Bloomberg News

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

March 29, 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
=============================================================================
CHRS   CHARMING SH  CHRS US 04/21/12 C5       81.5  76.5   1.07   94.5    534
TLAB   TELLABS INC  TLAB US 04/21/12 C3       54.2  90.8   0.95   -9.5    272
GALE   GALENA BIOP  GALE US 04/21/12 C1       49.5 245.5   1.30   18.2    350
AMLN   AMYLIN PHAR  AMLN US 01/18/14 P15      34.5  47.7   1.51   51.0    458
MCP    MOLYCORP IN  MCP US 04/21/12 C27       28.8  47.5   5.90   34.1    207
GFA    GAFISA SA-A  GFA US 04/21/12 P5        27.5  61.2   0.35  133.3    212
AET    AETNA INC    AET US 04/21/12 P48       26.2  25.8   0.73  -59.4    626
AET    AETNA INC    AET US 04/21/12 C48       25.9  25.5   1.89  410.8   1468
AET    AETNA INC    AET US 04/21/12 P47       25.2  27.2   0.48  -53.9    409
AET    AETNA INC    AET US 04/21/12 P45       24.7  31.0   0.28  -56.2    238
ATPG   ATP OIL & G  ATPG US 04/21/12 C7       24.6  53.8   0.69  -19.8    315
RDS/B  ROYAL DUTCH  RDSB US 05/19/12 P70      24.5  19.7   2.80   40.0    260
AET    AETNA INC    AET US 04/21/12 P46       23.9  28.8   0.38  -61.6    957
GMCR   GREEN MOUNT  GMCR US 04/21/12 C50      23.7  69.1   2.29  -10.6   1561
GMCR   GREEN MOUNT  GMCR US 04/21/12 C45      23.2  72.0   4.90  -13.3    447
GMCR   GREEN MOUNT  GMCR US 04/21/12 P50      22.9  69.4   4.50   50.0   1260
GMCR   GREEN MOUNT  GMCR US 04/21/12 P45      22.8  72.9   2.16   96.4   2265
RHT    RED HAT INC  RHT US 04/21/12 P45       21.7  53.8   0.05  -85.7    252
AET    AETNA INC    AET US 04/21/12 C50       21.6  23.5   0.78  680.0   1993
AET    AETNA INC    AET US 04/21/12 C47       21.4  26.2   2.51  311.5    264
AET    AETNA INC    AET US 05/19/12 C50       21.1  26.2   1.49  198.0    362
PBY    PEP BOYS MM  PBY US 07/21/12 C15       20.8   3.1   0.05    0.0    500
WLP    WELLPOINT I  WLP US 04/21/12 C75       20.7  24.0   0.62  520.0   2409
AET    AETNA INC    AET US 07/21/12 C50       20.2  26.4   2.50  168.8   2709
AET    AETNA INC    AET US 07/21/12 C49       20.1  27.3   2.48   73.4    327
WLP    WELLPOINT I  WLP US 05/19/12 C75       19.9  25.5   1.27  149.0    217
WLP    WELLPOINT I  WLP US 04/21/12 C72.5     19.8  24.0   1.36  161.5   1311
PSS    COLLECTIVE   PSS US 04/21/12 C19       19.7  44.2   1.60  300.0    291
PFE    PFIZER INC   PFE US 04/21/12 C21       19.4  19.6   1.39   -1.4    315
WLP    WELLPOINT I  WLP US 05/19/12 C72.5     19.1  26.2   2.50  127.3    527
GMCR   GREEN MOUNT  GMCR US 04/21/12 P40      19.1  77.9   0.82  148.5    520
AET    AETNA INC    AET US 04/21/12 P40       18.6  43.5   0.06  -50.0    208
AET    AETNA INC    AET US 07/21/12 C46       18.2  29.3   3.40   18.9    584
