Bloomberg News

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

March 26, 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
=============================================================================
KMI    KINDER MORG  KMI US 04/21/12 C37.5    100.0  22.3   1.10   -8.3    295
CHRS   CHARMING SH  CHRS US 04/21/12 C5       80.6  77.9   1.00    5.3    512
NLY    ANNALY CAPI  NLY US 04/21/12 C16       72.5  16.9   0.40   33.3   1135
IWM    ISHARES-RUS  IWM US 04/21/12 P87       50.3  18.2   3.38  -29.9   1132
VXX    IPATH-S&P S  VXX US 04/21/12 C14       45.9  69.6   2.57  -26.6    283
ARNA   ARENA PHARM  ARNA US 04/21/12 C2.5     41.9 148.3   0.68  183.3   1626
ARNA   ARENA PHARM  ARNA US 04/21/12 C2       38.4 164.2   1.06   96.3   1894
ARNA   ARENA PHARM  ARNA US 04/21/12 P2       36.0 151.1   0.09  -10.0   1050
ARNA   ARENA PHARM  ARNA US 04/21/12 C3       36.0 157.4   0.45  221.4   2275
ARNA   ARENA PHARM  ARNA US 04/21/12 P2.5     35.5 146.4   0.24  -31.4    551
VXX    IPATH-S&P S  VXX US 04/21/12 C16       33.5  80.2   1.47  -22.6   1842
VXX    IPATH-S&P S  VXX US 04/21/12 C15       32.9  75.7   1.92  -24.7    699
ODP    OFFICE DEPO  ODP US 04/21/12 C3.5      29.8  68.1   0.35   45.8   2062
IWM    ISHARES-RUS  IWM US 04/21/12 P86       28.3  19.0   2.78  -28.2    522
SPY    SPDR S&P 50  SPY US 04/21/12 P143      28.1  11.5   2.94  -21.6   1833
VXX    IPATH-S&P S  VXX US 04/21/12 C17       27.3  85.3   1.12  -21.7   2699
KMI    KINDER MORG  KMI US 04/21/12 P37.5     26.9  51.4   1.85   48.0   6491
PM     PHILIP MORR  PM US 04/21/12 C85        25.4  17.4   3.35   60.3    270
TJX    TJX COS INC  TJX US 04/21/12 P31.25    25.3  51.9   0.05  -54.5    431
EC     ECOPETROL-S  EC US 04/21/12 P55        24.4  37.3   0.50    0.0    346
EGLE   EAGLE BULK   EGLE US 04/21/12 C2       24.1  74.2   0.10  100.0    221
JNK    SPDR BARCLA  JNK US 06/16/12 P39.74    23.4  10.4   1.30    8.3   1078
ARIA   ARIAD PHARM  ARIA US 05/19/12 C12      22.5  55.0   4.50   25.0    238
SWY    SAFEWAY INC  SWY US 04/21/12 P21       21.7  25.3   1.00   66.7    435
BIG    BIG LOTS IN  BIG US 04/21/12 C42.5     20.5  28.8   4.20   57.9    200
CECO   CAREER EDUC  CECO US 04/21/12 P7       20.4  70.5   0.05    0.0    311
VXX    IPATH-S&P S  VXX US 05/19/12 C15       20.0  78.3   2.48  -20.0    373
BWLD   BUFFALO WIL  BWLD US 04/21/12 C95      19.9  31.4   2.35  312.3    411
AKAM   AKAMAI TECH  AKAM US 04/21/12 C37      19.9  33.1   1.76   87.2   2581
IWM    ISHARES-RUS  IWM US 04/21/12 P85       19.6  19.7   2.16  -31.6   6877
ANF    ABERCROMBIE  ANF US 05/19/12 C38       19.2  49.2  12.85   -4.0   1251
KMI    KINDER MORG  KMI US 06/16/12 C37.5     19.1  17.4   1.30  -16.1    756
BAC    BANK OF AME  BAC US 05/19/12 C6        19.1  75.8   3.95    1.3    265
CEDC   CENTRAL EUR  CEDC US 04/21/12 P4       18.8 121.5   0.15   50.0   3045
