Bloomberg News

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

March 05, 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
=============================================================================
GALE   GALENA BIOP  GALE US 04/21/12 C1       88.6 106.8   0.60   33.3    780
AGNC   AMERICAN CA  AGNC US 04/21/12 C31      71.5  12.2   0.18    0.0    235
SIRI   SIRIUS XM R  SIRI US 01/19/13 C1       32.8  67.9   1.31   -3.0    300
FII    FEDERATED I  FII US 04/21/12 P20       31.5  61.1   1.55   29.2    399
SCEI   SINO CLEAN   SCEI US 06/16/12 P2       26.9 147.7   0.35   40.0    200
SCEI   SINO CLEAN   SCEI US 09/22/12 C2       25.1  84.6   1.45   61.1   1810
SIRI   SIRIUS XM R  SIRI US 04/21/12 C2       22.3  46.3   0.33    0.0    720
SCEI   SINO CLEAN   SCEI US 06/16/12 P1       22.2 192.7   0.15   50.0    200
GRA    WR GRACE &   GRA US 06/16/12 P57.5     22.0  32.6   5.20   40.5    483
GRA    WR GRACE &   GRA US 06/16/12 C57.5     21.4  32.5   2.85    2.9    258
GRMN   GARMIN LTD   GRMN US 04/21/12 C44      20.4  28.7   3.50   18.2   1351
GRA    WR GRACE &   GRA US 06/16/12 P55       19.7  33.9   4.00   50.9    382
SCEI   SINO CLEAN   SCEI US 09/22/12 C3       19.3  85.8   0.95   72.7    200
P      PANDORA MED  P US 06/16/12 C15         17.2  55.9   1.70   70.0    630
GME    GAMESTOP CO  GME US 04/21/12 C16       16.4  52.7   8.25   18.7    238
BHP    BHP BILLITO  BHP US 04/21/12 P72.5     16.3  30.2   2.35   30.6    429
GFA    GAFISA SA-A  GFA US 06/16/12 C5        15.6  67.4   1.15   27.8    650
SNV    SYNOVUS FIN  SNV US 08/18/12 C2        15.1  47.7   0.35   16.7    750
VXX    IPATH-S&P S  VXX US 09/22/12 P22       14.9  80.0   4.20   -1.2    200
GRA    WR GRACE &   GRA US 09/22/12 C57.5     14.8  34.4   4.80   -5.9    846
PLCM   POLYCOM INC  PLCM US 04/21/12 P20      13.2  44.3   1.25   25.0   1725
AIG    AMERICAN IN  AIG US 04/21/12 C31       13.1  39.2   1.50   51.5    306
AIG    AMERICAN IN  AIG US 05/19/12 C32       13.1  39.5   1.63   63.0    996
ULTA   ULTA SALON   ULTA US 04/21/12 C90      13.1  41.8   3.50   45.8    286
BHP    BHP BILLITO  BHP US 04/21/12 P70       13.0  31.8   1.52   29.9    487
NUAN   NUANCE COMM  NUAN US 04/21/12 C28      12.9  43.5   1.17    6.4    264
LINE   LINN ENERGY  LINE US 04/21/12 P38      12.6  17.0   0.90   38.5    511
GRA    WR GRACE &   GRA US 09/22/12 P57.5     12.4  35.5   6.90    0.0    441
AIG    AMERICAN IN  AIG US 04/21/12 C32       12.4  38.4   1.08   61.2   1982
TWO    TWO HARBORS  TWO US 09/22/12 C10       12.3  14.8   0.50   42.9    300
SCEI   SINO CLEAN   SCEI US 04/21/12 P3       11.7 152.2   0.60    0.0    256
AIG    AMERICAN IN  AIG US 04/21/12 P30       11.7  39.8   1.40  -16.2    676
DRYS   DRYSHIPS IN  DRYS US 06/16/12 C1.5     11.5 106.6   1.94   -5.4    225
IWM    ISHARES-RUS  IWM US 03/30/12 C75       11.2  26.7   5.20  -10.0    208
CIGX   STAR SCIENT  CIGX US 06/16/12 P3       11.1  91.8   0.35   40.0   1117
AIG    AMERICAN IN  AIG US 05/19/12 C30       11.0  40.7   2.49   31.1    564
BKS    BARNES & NO  BKS US 04/21/12 P10       10.9  66.8   0.15   50.0    895
FIO    FUSION-IO I  FIO US 04/21/12 C30       10.9  62.3   3.30  -13.2    400
AIG    AMERICAN IN  AIG US 05/19/12 C31       10.8  40.1   2.00   38.9    660
AIG    AMERICAN IN  AIG US 04/21/12 P29       10.4  40.5   0.96  -26.1    316
UNG    US NAT GAS   UNG2 US 04/21/12 P5       10.4  46.9   0.48   37.1   2157
QQQ    POWERSH-QQQ  QQQ US 03/30/12 P66       10.2  14.9   2.24   23.8    705
SPR    SPIRIT AERO  SPR US 04/21/12 C25       10.2  25.8   0.45    0.0   2752

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
AGNC   AMERICAN CA  AGNC US 06/16/12 C20     -68.7  26.0  10.00  -10.3    250
AGNC   AMERICAN CA  AGNC US 06/16/12 C29     -33.9  14.8   1.60  -25.2    320
AGNC   AMERICAN CA  AGNC US 04/21/12 C30     -23.9  13.8   0.59  -48.7    725
CIGX   STAR SCIENT  CIGX US 04/21/12 C3.5    -22.7  58.2   0.50   -9.1    205
PLX    PROTALIX BI  PLX US 04/21/12 P5       -21.7  60.6   0.30  -14.3    330
BPZ    BPZ RESOURC  BPZ US 04/21/12 C3       -19.5  57.0   0.30  -14.3    475
DELL   DELL INC     DELL US 01/18/14 C5      -18.4  50.2  12.50   -0.8    200
HDY    HYPERDYNAMI  HDY US 04/21/12 C1       -15.7 117.2   0.40  -27.3    467
CECO   CAREER EDUC  CECO US 04/21/12 P7      -14.5  51.3   0.20    0.0   3722
RF     REGIONS FIN  RF US 01/18/14 P3        -11.9  56.0   0.37   -2.6    300
MWW    MONSTER WOR  MWW US 04/21/12 P6       -11.7  51.7   0.10    0.0   2323
CINF   CINCINNATI   CINF US 04/21/12 C35     -10.5  15.7   0.50    0.0    981
XLY    SPDR-CONS D  XLY US 04/21/12 C43      -10.3  16.4   1.07  -14.4    258

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

-- Bloomberg News

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


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