE.C  PCLN US 04/21/12 P515    -10.4  33.9   1.65  -75.7    216
LYV    LIVE NATION  LYV US 04/21/12 P7.5     -10.3  75.4   0.25  -28.6   1044
AUY    YAMANA GOLD  AUY US 03/17/12 C15      -10.2  38.6   2.89    2.5    375
SINA   SINA CORP    SINA US 03/17/12 P70     -10.1  62.4   3.40  -60.5    696
RDC    ROWAN COMPA  RDC US 04/21/12 P32      -10.1  36.5   0.30   50.0    250

x - Ex-dividend. * - Ex-earnings.

-- Bloomberg News

To contact Bloomberg News for this story: newsdev@bloomberg.net


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