Bloomberg News

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

March 27, 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
=============================================================================
SMH    MARKET VECT  SMH US 04/21/12 C33       57.6  22.4   3.00    9.1    250
SPY    SPDR S&P 50  SPY US 04/21/12 P145      47.8  11.2   3.91    2.9   1506
FTR    FRONTIER CO  FTR US 04/21/12 C4        42.1  30.0   0.25   25.0   4100
SPY    SPDR S&P 50  SPY US 04/21/12 P147      39.5  10.9   5.61   -2.6    324
SPY    SPDR S&P 50  SPY US 04/21/12 P144      28.7  11.5   3.21   10.3   1621
SGEN   SEATTLE GEN  SGEN US 04/21/12 C20      28.0  40.9   1.13   -1.7    207
TOT    TOTAL SA-SP  TOT US 04/21/12 C52.5     25.2  24.8   0.85  -61.4   2606
SPY    SPDR S&P 50  SPY US 05/19/12 P146      23.8  11.9   5.35    2.7    401
VRX    VALEANT PHA  VRX US 04/21/12 C46       23.2  39.7   9.23   24.7    654
DSS    DOCUMENT SE  DSS US 06/16/12 P2.5      23.2 136.2   0.55   57.1    387
VZ     VERIZON COM  VZ US 04/21/12 C38        22.7  14.5   1.21   -0.8   1198
UA     UNDER ARMOU  UA US 04/21/12 C95        22.0  36.3   5.30   -1.9   1837
VRX    VALEANT PHA  VRX US 04/21/12 C47       21.8  41.2   8.32   20.6    704
JPM    JPMORGAN CH  JPM US 04/21/12 C42       20.9  30.7   4.22    1.7    375
UA     UNDER ARMOU  UA US 04/21/12 C100       20.7  34.6   2.76   11.7    678
SPY    SPDR S&P 50  SPY US 04/21/12 P143      20.6  12.0   2.58    4.9   3193
UA     UNDER ARMOU  UA US 04/21/12 P90        20.3  39.2   1.00   72.4    220
PFE    PFIZER INC   PFE US 04/21/12 C22       19.0  15.3   0.77   92.5   3125
UA     UNDER ARMOU  UA US 04/21/12 C97.5      18.9  35.1   4.00    4.7   1176
VXX    IPATH-S&P S  VXX US 05/19/12 P12       18.9  76.0   0.26  -18.8   2187
SPY    SPDR S&P 50  SPY US 06/16/12 P148      18.4  12.4   7.87   -6.8    500
UA     UNDER ARMOU  UA US 04/21/12 P97.5      18.3  35.4   3.21   39.6    829
SPY    SPDR S&P 50  SPY US 05/19/12 P145      18.2  12.2   4.68    7.3    989
DIA    SPDR DJIA T  DIA US 04/21/12 P132      18.0  11.6   1.65   10.0    284
TOT    TOTAL SA-SP  TOT US 04/21/12 P52.5     18.0  24.2   1.95  400.0    545
CMO    CAPSTEAD MO  CMO US 05/19/12 C12.5     17.6  33.2   0.95   -5.0   3700
PEP    PEPSICO INC  PEP US 01/19/13 C50       17.6  20.6  16.15    2.6    259
LVS    LAS VEGAS S  LVS US 04/21/12 C45       17.5  56.4  14.18    1.6   1755
UA     UNDER ARMOU  UA US 04/21/12 P95        17.5  36.3   2.30   53.3    275
SPY    SPDR S&P 50  SPY US 06/16/12 P147      17.4  12.6   7.22    0.3   1176
PVA    PENN VIRGIN  PVA US 04/21/12 C5        17.4  58.1   0.30   20.0    201
VXZ    IPATH-S&P M  VXZ US 04/21/12 P46       17.1  34.2   1.55   31.4    600
