Bloomberg News

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

March 09, 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
=============================================================================
SWHC   SMITH & WES  SWHC US 06/16/12 C3       50.0  96.7   3.97   52.7    344
KGN    KEEGAN RESO  KGN US 05/19/12 C2.5      35.4 100.5   2.35   14.6   1000
PBY    PEP BOYS MM  PBY US 10/20/12 C15       34.9   2.9   0.20    0.0   1150
TIVO   TIVO INC     TIVO US 04/21/12 C9       29.1  45.7   2.39    0.0    400
QSFT   QUEST SOFTW  QSFT US 04/21/12 C20      17.2  37.6   3.90  457.1    290
RNF    RENTECH NIT  RNF US 04/21/12 P22.5     17.1  37.4   0.25  -58.3   1000
AMAT   APPLIED MAT  AMAT US 04/21/12 P8       14.1  64.6   0.01  -50.0    500
SPY    SPDR S&P 50  SPY US 04/21/12 P144      13.7   9.1   7.05   -8.4    331
TBT    PROSHARES U  TBT US 04/21/12 C16       13.6  31.5   3.60   10.8    322
TOL    TOLL BROTHE  TOL US 04/21/12 P25       13.4  34.3   1.40    0.0   1815
SWHC   SMITH & WES  SWHC US 09/22/12 C4       13.2  63.0   3.00   62.2    557
S      SPRINT NEXT  S US 04/21/12 C2.5        12.4  61.4   0.42   82.6   1125
BAC    BANK OF AME  BAC US 04/21/12 C6        12.1  63.4   2.20    4.8    810
OLN    OLIN CORP    OLN US 04/21/12 C22.5     11.9  22.7   0.45  350.0    441
DHI    DR HORTON I  DHI US 04/21/12 C14       11.4  42.7   1.68   58.5    306
FLEX   FLEXTRONICS  FLEX US 04/21/12 P6       11.2  41.6   0.06   20.0   1010
DHI    DR HORTON I  DHI US 04/21/12 P14       11.0  42.9   0.35  -30.0  19129
DHI    DR HORTON I  DHI US 04/21/12 C15       10.9  39.2   1.00   92.3    248
MCP    MOLYCORP IN  MCP US 04/21/12 P24       10.3  63.4   0.55  -52.2    406
DHI    DR HORTON I  DHI US 04/21/12 P15       10.1  39.8   0.67  -30.2   2000

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
QSFT   QUEST SOFTW  QSFT US 04/21/12 P22.5   -62.0  15.4   0.10  -95.0    208
SWHC   SMITH & WES  SWHC US 04/21/12 C7      -36.2  44.7   0.36    0.0    860
HEK    HECKMANN CO  HEK US 04/21/12 C5       -26.8  52.5   0.30  -53.9    962
XME    SPDR S&P ME  XME US 04/21/12 P36      -26.5  51.7   0.07    0.0    200
ULTA   ULTA SALON   ULTA US 04/21/12 P90     -22.8  32.7   4.40  -24.1    268
MCP    MOLYCORP IN  MCP US 09/22/12 C27      -22.7  40.1   4.60   31.4    438
MCP    MOLYCORP IN  MCP US 01/19/13 C30      -22.7  39.1   4.21   20.3    594
JNK    SPDR BARCLA  JNK US 09/22/12 C40      -21.0   6.1   0.30   20.0    430
MCP    MOLYCORP IN  MCP US 06/16/12 C26      -20.9  41.6   4.60   60.8    940
HEK    HECKMANN CO  HEK US 04/21/12 P5       -20.6  54.0   0.40   14.3    399
RENN   RENREN INC-  RENN US 04/21/12 P5      -18.1  70.6   0.30  -38.8    525
ULTA   ULTA SALON   ULTA US 04/21/12 C90     -17.1  35.5   3.40  -30.6    203
REE    RARE ELEMEN  REE US 04/21/12 C6       -16.9  55.4   0.40  122.2    466
AREX   APPROACH RE  AREX US 04/21/12 P25     -15.0  60.4   0.15  -76.9   1000
FXY    CRYSHS-JAPA  FXY US 04/21/12 P111     -14.7  12.0   0.10    0.0    314
ANN    ANN INC      ANN US 04/21/12 P25      -14.1  40.7   0.45  -64.0    461
CCL    CARNIVAL CO  CCL US 04/21/12 P30      -13.9  32.4   1.02  -15.0    618
CCL    CARNIVAL CO  CCL US 04/21/12 P29      -13.6  33.4   0.73   -2.7    266
SWHC   SMITH & WES  SWHC US 04/21/12 P7      -13.2  42.7   0.45    0.0    381
ARO    AEROPOSTALE  ARO US 01/19/13 C12.5    -12.1  44.9   7.80    9.9   1764
CCL    CARNIVAL CO  CCL US 04/21/12 C31      -12.0  32.0   1.20  -20.0    214
XLF    SPDR-FINL S  XLF US 04/21/12 C13      -11.9  28.5   1.97    8.2    214
KERX   KERYX BIOPH  KERX US 04/21/12 P2      -11.8 186.9   0.15  -21.1    378
PM     PHILIP MORR  PM US 06/16/12 C65       -11.7  34.8  20.20    5.5    270
ONNN   ON SEMICOND  ONNN US 04/21/12 C9      -11.3  31.4   0.30    0.0   1567
CCL    CARNIVAL CO  CCL US 04/21/12 P31      -11.2  31.8   1.50   -6.2    511
ARR    ARMOUR RESI  ARR US 10/20/12 P5       -11.0  28.7   0.20    0.0    247
THLD   THRESHOLD P  THLD US 04/21/12 P5      -11.0 104.6   0.35  -12.5    220
MCP    MOLYCORP IN  MCP US 04/21/12 C25      -11.0  46.3   4.85  110.9    581
PAY    VERIFONE SY  PAY US 04/21/12 C52.5    -10.9  30.8   1.35  -27.0   1507
SIRI   SIRIUS XM R  SIRI US 09/22/12 P2      -10.9  39.8   0.11  -38.9    245
TLM    TALISMAN EN  TLM US 04/21/12 P13      -10.8  36.1   0.46  -23.3    400
EUO    PROSH-UL/SH  EUO US 04/21/12 C20      -10.3  22.4   0.45   28.6    389
AM     AMER GREETI  AM US 04/21/12 C15       -10.1  28.4   0.80   33.3    239
KERX   KERYX BIOPH  KERX US 04/21/12 P3      -10.0 195.0   0.45  -25.0    237

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

-- Bloomberg News

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