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

By Bloomberg News

March 15, 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
=============================================================================
PBY    PEP BOYS MM  PBY US 04/21/12 C15      107.6   8.9   0.15   50.0    298
KMI    KINDER MORG  KMI US 06/16/12 C30       54.0  22.0   6.00   -4.8   1767
NBIX   NEUROCRINE   NBIX US 04/21/12 P7       52.4 113.7   0.55   57.1  10068
QRE    QR ENERGY L  QRE US 05/19/12 C22.5     42.3  27.7   1.75   29.6    780
AAWW   ATLAS AIR W  AAWW US 04/21/12 P47.5    32.9  37.3   2.80    0.0   1000
NBIX   NEUROCRINE   NBIX US 05/19/12 P7       31.4  92.1   0.60    0.0    260
IWM    ISHARES-RUS  IWM US 03/30/12 C77       30.5  25.6   5.45  -10.9    270
EP     EL PASO COR  EP US 04/21/12 C24        29.2  36.3   5.00   -3.9    260
SPY    SPDR S&P 50  SPY US 03/30/12 C134      24.5  21.7   6.29    6.8    332
AAPL   APPLE INC    AAPL US 04/21/12 C470     23.2  41.1 124.00    2.6    260
PER    SANDRIDGE P  PER US 04/21/12 C25       21.3  22.5   0.30  -40.0   1534
AAPL   APPLE INC    AAPL US 04/21/12 C480     18.8  40.8 112.52    1.1    570
AAPL   APPLE INC    AAPL US 04/21/12 C620     18.1  43.4  21.33   37.6   5241
AAPL   APPLE INC    AAPL US 04/21/12 C620     17.9  43.3  21.33   37.6   5241
AAPL   APPLE INC    AAPL US 04/21/12 C615     17.7  43.1  22.65   30.6   7509
BAC    BANK OF AME  BAC US 04/21/12 C5        17.7  96.3   4.10    6.5    522
AAPL   APPLE INC    AAPL US 04/21/12 C610     17.5  42.9  24.60   30.9  21252
AAPL   APPLE INC    AAPL US 04/21/12 C595     17.2  42.1  30.28   23.3   5070
AAPL   APPLE INC    AAPL US 04/21/12 C550     17.0  39.4  54.75   11.6   2825
AAPL   APPLE INC    AAPL US 04/21/12 P620     17.0  42.9  48.05    3.7    758
AAPL   APPLE INC    AAPL US 04/21/12 C580     16.9  41.4  37.50   20.4   6891
AAPL   APPLE INC    AAPL US 04/21/12 C600     16.9  42.4  28.55   26.1  16269
AAPL   APPLE INC    AAPL US 04/21/12 C605     16.9  42.6  26.30   28.3   5950
AAPL   APPLE INC    AAPL US 04/21/12 P615     16.8  42.7  44.50    4.8    978
AAPL   APPLE INC    AAPL US 04/21/12 P610     16.7  42.5  41.25    5.0    986
AAPL   APPLE INC    AAPL US 04/21/12 C565     16.6  40.3  45.65   16.2   1065
AAPL   APPLE INC    AAPL US 04/21/12 P595     16.3  41.8  32.19    6.6   3164
AAPL   APPLE INC    AAPL US 04/21/12 C570     16.2  40.7  42.80   16.8   1984
AAPL   APPLE INC    AAPL US 04/21/12 C545     16.2  39.1  58.15    9.9    452
AAPL   APPLE INC    AAPL US 04/21/12 P570     16.2  40.2  19.15   11.0   1840
AAPL   APPLE INC    AAPL US 04/21/12 C575     16.1  41.1  40.00   16.6   1922
AAPL   APPLE INC    AAPL US 04/21/12 C555     16.0  39.6  52.00   13.0    563
AAPL   APPLE INC    AAPL US 04/21/12 C560     16.0  39.9  48.35   13.1   1671
AAPL   APPLE INC    AAPL US 04/21/12 C585     15.9  41.7  34.80   18.8   6184
AAPL   APPLE INC    AAPL US 04/21/12 P605     15.8  42.1  38.10    5.5    850
AAPL   APPLE INC    AAPL US 04/21/12 C510     15.8  38.8  84.91    3.8    227
AAPL   APPLE INC    AAPL US 04/21/12 C540     15.7  38.9  62.00    9.6   1039
SPY    SPDR S&P 50  SPY US 04/21/12 C126      15.7  26.7  13.91   -2.1    209
AAPL   APPLE INC    AAPL US 04/21/12 C535     15.6  38.7  64.30    5.5    221
AAPL   APPLE INC    AAPL US 04/21/12 P600     15.5  41.9  35.25    7.3   2478
AAPL   APPLE INC    AAPL US 04/21/12 C485     15.5  39.9 109.15    2.7    355