TOT    TOTAL SA-SP  TOT US 04/21/12 C50       17.0  27.2   2.35  -53.9    362
WYN    WYNDHAM WOR  WYN US 05/19/12 C39       16.8  33.4   7.10    0.4    500
MCP    MOLYCORP IN  MCP US 04/21/12 P29       16.4  63.3   0.76  -41.5    580
SPY    SPDR S&P 50  SPY US 04/21/12 P142      15.9  12.6   2.09   17.4   7712
XLV    SPDR-HEALTH  XLV US 04/21/12 C38       15.5  11.0   0.19   58.3   1492
JAH    JARDEN CORP  JAH US 04/21/12 C40       15.4  27.3   1.20   20.0   1408
F      FORD MOTOR   F US 04/21/12 C10         15.3  47.2   2.50    1.2   1022
PAYX   PAYCHEX INC  PAYX US 04/21/12 P31      15.3  19.9   0.21    5.0    319
SPY    SPDR S&P 50  SPY US 05/19/12 P144      15.2  12.6   4.12    8.7   1071
XLF    SPDR-FINL S  XLF US 04/21/12 P16       15.2  19.7   0.35   12.9   1696
QQQ    POWERSH-QQQ  QQQ US 04/21/12 P70       15.0  13.1   1.99   -4.8    911
MU     MICRON TECH  MU US 04/21/12 P7         14.8  55.5   0.04    0.0   2230
HOGS   ZHONGPIN IN  HOGS US 09/22/12 P7.5     14.5  65.3   0.55  -23.6    542
NLY    ANNALY CAPI  NLY US 04/21/12 C16       14.5  17.5   0.30   11.1   3243
SHLD   SEARS HOLDI  SHLD US 04/21/12 C65      14.5  51.5  10.55   38.8    530
DIA    SPDR DJIA T  DIA US 05/19/12 P132      14.3  12.3   2.71    8.4    247
BIDU   BAIDU INC-S  BIDU US 06/16/12 C100     13.9  48.4  52.75    3.8    214
SPY    SPDR S&P 50  SPY US 04/21/12 P141      13.5  13.2   1.68   15.9   8611
JPM    JPMORGAN CH  JPM US 04/21/12 C43       12.9  29.0   3.29    4.4    239
SPY    SPDR S&P 50  SPY US 05/19/12 P143      12.9  13.0   3.54    3.2   2238
LNKD   LINKEDIN CO  LNKD US 04/21/12 C97.5    12.8  47.5   9.70   51.6    292
QLIK   QLIK TECHNO  QLIK US 04/21/12 P30      12.7  41.2   0.35  -22.2   1505
PVH    PVH CORP     PVH US 04/21/12 C90       12.7  30.2   2.95   -1.3    337
TOT    TOTAL SA-SP  TOT US 05/19/12 C52.5     12.4  24.9   1.40  -56.2   1428
SPY    SPDR S&P 50  SPY US 05/19/12 P142      12.1  13.5   3.11   11.1   4329
AVB    AVALONBAY C  AVB US 04/21/12 C125      12.1  36.6  14.50   45.7   1850
OVTI   OMNIVISION   OVTI US 04/21/12 C17      12.1  50.9   2.90   10.7    285
MMI    MOTOROLA MO  MMI US 04/21/12 P39       12.0  12.9   0.35    0.0    228
PFE    PFIZER INC   PFE US 04/21/12 P22       11.8  14.4   0.11  -52.2   5468
PMCS   PMC-SIERRA   PMCS US 05/19/12 P7       11.8  41.1   0.35  -12.5    236
PFE    PFIZER INC   PFE US 04/21/12 C21       11.8  18.9   1.81   47.1    226
CALL   MAGICJACK V  CALL US 04/21/12 C20      11.7  71.2   3.80  -20.8    208
IWM    ISHARES-RUS  IWM US 05/19/12 P87       11.3  20.0   4.14   -0.7    203
VCLK   VALUECLICK   VCLK US 04/21/12 C21      11.3  28.4   0.40    0.0    230