AKAM   AKAMAI TECH  AKAM US 04/21/12 C38      18.8  32.2   1.19  112.5    506
LSI    LSI CORP     LSI US 04/21/12 C8        18.5  40.5   0.75   -6.2    300
SPY    SPDR S&P 50  SPY US 04/21/12 P142      18.4  12.1   2.37  -22.6   2511
KMI    KINDER MORG  KMI US 04/21/12 P35       18.2  42.6   0.60   50.0    782
BWLD   BUFFALO WIL  BWLD US 04/21/12 C90      18.1  32.2   5.00  177.8    413
VXX    IPATH-S&P S  VXX US 04/21/12 P16       18.0  81.6   1.28   77.8  15838
NLY    ANNALY CAPI  NLY US 07/21/12 C16       17.9  15.0   0.40   14.3    282
VXX    IPATH-S&P S  VXX US 04/21/12 P17       17.8  86.6   1.93   54.4  33399
AFFY   AFFYMAX INC  AFFY US 04/21/12 P10      17.4 202.4   1.10   29.4    282
AKAM   AKAMAI TECH  AKAM US 04/21/12 C39      17.3  31.7   0.76  181.5    696
BMY    BRISTOL-MYE  BMY US 04/21/12 C32       16.9  16.4   1.51   46.6    477
ACHN   ACHILLION P  ACHN US 04/21/12 P7.5     16.7  93.8   0.10  -33.3    215
BAC    BANK OF AME  BAC US 04/21/12 C7        16.3  76.8   2.95    2.8    361
SWY    SAFEWAY INC  SWY US 04/21/12 C21       16.1  25.8   0.22  -56.0    375
DOW    DOW CHEMICA  DOW US 04/21/12 C32       16.0  32.9   3.40   28.8    234
QQQ    POWERSH-QQQ  QQQ US 04/21/12 P70       15.9  12.7   2.56  -19.0    314
AFFY   AFFYMAX INC  AFFY US 04/21/12 P7       15.6 223.0   0.35   16.7    218
SPPI   SPECTRUM PH  SPPI US 04/21/12 C14      15.6  46.6   0.40   14.3    211
SHAW   SHAW GROUP   SHAW US 04/21/12 C33      15.3  46.7   0.95   58.3    660
SPY    SPDR S&P 50  SPY US 04/21/12 P141      15.2  12.7   1.91  -23.6  18785
TBT    PRO ULTSHRT  TBT US 04/21/12 P18       15.2  35.0   0.06  -14.3    502
AFFY   AFFYMAX INC  AFFY US 04/21/12 P6       15.1 227.2   0.20   33.3    244
ARIA   ARIAD PHARM  ARIA US 04/21/12 C15      15.0  42.2   1.60   52.4    258
JBLU   JETBLUE AIR  JBLU US 04/21/12 C5       14.8  47.9   0.35   40.0    330
VXX    IPATH-S&P S  VXX US 05/19/12 C17       14.6  83.7   1.74  -20.6    612
SPRD   SPREADTRUM-  SPRD US 04/21/12 C16      14.5  51.0   1.30   44.4    223
BBY    BEST BUY CO  BBY US 04/21/12 C28       14.4  44.0   0.90    1.1    815
TSCO   TRACTOR SUP  TSCO US 04/21/12 C90      14.4  26.9   2.60  205.9    304
IWM    ISHARES-RUS  IWM US 04/21/12 P83       14.4  21.3   1.32  -29.8   2896
JNK    SPDR BARCLA  JNK US 04/21/12 C40       14.4   8.8   0.15   50.0    500
MMI    MOTOROLA MO  MMI US 04/21/12 P38       14.3  18.3   0.30   50.0    310
BBY    BEST BUY CO  BBY US 04/21/12 C26       14.0  47.3   2.04   -1.0    326
SIRI   SIRIUS XM R  SIRI US 06/16/12 C2       14.0  43.4   0.33    6.5    625
AMZN   AMAZON.COM   AMZN US 04/21/12 P165     13.7  43.0   0.40  -11.1    292
SPRD   SPREADTRUM-  SPRD US 04/21/12 C17      13.6  49.3   0.65   30.0    284
VXX    IPATH-S&P S  VXX US 04/21/12 P13       13.6  70.1   0.15  150.0   1532
VXX    IPATH-S&P S  VXX US 05/19/12 P14       13.4  78.3   0.90   60.7   6763