ONNN   ON SEMICOND  ONNN US 04/21/12 C9       17.8  34.1   0.15  -25.0   2500
WLP    WELLPOINT I  WLP US 04/21/12 P72.5     17.3  23.6   2.05    0.0    665
WLP    WELLPOINT I  WLP US 06/16/12 C75       16.9  24.6   1.65   73.7    693
AET    AETNA INC    AET US 07/21/12 P48       16.8  27.9   2.82  -11.9    213
WLP    WELLPOINT I  WLP US 05/19/12 C67.5     16.7  28.3   5.60   58.2    725
HUM    HUMANA INC   HUM US 04/21/12 C95       16.5  22.5   0.55  175.0    309
AET    AETNA INC    AET US 07/21/12 C45       16.3  29.8   5.50   46.7    970
WLP    WELLPOINT I  WLP US 04/21/12 C70       16.0  24.2   2.93   95.3   1261
WLP    WELLPOINT I  WLP US 05/19/12 P70       16.0  26.7   2.00  -15.2   1244
VRX    VALEANT PHA  VRX US 04/21/12 C48       15.6  35.7   5.40   -2.5    500
BAC    BANK OF AME  BAC US 04/21/12 C8        15.4  56.1   1.55  -12.4   2202
WLP    WELLPOINT I  WLP US 04/21/12 P70       15.3  24.1   0.98  -36.4    626
AET    AETNA INC    AET US 07/21/12 C43       15.1  31.2   5.05   23.2    250
VZ     VERIZON COM  VZ US 04/21/12 C37        15.0  16.4   0.85  -33.6   1317
HMIN   HOME INNS &  HMIN US 04/21/12 P22.5    14.7  59.4   0.35  133.3    838
WLP    WELLPOINT I  WLP US 04/21/12 P67.5     14.7  25.6   0.37  -37.3    803
IVN    IVANHOE MIN  IVN US 01/19/13 C15       14.7  51.0   2.90    3.6    232
MMC    MARSH & MCL  MMC US 05/19/12 C33       14.7  19.4   0.70    0.0    430
BPZ    BPZ RESOURC  BPZ US 05/19/12 C4        14.5  80.5   0.40  -20.0    508
MMC    MARSH & MCL  MMC US 07/21/12 C33       14.3  18.2   1.10   10.0    996
WLP    WELLPOINT I  WLP US 06/16/12 P70       14.2  25.8   2.94  -12.8    254
IVN    IVANHOE MIN  IVN US 06/16/12 C15       14.0  47.9   1.55    3.3    299
HUM    HUMANA INC   HUM US 04/21/12 P90       14.0  23.6   2.00  -23.1    945
HUM    HUMANA INC   HUM US 04/21/12 C92.5     13.8  22.9   1.40  225.6   1224
CI     CIGNA CORP   CI US 04/21/12 P44        13.8  32.0   0.15  -53.1    413
SWKS   SKYWORKS SO  SWKS US 04/21/12 C23      13.8  47.5   4.40  -10.2    200
CBS    CBS CORP-B   CBS US 04/21/12 P31       13.8  25.9   0.35   16.7    300
VXX    IPATH-S&P S  VXX US 04/21/12 P14       13.7  77.4   0.13  -23.5    476
XLI    SPDR-INDU S  XLI US 04/21/12 C37       13.3  18.6   0.62  -12.7   4282
IWM    ISHARES-RUS  IWM US 04/21/12 C80       13.2  23.3   3.14  -17.8    996
ARNA   ARENA PHARM  ARNA US 04/21/12 C2       12.8 165.7   1.20   26.3    577
GME    GAMESTOP CO  GME US 04/21/12 P23       12.8  34.3   1.15  101.8    201
WLP    WELLPOINT I  WLP US 04/21/12 P65       12.8  28.0   0.14  -41.7    858
IVN    IVANHOE MIN  IVN US 06/16/12 P15       12.6  47.6   1.15   27.8    242
PSS    COLLECTIVE   PSS US 04/21/12 C21       12.6  42.9   0.50  900.0    457