ABT    ABBOTT LABS  ABT US 04/21/12 P57.5     11.2  16.6   0.11  -15.4    655
DAR    DARLING INT  DAR US 07/21/12 C17.5     11.2  31.3   1.45   20.8    467
SPY    SPDR S&P 50  SPY US 05/19/12 P141      11.1  13.9   2.69   12.1  15149
BIDU   BAIDU INC-S  BIDU US 04/21/12 C155     11.1  35.0   4.40   41.9   2961
MCP    MOLYCORP IN  MCP US 04/21/12 P30       11.0  62.7   0.95  -50.3    312
PFE    PFIZER INC   PFE US 01/19/13 C15       10.9  34.5   7.75    6.6   1160
IWM    ISHARES-RUS  IWM US 04/21/12 P84       10.7  20.8   1.63    8.7  11421
LNKD   LINKEDIN CO  LNKD US 04/21/12 P100     10.6  47.5   2.75  -29.5    229
TIE    TITANIUM ME  TIE US 04/21/12 C14       10.6  30.4   0.40   60.0   4750
BIDU   BAIDU INC-S  BIDU US 04/21/12 P155     10.5  34.3   6.75  -10.0   1145
AMZN   AMAZON.COM   AMZN US 04/21/12 P190     10.4  33.9   1.49  -20.3   1481
STJ    ST JUDE MED  STJ US 04/21/12 P40       10.4  37.2   0.20  -33.3    570
DANG   E-COMMERCE   DANG US 04/21/12 C7       10.4  63.1   1.10   57.1    327
AMZN   AMAZON.COM   AMZN US 04/21/12 C195     10.3  32.9  14.20   30.9   1085
SPY    SPDR S&P 50  SPY US 04/21/12 P139      10.3  14.6   1.07   17.6  14572
AMZN   AMAZON.COM   AMZN US 04/21/12 P195     10.3  32.5   2.34  -22.0    944
SPY    SPDR S&P 50  SPY US 06/16/12 P144      10.2  13.5   5.29    4.5   1154
AMZN   AMAZON.COM   AMZN US 04/21/12 C190     10.1  34.1  19.10   30.2    582

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
MAPP   MAP PHARMAC  MAPP US 04/21/12 P15     -69.0  69.0   0.35  -84.8   5209
MAPP   MAP PHARMAC  MAPP US 04/21/12 P12.5   -63.9  78.8   0.10  -93.5   2045
MAPP   MAP PHARMAC  MAPP US 04/21/12 C15     -63.7  65.8   2.50  -44.4   1450
MAPP   MAP PHARMAC  MAPP US 05/19/12 P15     -61.7  57.2   0.80  -70.6    250
ISTA   ISTA PHARMA  ISTA US 10/20/12 P7.5    -61.6  19.0   0.05  -93.3    318
MAPP   MAP PHARMAC  MAPP US 05/19/12 P12.5   -57.6  69.5   0.20  -89.2    475
MAPP   MAP PHARMAC  MAPP US 06/16/12 P12.5   -57.1  65.3   0.40  -74.2    246
MAPP   MAP PHARMAC  MAPP US 04/21/12 P10     -50.4 115.3   0.10  -87.5   3328
NBIX   NEUROCRINE   NBIX US 04/21/12 C8      -47.8  54.4   0.45  -70.0    677
MAPP   MAP PHARMAC  MAPP US 04/21/12 P7.5    -47.0 160.0   0.05  -87.5    795
NBIX   NEUROCRINE   NBIX US 05/19/12 C8      -43.9  48.4   0.70  -58.8    229
NBIX   NEUROCRINE   NBIX US 04/21/12 P7      -40.2  66.7   0.15  -50.0  10020
APOL   APOLLO GROU  APOL US 04/21/12 C40     -39.2  30.0   1.14  -71.1    704
APOL   APOLLO GROU  APOL US 04/21/12 P39     -39.1  30.9   0.88   31.3    531
APOL   APOLLO GROU  APOL US 04/21/12 P38     -38.3  32.2   0.58   18.4    833
MAPP   MAP PHARMAC  MAPP US 09/22/12 P12.5   -35.1  66.8   1.15  -50.0   1020