AMAT   APPLIED MAT  AMAT US 04/21/12 P12      13.3  26.0   0.06  -33.3    329
BBY    BEST BUY CO  BBY US 04/21/12 C27       13.3  45.3   1.35   -6.9    875
SHAW   SHAW GROUP   SHAW US 04/21/12 C32      13.1  47.8   1.45   45.0   4078
BPAX   BIOSANTE PH  BPAX US 06/16/12 C0.5     13.1 103.6   0.25    0.0    542
BBY    BEST BUY CO  BBY US 04/21/12 P26       13.1  46.0   0.79   21.5   2066
BBY    BEST BUY CO  BBY US 04/21/12 P27       13.0  44.2   1.20   17.6   1623
NLY    ANNALY CAPI  NLY US 04/21/12 P16       12.9  13.8   0.29  -17.1    613
OTEX   OPEN TEXT C  OTEX US 05/19/12 C55      12.9  38.0   5.40   10.2    375
EP     EL PASO COR  EP US 04/21/12 C30        12.8  15.8   0.45  -26.2    401
VXX    IPATH-S&P S  VXX US 05/19/12 P15       12.7  80.6   1.34   44.1    382
BBY    BEST BUY CO  BBY US 04/21/12 C25       12.7  49.3   2.73   -4.5    308
MRK    MERCK & CO   MRK US 04/21/12 P37       12.7  15.0   0.11  -42.1    604
SPY    SPDR S&P 50  SPY US 04/21/12 P140      12.6  13.3   1.54  -23.4  25786
SPPI   SPECTRUM PH  SPPI US 04/21/12 P12      12.6  53.4   0.25   25.0    550
VZ     VERIZON COM  VZ US 04/21/12 C38        12.4  15.3   1.33   -9.5    398
IWM    ISHARES-RUS  IWM US 04/21/12 P81       12.4  23.4   0.77  -33.6   2388
TIBX   TIBCO SOFTW  TIBX US 04/21/12 C32      12.4  37.6   1.15   64.3   1084
AMZN   AMAZON.COM   AMZN US 04/21/12 P175     12.4  36.8   0.72  -23.4    700
MHS    MEDCO HEALT  MHS US 04/21/12 C67.5     12.3  48.5   4.40   15.8    842
VMED   VIRGIN MEDI  VMED US 04/21/12 C25      12.3  26.1   0.30  -33.3   3467
VXX    IPATH-S&P S  VXX US 05/19/12 C16       12.1  81.5   2.09  -19.0   5677
ENDP   ENDO PHARMA  ENDP US 04/21/12 C40      12.1  39.5   1.10   69.2   1052
PM     PHILIP MORR  PM US 04/21/12 C90        12.1  14.6   0.45  181.2   2420
BBY    BEST BUY CO  BBY US 04/21/12 P25       12.0  48.3   0.49   13.9    219
T      AT&T INC     T US 04/21/12 C30         11.9  14.8   1.77   16.4    505
TBT    PRO ULTSHRT  TBT US 04/21/12 C19       11.8  30.1   1.75   28.7   1241
JNK    SPDR BARCLA  JNK US 06/16/12 C39.74    11.7   8.9   0.40   33.3   1050
IWM    ISHARES-RUS  IWM US 04/21/12 P80       11.6  24.2   0.63  -29.2   2385
AMZN   AMAZON.COM   AMZN US 04/21/12 P180     11.5  34.2   1.04  -28.3    710
AGN    ALLERGAN IN  AGN US 04/21/12 P87.5     11.5  24.2   0.30    0.0    522
VVUS   VIVUS INC    VVUS US 04/21/12 P17      11.5 201.6   2.16    8.0    710
SHAW   SHAW GROUP   SHAW US 04/21/12 C30      11.5  47.9   2.52   29.2   1981
TBT    PRO ULTSHRT  TBT US 04/21/12 C18       11.5  34.3   2.65   18.3    703
PLCM   POLYCOM INC  PLCM US 04/21/12 C17.5    11.5  61.1   3.00   36.4    205
PII    POLARIS IND  PII US 04/21/12 C75       11.5  35.3   1.55   63.2   1089
VXX    IPATH-S&P S  VXX US 06/16/12 C17       11.4  83.3   2.20  -18.5    618