SE     SPECTRA ENE  SE US 04/21/12 C32        12.5  14.7   0.20   -9.1   7728
UNH    UNITEDHEALT  UNH US 04/21/12 C55       12.2  28.1   3.00   85.2    718
HERO   HERCULES OF  HERO US 04/21/12 C4.5     12.2  57.7   0.39   11.4    300
XLI    SPDR-INDU S  XLI US 04/21/12 C38       12.2  16.6   0.20  -16.7   2325
JPM    JPMORGAN CH  JPM US 04/21/12 C39       12.0  40.0   6.69   -2.3    206
JWN    NORDSTROM I  JWN US 04/21/12 C55       11.7  22.0   0.97    0.0   1658
XLF    SPDR-FINL S  XLF US 04/21/12 C13       11.6  44.9   2.63   -8.7    287
NLY    ANNALY CAPI  NLY US 04/21/12 P16       11.4  10.9   0.46   -2.1    290
ESRX   EXPRESS SCR  ESRX US 04/21/12 C55      11.4  34.4   1.13   -1.7    590
VZ     VERIZON COM  VZ US 04/21/12 C39        11.3  15.7   0.08  -46.7   1868
IWM    ISHARES-RUS  IWM US 04/21/12 C81       11.2  22.4   2.45  -22.0    598
THC    TENET HEALT  THC US 05/19/12 C5        11.2  58.2   0.50    0.0    500
NUS    NU SKIN ENT  NUS US 04/21/12 P55       11.2  33.4   1.05  176.3    825
SDRL   SEADRILL LT  SDRL US 04/21/12 C36      11.1  25.9   1.20  -14.3    222
ETP    ENERGY TRAN  ETP US 04/21/12 C47.5     11.1  13.5   0.30   20.0   3539
OKE    ONEOK INC    OKE US 04/21/12 C82.5     11.0  15.2   0.65  -13.3   2000
UNH    UNITEDHEALT  UNH US 06/16/12 P55       11.0  25.1   1.77  -25.0   2373
GME    GAMESTOP CO  GME US 05/19/12 C23       10.9  33.6   0.76  -43.7    852
MCHP   MICROCHIP T  MCHP US 04/21/12 C37      10.9  18.9   0.35  -22.2    500
UNH    UNITEDHEALT  UNH US 04/21/12 P55       10.9  28.0   0.75  -38.5    451
HUM    HUMANA INC   HUM US 05/19/12 C87.5     10.9  27.8   5.00   30.6    255
UNH    UNITEDHEALT  UNH US 06/16/12 C55       10.9  24.8   4.06   75.0    532
GME    GAMESTOP CO  GME US 05/19/12 C22       10.9  33.3   1.20  -42.3    591
RHT    RED HAT INC  RHT US 04/21/12 P46       10.9  50.0   0.05  -88.6    334
ACN    ACCENTURE P  ACN US 04/21/12 C62.5     10.8  19.1   2.10   -4.5   1343
ARNA   ARENA PHARM  ARNA US 04/21/12 P2.5     10.8 155.6   0.17  -19.1    672
JNJ    JOHNSON&JOH  JNJ US 04/21/12 C65       10.7  11.2   0.95   -6.9   2039
OIH    MARKET VECT  OIH US 04/21/12 C40       10.7  28.0   1.10   -4.3    299
UNH    UNITEDHEALT  UNH US 04/21/12 P52.5     10.7  32.0   0.30  -40.0   1472
STD    BANCO SANTA  STD US 05/19/12 C7        10.6  47.3   0.70   -6.7    455
HUM    HUMANA INC   HUM US 05/19/12 C90       10.6  27.2   3.50   36.2    270
THLD   THRESHOLD P  THLD US 04/21/12 C7.5     10.5  90.2   1.25   66.7    418
UNH    UNITEDHEALT  UNH US 04/21/12 P50       10.4  37.5   0.13  -50.0    734
UNP    UNION PAC C  UNP US 04/21/12 C110      10.4  29.2   1.30  -32.3   3078
EPD    ENTERPRISE   EPD US 04/21/12 C50       10.3  16.6   0.70  -36.4    362
BAC    BANK OF AME  BAC US 05/19/12 C7        10.3  60.3   2.58   -7.5    735