AAPL   APPLE INC    AAPL US 04/21/12 P585     15.5  41.2  26.70    9.0   4809
AAPL   APPLE INC    AAPL US 04/21/12 C525     15.2  38.6  74.15    7.8    277
AAPL   APPLE INC    AAPL US 04/21/12 P590     15.2  41.6  29.30    7.7   5573
AAPL   APPLE INC    AAPL US 04/21/12 C530     15.2  38.6  69.25    6.9    473
AAPL   APPLE INC    AAPL US 04/21/12 P590     15.2  41.5  29.30    7.7   5573
AAPL   APPLE INC    AAPL US 04/21/12 P565     15.1  39.8  17.00   13.3   1309
AAPL   APPLE INC    AAPL US 04/21/12 P580     15.0  40.9  24.40   11.7   9666
AAPL   APPLE INC    AAPL US 04/21/12 P575     14.7  40.6  21.65   11.3   1675
AAPL   APPLE INC    AAPL US 04/21/12 P555     14.7  39.0  13.20   18.9   1616
AAPL   APPLE INC    AAPL US 04/21/12 P575     14.7  40.6  21.65   11.3   1675
MBI    MBIA INC     MBI US 05/19/12 C10       14.4  77.9   1.35   35.0   2385
BTU    PEABODY ENE  BTU US 04/21/12 C30       14.4  45.1   2.53   61.1    298
AAPL   APPLE INC    AAPL US 04/21/12 C520     14.4  38.8  77.80    6.9    556
AAPL   APPLE INC    AAPL US 04/21/12 P540     14.2  38.4   8.65   23.6   3518
AAPL   APPLE INC    AAPL US 04/21/12 P560     14.1  39.4  15.10   15.7   3411
AAPL   APPLE INC    AAPL US 04/21/12 P550     14.1  38.8  11.42   17.7   3362
AAPL   APPLE INC    AAPL US 04/21/12 P545     14.1  38.6   9.90   16.5   1272
LSI    LSI CORP     LSI US 04/21/12 P9        14.1  33.3   0.35   20.7   2080
AAPL   APPLE INC    AAPL US 04/21/12 P535     14.0  38.3   7.45   23.1   2104
LCC    US AIRWAYS   LCC US 04/21/12 P6        13.8  81.4   0.19   -9.5   1159
BTU    PEABODY ENE  BTU US 04/21/12 C31       13.7  44.2   1.83   71.0    565
BTU    PEABODY ENE  BTU US 04/21/12 C32       13.7  43.1   1.42   89.3   4351
MBI    MBIA INC     MBI US 04/21/12 C10       13.4  66.3   0.91   54.2   1102
AAPL   APPLE INC    AAPL US 04/21/12 P530     13.4  38.2   6.40   25.5   2783
VECO   VEECO INSTR  VECO US 04/21/12 C33      13.0  43.4   1.70  277.8    209
BTU    PEABODY ENE  BTU US 04/21/12 P29       12.9  45.4   0.89  -13.6    429
BTU    PEABODY ENE  BTU US 04/21/12 P28       12.9  47.4   0.60  -17.8    352
AAPL   APPLE INC    AAPL US 04/21/12 C500     12.7  39.1  95.75    5.1    930
FSIN   FUSHI COPPE  FSIN US 06/16/12 P5       12.7  73.9   0.10  100.0    544
AAPL   APPLE INC    AAPL US 04/21/12 P520     12.5  38.0   4.70   28.8   2459
VECO   VEECO INSTR  VECO US 04/21/12 C32      12.4  44.5   2.05  173.3    247
AAPL   APPLE INC    AAPL US 04/21/12 P515     11.8  38.1   4.00   27.0    974
ELN    ELAN CORP-A  ELN US 04/21/12 C14       11.7  44.0   0.65  225.0    587
CAST   CHINACAST E  CAST US 09/22/12 P5       11.3  69.9   0.98   50.8    399
TK     TEEKAY CORP  TK US 04/21/12 C30        11.3  29.7   1.45   31.8   1198
RF     REGIONS FIN  RF US 04/21/12 P6         11.1  38.7   0.14  -30.0    284
KSU    KANSAS CITY  KSU US 04/21/12 C75       10.7  27.0   1.50  114.3    817
AAPL   APPLE INC    AAPL US 04/21/12 P505     10.7  38.1   2.84   26.2    937
IWM    ISHARES-RUS  IWM US 03/30/12 C80       10.7  23.0   2.82    0.0    392
EDU    NEW ORIENTA  EDU US 04/21/12 P25       10.6  50.8   1.15    9.5   1028
JEF    JEFFERIES G  JEF US 04/21/12 C15       10.5  52.6   3.80    8.6    305
AAPL   APPLE INC    AAPL US 04/21/12 P510     10.5  38.0   3.30   28.9   1123
AAPL   APPLE INC    AAPL US 05/19/12 C500     10.4  37.0  99.35    4.6    381
DAL    DELTA AIR L  DAL US 04/21/12 C7        10.0  72.3   2.87   26.4    374