EMC    EMC CORP/MA  EMC US 04/21/12 C30       11.4  26.2   0.55   30.9   5247
MTOR   MERITOR INC  MTOR US 04/21/12 C8       11.4  58.5   0.80   33.3    505
PM     PHILIP MORR  PM US 04/21/12 P82.5      11.3  18.7   0.23  -37.8    218
VVUS   VIVUS INC    VVUS US 04/21/12 P18      11.3 196.2   2.47    2.9   1091
VXX    IPATH-S&P S  VXX US 01/18/14 P1        11.2 131.6   0.15   87.5    200
SPY    SPDR S&P 50  SPY US 04/21/12 P139      11.1  13.9   1.24  -24.9  24175
TSCO   TRACTOR SUP  TSCO US 04/21/12 P85      11.1  27.6   0.86  -52.2    373
PM     PHILIP MORR  PM US 04/21/12 P85        11.0  16.4   0.57  -36.7    367
NLY    ANNALY CAPI  NLY US 07/21/12 P16       10.9  12.4   0.80  -13.0    328
VXX    IPATH-S&P S  VXX US 04/21/12 P14       10.9  72.2   0.37  131.2   1785
CHTP   CHELSEA THE  CHTP US 04/21/12 P2       10.9 232.8   0.10    0.0    605
VVUS   VIVUS INC    VVUS US 04/21/12 C21      10.9 180.7   4.30    8.9    378
VXX    IPATH-S&P S  VXX US 06/16/12 P15       10.8  81.8   1.76   27.5   2392
QCOM   QUALCOMM IN  QCOM US 04/21/12 P62.5    10.8  28.8   0.28  -41.7    504
BBY    BEST BUY CO  BBY US 04/21/12 P24       10.7  50.7   0.32   18.5    389
ELX    EMULEX CORP  ELX US 04/21/12 C11       10.6  34.0   0.20    0.0    312
NEOG   NEOGEN CORP  NEOG US 04/21/12 P35      10.4  63.7   1.15  -20.7    719
SPY    SPDR S&P 50  SPY US 04/21/12 P138      10.4  14.6   0.98  -26.3   7366
PCLN   PRICELINE.C  PCLN US 04/21/12 P650     10.4  34.6   3.20  -21.9    273
VVUS   VIVUS INC    VVUS US 06/16/12 C13      10.3 152.1  10.45    5.0   1524
JPM    JPMORGAN CH  JPM US 04/21/12 C40       10.2  34.8   5.97   13.7    316
NILE   BLUE NILE I  NILE US 05/19/12 C30      10.2  57.1   5.30  -41.1    884
ORCL   ORACLE CORP  ORCL US 04/21/12 C26      10.2  28.8   2.97   12.5    525
TNA    DIR SM CAP   TNA US 04/21/12 P50       10.2  81.1   0.55  -35.3    314
PLCM   POLYCOM INC  PLCM US 04/21/12 P17.5    10.2  60.9   0.30  -28.6   4074
ITMN   INTERMUNE I  ITMN US 04/21/12 P13      10.2  76.4   0.54  -10.0   1005
TNA    DIR SM CAP   TNA US 04/21/12 P60       10.2  66.9   2.05  -35.9    654
WYNN   WYNN RESORT  WYNN US 04/21/12 P130     10.2  36.7   5.35  -17.1    535
PTEN   PATTERSON-U  PTEN US 04/21/12 P17      10.2  37.1   0.30    0.0    589
TNA    DIR SM CAP   TNA US 04/21/12 P56       10.1  72.1   1.25  -35.9    249
AMZN   AMAZON.COM   AMZN US 04/21/12 C190     10.1  31.1  12.15   35.5   2243
JNJ    JOHNSON&JOH  JNJ US 04/21/12 P62.5     10.1  13.7   0.13  -35.0    497
VXX    IPATH-S&P S  VXX US 05/19/12 P16       10.1  83.0   1.94   34.7   5660
AMZN   AMAZON.COM   AMZN US 04/21/12 C180     10.1  34.7  20.70   24.3    589
AMZN   AMAZON.COM   AMZN US 04/21/12 P185     10.1  32.2   1.62  -29.6    800
AFFY   AFFYMAX INC  AFFY US 04/21/12 C12      10.1 182.6   3.40   13.3    288
IWM    ISHARES-RUS  IWM US 04/21/12 P77       10.1  27.1   0.28  -31.7   2000

