Bloomberg News

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

March 23, 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
=============================================================================
SPY    SPDR S&P 50  SPY US 04/21/12 P145      43.6  11.0   5.84   -1.9    390
QQQ    POWERSH-QQQ  QQQ US 04/21/12 P70       41.5  13.5   3.26    3.2    835
WM     WASTE MANAG  WM US 04/21/12 C36        34.1  15.9   0.19   90.0   2594
KITD   KIT DIGITAL  KITD US 07/21/12 P5       33.6 105.1   0.80    0.0    368
JNK    SPDR BARCLA  JNK US 04/21/12 P40       30.8   9.0   0.90    9.8    262
ODP    OFFICE DEPO  ODP US 04/21/12 C3.5      28.4  67.2   0.25  -16.7   1012
JEC    JACOBS ENGI  JEC US 05/19/12 C39       26.1  36.1   5.98    0.0    297
LH     LABORATORY   LH US 04/21/12 P85        23.1  25.4   1.00   66.7   2033
SD     SANDRIDGE E  SD US 04/21/12 C7         22.2  55.8   1.25   71.2   1611
LH     LABORATORY   LH US 04/21/12 P82.5      22.0  27.3   0.50  233.3   1306
BAC    BANK OF AME  BAC US 05/19/12 C6        21.1  76.6   3.75    5.6    247
BAC    BANK OF AME  BAC US 04/21/12 C7        20.3  73.7   2.75    5.0    693
VXX    IPATH-S&P S  VXX US 04/21/12 C16       19.9  62.4   2.21  -20.5    318
CLDX   CELLDEX THE  CLDX US 04/21/12 C5       19.3  75.3   0.30  -25.0    250
LH     LABORATORY   LH US 04/21/12 P87.5      17.1  22.9   1.55   55.0   1086
FRO    FRONTLINE L  FRO US 08/18/12 P4        15.9 107.6   0.45  125.0   1000
STE    STERIS CORP  STE US 05/19/12 P30       14.4  34.0   1.20   50.0    250
DGX    QUEST DIAGN  DGX US 04/21/12 P55       13.4  29.3   0.55  175.0   3738
QQQ    POWERSH-QQQ  QQQ US 04/21/12 P69       13.2  13.3   2.39    2.6    353
NLY    ANNALY CAPI  NLY US 04/21/12 C16       13.0  15.1   0.29   20.8    734
NILE   BLUE NILE I  NILE US 11/17/12 C30      12.7  45.5   6.88    0.0    245
SPY    SPDR S&P 50  SPY US 04/21/12 P144      12.2  10.8   4.96   -2.5    451
LPI    LAREDO PETR  LPI US 05/19/12 P22.5     12.0  39.3   0.45    0.0    500
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P11      11.5  82.4   0.07  -78.1    502
BAX    BAXTER INTL  BAX US 04/21/12 C60       11.4  17.0   0.80   11.1    415
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P10      11.3  97.8   0.06   20.0    627
MAPP   MAP PHARMAC  MAPP US 04/21/12 P7.5     11.2 248.0   0.45   55.2    350
XLE    SPDR-ENERGY  XLE US 04/21/12 C71       10.8  19.8   2.21   19.5    897
MAPP   MAP PHARMAC  MAPP US 04/21/12 P12.5    10.6 209.2   1.50    7.1   1104
SODA   SODASTREAM   SODA US 04/21/12 C32.5    10.3  47.1   2.65  -10.2    311
SVU    SUPERVALU I  SVU US 04/21/12 P6        10.3  53.6   0.30    0.0    325
GNTX   GENTEX CORP  GNTX US 09/22/12 P25      10.1  35.4   2.80   -3.5    250