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
RVSN   RADVISION L  RVSN US 06/16/12 P10     -48.7  25.6   0.05  -92.3    476
RVSN   RADVISION L  RVSN US 04/21/12 C10     -48.3  32.9   1.70   47.8    377
RVSN   RADVISION L  RVSN US 09/22/12 P10     -47.0  21.1   0.10  -85.7    789
XLV    SPDR-HEALTH  XLV US 09/22/12 P33      -45.8  20.3   0.75  -21.9   6200
RVSN   RADVISION L  RVSN US 06/16/12 C10     -43.7  25.5   1.70   30.8   1043
RVSN   RADVISION L  RVSN US 06/16/12 C7.5    -32.8  31.7   4.20  162.5   1113
KMR    KINDER MORG  KMR US 04/21/12 C80      -31.8  15.2   0.35  -68.2   1000
YONG   YONGYE INTE  YONG US 04/21/12 P3.5    -31.3  76.2   0.35    0.0    519
TWER   TOWERSTREAM  TWER US 04/21/12 C2.5    -30.0  58.9   0.80  128.6    200
WGO    WINNEBAGO I  WGO US 04/21/12 C10      -29.3  43.8   0.59   96.7    271
ITMN   INTERMUNE I  ITMN US 04/21/12 C16     -26.9  78.3   1.53   -1.3   1629
GES    GUESS? INC   GES US 04/21/12 C33      -25.3  35.4   1.25  -66.2    963
GES    GUESS? INC   GES US 04/21/12 P32      -24.5  36.0   1.32  164.0    914
GES    GUESS? INC   GES US 04/21/12 P33      -23.7  35.4   1.76  128.6    679
FNFG   FIRST NIAGA  FNFG US 04/21/12 C10     -22.1  21.8   0.20   33.3    472
ITMN   INTERMUNE I  ITMN US 04/21/12 C14     -22.0  81.8   3.00   29.3    308
GES    GUESS? INC   GES US 04/21/12 P30      -21.9  38.8   0.55  103.7    489
GES    GUESS? INC   GES US 04/21/12 P31      -21.8  37.6   0.85  142.9    908
MSFT   MICROSOFT C  MSFT US 04/21/12 C26     -19.7  28.3   6.87    2.2    269
VTSS   VITESSE SEM  VTSS US 05/19/12 C2.5    -18.9  74.1   1.55  121.4   1888
RVSN   RADVISION L  RVSN US 04/21/12 C7.5    -18.4  62.9   4.20   31.2    515
ITMN   INTERMUNE I  ITMN US 07/21/12 P15     -18.2  72.9   1.77  -45.5    971
EEP    ENBRIDGE EN  EEP US 10/20/12 C30      -16.5  18.6   2.00  -11.1    351
ROST   ROSS STORES  ROST US 04/21/12 C57.5   -16.5  22.5   0.80  -44.8    728
RAD    RITE AID CO  RAD US 04/21/12 C2       -13.8  89.7   0.20  -20.0    395
ROST   ROSS STORES  ROST US 04/21/12 P55     -13.6  23.2   1.30    4.0    327
ANF    ABERCROMBIE  ANF US 04/21/12 C55      -13.3  39.5   1.80  -27.7    339
CXDC   CHINA XD PL  CXDC US 04/21/12 P2.5    -12.2 177.2   0.15  -62.5    300
SHLD   SEARS HOLDI  SHLD US 01/18/14 C60     -11.4  22.1  23.10    2.0    202
KMI    KINDER MORG  KMI US 09/22/12 P30      -11.2  39.0   1.75   -5.4    219
ANF    ABERCROMBIE  ANF US 04/21/12 C50      -11.1  40.2   4.30  -13.1    272
EGLE   EAGLE BULK   EGLE US 09/22/12 P1      -11.1  76.9   0.10    0.0    211
SPLS   STAPLES INC  SPLS US 04/21/12 C17     -10.9  21.3   0.20  100.0    337
ROST   ROSS STORES  ROST US 05/19/12 C55     -10.9  23.9   2.55  -24.8    306
GES    GUESS? INC   GES US 06/16/12 P32      -10.6  38.8   2.42   86.2    670
RAD    RITE AID CO  RAD US 07/21/12 C2       -10.5  80.0   0.40  -11.1    268
ROST   ROSS STORES  ROST US 05/19/12 C52.5   -10.2  25.5   4.10  -19.3    203
TLT    ISHARES BAR  TLT US 04/21/12 C111     -10.0  15.2   2.11   -3.6    805

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

-- Bloomberg News

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