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
CRYP   CRYPTOLOGIC  CRYP US 10/20/12 P2.5    -76.6  11.2   0.10  -60.0    793
WTW    WEIGHT WATC  WTW US 04/21/12 P37.5    -38.3 120.0   0.05  -91.7    286
VXX    IPATH-S&P S  VXX US 05/19/12 P10      -30.3  71.9   0.05    0.0    652
IDTI   INTEGRAT DE  IDTI US 04/21/12 C6      -25.8  37.1   1.30   13.0    300
KMI    KINDER MORG  KMI US 04/21/12 C35      -24.4  13.1   2.90  -19.4    270
LGF    LIONS GATE   LGF US 04/21/12 C14      -22.1  58.6   1.45   -3.3   1545
SPY    SPDR S&P 50  SPY US 04/21/12 C100     -21.1  51.5  41.00    5.2    257
LGF    LIONS GATE   LGF US 04/21/12 C15      -20.6  58.5   0.90  -10.0   3510
LGF    LIONS GATE   LGF US 04/21/12 P15      -20.3  58.4   0.90  -37.9    753
HTS    HATTERAS FI  HTS US 04/21/12 P29      -19.8  10.1   0.90  -30.8    800
LGF    LIONS GATE   LGF US 04/21/12 P14      -19.3  58.5   0.50  -41.2   2531
ILMN   ILLUMINA IN  ILMN US 04/21/12 P47     -18.2  42.5   1.10  -26.7   1241
ILMN   ILLUMINA IN  ILMN US 04/21/12 P48     -16.9  40.3   1.35  -12.9   1369
LGF    LIONS GATE   LGF US 04/21/12 P13      -15.9  60.6   0.23  -58.2   2564
LGF    LIONS GATE   LGF US 04/21/12 C10      -15.5  75.9   5.09   10.7    245
VXX    IPATH-S&P S  VXX US 09/22/12 P8       -15.3  74.0   0.22  144.4  20057
LGF    LIONS GATE   LGF US 05/19/12 P15      -15.2  55.3   1.25  -26.5    272
ABV    AMBEV-PRF A  ABV US 04/21/12 P34      -14.9  51.1   0.05  -80.0    400
BZH    BEAZER HOME  BZH US 04/21/12 C3       -14.9  66.9   0.40  -34.4    665
ABV    AMBEV-PRF A  ABV US 04/21/12 P33      -14.8  56.4   0.05  -87.5    400
ILMN   ILLUMINA IN  ILMN US 04/21/12 C49     -14.5  39.9   2.60  -16.1    256
LGF    LIONS GATE   LGF US 04/21/12 C12      -13.8  67.9   3.10    8.8    208
LGF    LIONS GATE   LGF US 05/19/12 C14      -13.4  57.3   1.85    5.7    217
LGF    LIONS GATE   LGF US 05/19/12 P14      -13.3  56.3   0.80  -32.2    438
LGF    LIONS GATE   LGF US 04/21/12 C13      -12.8  63.9   2.15    4.9    548
VXX    IPATH-S&P S  VXX US 06/16/12 P10      -11.1  71.1   0.14  133.3    492
MYGN   MYRIAD GENE  MYGN US 04/21/12 C23     -10.6  32.0   1.20   33.3   1049
SNTA   SYNTA PHARM  SNTA US 08/18/12 P2.5    -10.5  92.3   0.20    0.0    200
LGF    LIONS GATE   LGF US 04/21/12 P12      -10.1  68.3   0.15  -42.3    257
CNP    CENTERPOINT  CNP US 04/21/12 C20      -10.1  16.8   0.11  -45.0   1010

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

-- Bloomberg News

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


Burger King's Young Buns
LIMITED-TIME OFFER SUBSCRIBE NOW

(enter your email)
(enter up to 5 email addresses, separated by commas)

Max 250 characters

 
blog comments powered by Disqus