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
NKE    NIKE INC -C  NKE US 04/21/12 P110     -37.4  17.4   3.40   11.5   2392
NKE    NIKE INC -C  NKE US 04/21/12 P105     -35.8  18.9   1.15  -17.9   2887
NKE    NIKE INC -C  NKE US 04/21/12 C105     -35.5  19.6   3.90  -46.5   1140
NKE    NIKE INC -C  NKE US 04/21/12 C110     -35.4  18.2   1.19  -70.2   4561
NKE    NIKE INC -C  NKE US 04/21/12 P100     -29.6  22.2   0.37  -33.9   2353
ACN    ACCENTURE P  ACN US 04/21/12 C65      -25.9  17.7   0.70  -24.7   1321
NKE    NIKE INC -C  NKE US 04/21/12 P97.5    -25.6  24.4   0.22  -43.6    627
ACN    ACCENTURE P  ACN US 04/21/12 P62.5    -25.2  19.1   0.90  -45.1   1103
NKE    NIKE INC -C  NKE US 04/21/12 C100     -25.0  23.7   7.80  -32.2    307
ACN    ACCENTURE P  ACN US 04/21/12 P65      -24.6  18.3   2.25  -24.8    257
WTW    WEIGHT WATC  WTW US 04/21/12 P77.5    -23.2  35.7   1.90   -7.3    245
ACN    ACCENTURE P  ACN US 04/21/12 C62.5    -23.1  18.9   2.25    0.0    246
NKE    NIKE INC -C  NKE US 05/19/12 P105     -23.1  19.7   2.08    2.5    434
EP     EL PASO COR  EP US 04/21/12 C25       -22.8  21.1   4.98    8.3    530
ITB    ISHARES-DJ   ITB US 04/21/12 P15      -22.8  24.0   0.90   80.0    300
NKE    NIKE INC -C  NKE US 04/21/12 P95      -22.5  27.3   0.16  -40.7    764
NKE    NIKE INC -C  NKE US 05/19/12 P100     -22.0  21.8   0.98  -10.1    457
RMBS   RAMBUS INC   RMBS US 04/21/12 C6      -20.7  45.6   0.58  -29.3    200
KMI    KINDER MORG  KMI US 05/19/12 C37.5    -19.4  12.9   1.00   11.1   2538
KORS   MICHAEL KOR  KORS US 04/21/12 C48     -18.4  35.7   1.70  -37.0    489
KORS   MICHAEL KOR  KORS US 04/21/12 P48     -18.3  35.9   2.10    7.7   1035
MWW    MONSTER WOR  MWW US 04/21/12 C10      -17.8  50.6   0.65   62.5   1321
ACN    ACCENTURE P  ACN US 04/21/12 P60      -17.3  21.6   0.37  -47.1    409
BAC    BANK OF AME  BAC US 01/19/13 C2.5     -16.9  69.9   7.20    0.7    200
MU     MICRON TECH  MU US 04/21/12 P8        -16.7  44.1   0.24    4.3   3472
KBH    KB HOME      KBH US 04/21/12 C10      -16.1  56.6   0.72  -54.4   1173
KBH    KB HOME      KBH US 04/21/12 P10      -16.1  57.0   0.58   75.8   2220
NLY    ANNALY CAPI  NLY US 04/21/12 C17      -16.1  16.9   0.02  -33.3    583
SD     SANDRIDGE E  SD US 01/19/13 C5        -16.1  51.8   3.30   10.0    211
WTW    WEIGHT WATC  WTW US 04/21/12 P67.5    -15.7  44.8   0.45  -25.0    757
MU     MICRON TECH  MU US 04/21/12 C8        -15.4  45.9   0.63  -31.5    790
EP     EL PASO COR  EP US 07/21/12 C26       -14.6  18.4   4.00    8.1   2501
QQQ    POWERSH-QQQ  QQQ US 04/21/12 C62      -14.5  20.7   5.06   -1.6    589
HERO   HERCULES OF  HERO US 04/21/12 P5      -14.4  43.7   0.15  -25.0    396
VXX    IPATH-S&P S  VXX US 04/21/12 P12      -14.2  65.5   0.02    0.0    332
KMI    KINDER MORG  KMI US 04/21/12 C37.5    -13.8  12.7   0.90   63.6   3399
KBH    KB HOME      KBH US 04/21/12 P9       -13.4  62.1   0.24   84.6   4193
VXX    IPATH-S&P S  VXX US 04/21/12 P13      -12.6  64.2   0.03  -40.0    351
NKE    NIKE INC -C  NKE US 07/21/12 C110     -12.2  20.9   4.08  -35.8    269
KMI    KINDER MORG  KMI US 06/16/12 C37.5    -12.1  13.8   1.25   38.9    581
ITB    ISHARES-DJ   ITB US 04/21/12 P14      -11.9  30.4   0.30   20.0    255
SPY    SPDR S&P 50  SPY US 04/21/12 C132     -11.9  17.4   7.70   -1.5    589
SDS    PRO ULTSHRT  SDS US 04/21/12 C14      -11.4  23.8   1.45   -2.7    223
SBAC   SBA COMM CO  SBAC US 06/16/12 C40     -11.0  33.6  10.20    0.0    200
DDS    DILLARDS IN  DDS US 04/21/12 P60      -10.9  26.7   1.00   -4.8    497
KBH    KB HOME      KBH US 05/19/12 C9       -10.8  60.3   1.35  -44.2    340
QQQ    POWERSH-QQQ  QQQ US 04/21/12 C64      -10.6  18.2   3.23   -3.0   1019
MU     MICRON TECH  MU US 05/19/12 P8        -10.5  46.5   0.42    7.7    641
SPY    SPDR S&P 50  SPY US 04/21/12 C134     -10.4  16.3   6.04   -1.5    369

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

-- Bloomberg News

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