GME    GAMESTOP CO  GME US 07/21/12 C21       10.2  30.9   2.21  -38.8    567
WPRT   WESTPORT IN  WPRT US 04/21/12 P40      10.1  46.5   1.70   70.0    312
UNH    UNITEDHEALT  UNH US 06/16/12 C57.5     10.1  23.0   2.38   96.7    245
KERX   KERYX BIOPH  KERX US 06/16/12 C4       10.0 196.7   1.93   -1.0    371
UNG    US NAT GAS   UNG2 US 04/21/12 C5       10.0  52.4   0.02  -33.3    200

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
CHTP   CHELSEA THE  CHTP US 04/21/12 P2      -70.8 113.0   0.05  -50.0   6277
BBY    BEST BUY CO  BBY US 04/21/12 P22      -39.1  33.3   0.13  -18.8   1554
BBY    BEST BUY CO  BBY US 04/21/12 P23      -38.0  32.1   0.36   71.4   1442
BBY    BEST BUY CO  BBY US 04/21/12 P24      -37.2  31.0   0.75   92.3   8039
BBY    BEST BUY CO  BBY US 04/21/12 C25      -36.8  31.4   0.37  -82.8   2565
BBY    BEST BUY CO  BBY US 04/21/12 C24      -36.5  31.7   0.72  -75.3    773
BBY    BEST BUY CO  BBY US 04/21/12 C23      -34.9  33.1   1.39  -68.0    775
BBY    BEST BUY CO  BBY US 04/21/12 P25      -34.1  31.1   1.41  123.8   3737
NWN    NORTHWEST N  NWN US 05/19/12 C45      -32.3  11.4   0.50    0.0    250
KMI    KINDER MORG  KMI US 06/16/12 C35      -28.1  12.5   3.80    2.7    287
HIG    HARTFORD FI  HIG US 06/16/12 C3       -27.8 169.3  17.65    0.0    260
FTR    FRONTIER CO  FTR US 04/21/12 C4       -25.1  31.7   0.11  -26.7    205
HK     HALCON RESO  HK US 04/21/12 P10       -24.9  42.0   0.60   50.0    259
ILMN   ILLUMINA IN  ILMN US 05/19/12 C52.5   -24.6  34.1   2.45   -9.3   1915
ILMN   ILLUMINA IN  ILMN US 05/19/12 C50     -24.6  35.0   3.75    7.1    687
DEER   DEER CONSUM  DEER US 09/22/12 C2.5    -24.2  53.3   1.75   84.2    201
SHAW   SHAW GROUP   SHAW US 04/21/12 P30     -23.7  38.4   0.45  -62.5    445
BMI    BADGER METE  BMI US 04/21/12 C35      -21.8  33.3   0.70   94.4    228
BBY    BEST BUY CO  BBY US 05/19/12 P22      -21.5  33.6   0.40   53.9    894
BBY    BEST BUY CO  BBY US 05/19/12 P21      -21.3  35.4   0.24   41.2    241
BBY    BEST BUY CO  BBY US 05/19/12 P23      -21.2  32.5   0.73   92.1    678
BBY    BEST BUY CO  BBY US 05/19/12 P24      -20.3  31.7   1.15  101.8   2417
PAYX   PAYCHEX INC  PAYX US 04/21/12 C32     -19.7  14.5   0.30  -45.5    279
ILMN   ILLUMINA IN  ILMN US 04/21/12 C52.5   -19.5  34.0   1.55   47.6   6259
BBY    BEST BUY CO  BBY US 05/19/12 P25      -18.7  31.4   1.70   95.4   1685
BBY    BEST BUY CO  BBY US 05/19/12 C25      -18.6  31.5   0.79  -70.7   1567
ILMN   ILLUMINA IN  ILMN US 05/19/12 C45     -18.5  41.8   7.90    9.7    255
HOG    HARLEY-DAVI  HOG US 04/21/12 P50      -16.2  24.7   2.12   -0.5    260
EWS    ISHARES-SIN  EWS US 05/19/12 C13      -15.7  13.7   0.20  -33.3    500