APOL   APOLLO GROU  APOL US 04/21/12 P36     -34.6  35.1   0.25   -3.9    299
VZ     VERIZON COM  VZ US 04/21/12 P41       -34.1   9.8   2.35    4.9    286
PM     PHILIP MORR  PM US 06/16/12 C60       -33.5  36.1  28.13    0.8    330
MAPP   MAP PHARMAC  MAPP US 09/22/12 P10     -32.5  73.7   1.05  -36.4   1010
SPY    SPDR S&P 50  SPY US 04/21/12 C100     -32.5  51.0  41.55    0.2    604
NKTR   NEKTAR THER  NKTR US 04/21/12 C7      -29.5  56.7   1.15   -4.2    200
WAG    WALGREEN CO  WAG US 04/21/12 P35      -24.2  19.7   0.96  -25.0    517
GA     GIANT INTER  GA US 07/21/12 C5        -23.9  25.6   0.30  -14.3   1007
WAG    WALGREEN CO  WAG US 04/21/12 C36      -23.6  19.5   0.25  -28.6   4478
SPY    SPDR S&P 50  SPY US 04/21/12 C125     -23.6  26.2  16.79    4.3    405
APOL   APOLLO GROU  APOL US 05/19/12 P35     -23.3  36.0   0.50   19.1    367
WAG    WALGREEN CO  WAG US 04/21/12 C35      -23.1  20.0   0.58  -12.1   1345
WAG    WALGREEN CO  WAG US 04/21/12 P34      -22.4  20.6   0.43  -45.6   1082
PSS    COLLECTIVE   PSS US 04/21/12 P14      -22.2  63.0   0.10  -66.7   1000
EPI    WISDOMTREE   EPI US 04/21/12 C19      -22.0  21.4   0.45  -25.0   1225
HTS    HATTERAS FI  HTS US 04/21/12 P27      -21.9  11.9   0.20  100.0    333
WAG    WALGREEN CO  WAG US 04/21/12 C34      -21.4  20.8   1.11   -0.9   1986
APOL   APOLLO GROU  APOL US 05/19/12 P41     -21.2  30.4   2.50   61.3    667
SPY    SPDR S&P 50  SPY US 04/21/12 C129     -20.4  22.7  12.65   -0.1    305
MMR    MCMORAN EXP  MMR US 04/21/12 P8       -20.4  95.3   0.18   28.6    578
WAG    WALGREEN CO  WAG US 04/21/12 P33      -19.9  22.0   0.21  -51.2   7035
QRE    QR ENERGY L  QRE US 05/19/12 C20      -19.0  31.5   1.80  -29.4    302
EGLE   EAGLE BULK   EGLE US 04/21/12 C2      -18.3  60.8   0.19   90.0    239
WAG    WALGREEN CO  WAG US 04/21/12 C32      -18.2  24.2   2.72    4.6    330
SPY    SPDR S&P 50  SPY US 04/21/12 C130     -18.2  22.1  11.90    0.8  30041
HOGS   ZHONGPIN IN  HOGS US 09/22/12 C10     -18.0  47.0   2.50  100.0    237
WAG    WALGREEN CO  WAG US 04/21/12 P32      -17.0  24.2   0.10  -60.0    591
WAG    WALGREEN CO  WAG US 04/21/12 P31      -16.7  26.4   0.05  -64.3    555
MMR    MCMORAN EXP  MMR US 04/21/12 P10      -16.2  91.2   0.81   76.1   3036
LGF    LIONS GATE   LGF US 04/21/12 P11      -15.3  72.8   0.10  100.0   1203
GA     GIANT INTER  GA US 10/20/12 C5        -15.1  28.2   0.45   12.5    749
LEN    LENNAR CORP  LEN US 04/21/12 P28      -14.6  34.6   1.21  -44.5   1393
LEN    LENNAR CORP  LEN US 04/21/12 C28      -14.5  34.6   0.81   62.0    500
ETE    ENERGY TRAN  ETE US 04/21/12 C40      -14.4  18.7   2.10   16.7    200
LEN    LENNAR CORP  LEN US 04/21/12 P27      -14.4  36.2   0.73  -54.4    224
LEN    LENNAR CORP  LEN US 04/21/12 C29      -14.3  33.6   0.43   53.6    363
CPB    CAMPBELL SO  CPB US 04/21/12 C33      -14.3  10.4   0.30    0.0    990
LGF    LIONS GATE   LGF US 04/21/12 P13      -14.0  54.8   0.23   15.0    588
HOV    HOVNANIAN E  HOV US 05/19/12 P2.5     -13.8  69.8   0.20  -20.0    570
FRO    FRONTLINE L  FRO US 04/21/12 C7       -13.5  77.0   0.55   -8.3    513
EPI    WISDOMTREE   EPI US 04/21/12 P19      -13.3  24.5   0.40  -27.3   1000
PSS    COLLECTIVE   PSS US 04/21/12 P18      -13.1  30.5   0.40  -20.0   1729
LEN    LENNAR CORP  LEN US 04/21/12 C27      -13.0  36.3   1.37   59.3   1466
SPY    SPDR S&P 50  SPY US 04/21/12 C135     -13.0  17.7   7.08   -3.7  13371
LGF    LIONS GATE   LGF US 04/21/12 C14      -12.7  50.7   0.95  -36.7    748
LEN    LENNAR CORP  LEN US 04/21/12 P26      -12.5  38.0   0.42  -57.6    830
LEN    LENNAR CORP  LEN US 04/21/12 P25      -12.5  40.8   0.25  -63.2   2100
WAG    WALGREEN CO  WAG US 05/19/12 P35      -12.2  20.4   1.42  -16.5    264
XLF    SPDR-FINL S  XLF US 05/19/12 C14      -12.2  27.4   1.98   -2.0    663
MMR    MCMORAN EXP  MMR US 04/21/12 C10      -12.2  95.4   1.07  -59.5   6470
SPY    SPDR S&P 50  SPY US 04/21/12 C136     -11.8  16.9   6.16   -2.1    284
IMAX   IMAX CORP    IMAX US 04/21/12 C26     -11.8  37.0   0.50  -33.3    322
IMAX   IMAX CORP    IMAX US 04/21/12 P25     -11.5  38.7   1.15   43.8    225
LGF    LIONS GATE   LGF US 04/21/12 P14      -11.2  51.2   0.50   28.2   3901
LEN    LENNAR CORP  LEN US 04/21/12 C26      -11.2  38.6   2.10   53.3    369
ADBE   ADOBE SYS I  ADBE US 04/21/12 C30     -11.1  25.9   4.42    0.5    210
IMAX   IMAX CORP    IMAX US 04/21/12 C24     -11.0  40.4   1.55  -16.2    265
MCP    MOLYCORP IN  MCP US 01/19/13 C30      -10.8  31.6   5.10   25.9    379
IMAX   IMAX CORP    IMAX US 04/21/12 P24     -10.7  40.5   0.65    8.3   1909
IMAX   IMAX CORP    IMAX US 04/21/12 C25     -10.7  39.3   0.90  -25.0    226
VRA    VERA BRADLE  VRA US 04/21/12 P30      -10.7  39.6   1.50   40.2    620
LEN    LENNAR CORP  LEN US 04/21/12 C25      -10.6  40.8   2.95   46.8    443
APOL   APOLLO GROU  APOL US 08/18/12 P37     -10.5  36.6   2.25   30.8    612
WAG    WALGREEN CO  WAG US 05/19/12 P33      -10.4  22.3   0.60  -24.1   1480
TSLA   TESLA MOTOR  TSLA US 04/21/12 C38     -10.4  34.1   1.90   46.1    516
COP    CONOCOPHILL  COP US 05/19/12 P55      -10.2  37.1   0.05    0.0    285
LGF    LIONS GATE   LGF US 05/19/12 P13      -10.2  52.5   0.50   11.1    219

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

-- Bloomberg News

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