ILMN   ILLUMINA IN  ILMN US 06/16/12 P45     -15.3  45.1   1.40  -49.1    305
GCI    GANNETT CO   GCI US 04/21/12 P13      -15.2  42.7   0.10  100.0    823
ILMN   ILLUMINA IN  ILMN US 04/21/12 P50     -15.1  37.7   1.10  -45.0   6310
ILMN   ILLUMINA IN  ILMN US 06/16/12 P47     -14.9  43.5   1.95  -40.9    296
HOG    HARLEY-DAVI  HOG US 04/21/12 P48      -14.9  27.1   1.12    2.8    668
HOG    HARLEY-DAVI  HOG US 04/21/12 C50      -14.9  25.2   0.61  -39.6    262
RHT    RED HAT INC  RHT US 04/21/12 C55      -14.8  34.1   4.70  526.7   2032
DEER   DEER CONSUM  DEER US 06/16/12 P2.5    -14.7  85.1   0.10  -50.0    388
HOG    HARLEY-DAVI  HOG US 04/21/12 C48      -14.6  27.3   1.55  -35.4    322
HOG    HARLEY-DAVI  HOG US 04/21/12 C49      -14.4  26.2   1.02  -31.5    469
MOS    MOSAIC CO/T  MOS US 04/21/12 P52.5    -14.2  30.9   0.55   71.9    908
HOG    HARLEY-DAVI  HOG US 04/21/12 P47      -14.1  28.6   0.75   -9.6    386
ILMN   ILLUMINA IN  ILMN US 06/16/12 P48     -14.0  42.4   2.25  -27.4    543
RHT    RED HAT INC  RHT US 04/21/12 P52.5    -13.8  35.0   0.25  -90.9   1282
MTL    MECHEL-SPON  MTL US 05/19/12 P9       -13.7  37.5   0.95   35.7  12073
BBY    BEST BUY CO  BBY US 06/16/12 P22      -13.6  36.1   0.74   76.2    748
EP     EL PASO COR  EP US 04/21/12 C25       -13.4  30.3   4.80    1.1   1102
MOS    MOSAIC CO/T  MOS US 04/21/12 P55      -13.4  29.5   1.30   85.7    503
MOS    MOSAIC CO/T  MOS US 04/21/12 C55      -13.4  30.0   1.95  -50.6    312
SHAW   SHAW GROUP   SHAW US 05/19/12 P32     -13.1  36.5   1.75    0.0    269
BBY    BEST BUY CO  BBY US 06/16/12 C25      -13.1  32.8   1.20  -59.3    236
BBY    BEST BUY CO  BBY US 06/16/12 P23      -13.0  34.8   1.07   84.5    682
XHB    SPDR S&P HO  XHB US 04/21/12 P18      -12.6  38.5   0.04    0.0  15000
BBY    BEST BUY CO  BBY US 06/16/12 P24      -12.6  33.7   1.48   72.1    772
MAPP   MAP PHARMAC  MAPP US 04/21/12 P15     -12.5  60.8   0.75   36.4    306
T      AT&T INC     T US 04/21/12 P32        -12.5  11.1   1.55   30.2    776
RHT    RED HAT INC  RHT US 04/21/12 C60      -12.1  33.9   1.51  843.8   2940
EEM    ISHARES-EMG  EEM US 04/21/12 P32      -11.9  51.4   0.03   50.0    205
ILMN   ILLUMINA IN  ILMN US 04/21/12 P43     -11.7  52.9   0.20  -55.6   2833
BBY    BEST BUY CO  BBY US 06/16/12 P25      -11.6  33.0   1.86   56.3    716
DEER   DEER CONSUM  DEER US 09/22/12 P2.5    -11.1  86.6   0.25  -50.0    555
EWH    ISHARES-HON  EWH US 05/19/12 C18      -10.9  17.1   0.20  -50.0   1084
ILMN   ILLUMINA IN  ILMN US 04/21/12 P49     -10.3  40.1   0.90  -47.1   7405
RHT    RED HAT INC  RHT US 04/21/12 P55      -10.3  35.0   0.55  -87.2   1149

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

-- Bloomberg News

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