Bloomberg News

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

March 30, 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 3:00 p.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 500 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
=============================================================================
LIZ    LIZ CLAIBOR  LIZ US 04/21/12 C13       81.1  78.7   1.30  900.0   2033
LIZ    LIZ CLAIBOR  LIZ US 04/21/12 P13       77.1  75.8   0.70  -36.4    770
FDO    FAMILY DOLL  FDO US 04/21/12 C60       57.4  26.9   4.17  317.0   1234
FDO    FAMILY DOLL  FDO US 04/21/12 C62.5     52.4  25.3   2.00 1233.3    911
FDO    FAMILY DOLL  FDO US 05/19/12 C62.5     48.9  26.0   3.15  950.0    798
LIZ    LIZ CLAIBOR  LIZ US 04/21/12 C14       48.1  82.4   1.00 1566.7   1562
CTAS   CINTAS CORP  CTAS US 04/21/12 C35      43.7  31.3   4.30    7.5    612
LIZ    LIZ CLAIBOR  LIZ US 05/19/12 C14       42.2  75.2   1.35  350.0    523
FDO    FAMILY DOLL  FDO US 04/21/12 P62.5     40.4  24.2   0.80  -79.5   1272
DANG   E-COMMERCE   DANG US 04/21/12 C7       39.5  96.0   1.18   47.5   7486
OAS    OASIS PETRO  OAS US 04/21/12 C25       38.5  48.2   5.70   26.7    500
FDO    FAMILY DOLL  FDO US 07/21/12 C65       36.4  26.0   2.37  233.8    556
TD     TORONTO-DOM  TD US 04/21/12 C80        34.6  22.6   4.90   25.6   5531
TD     TORONTO-DOM  TD US 04/21/12 C77.5      32.0  31.5   7.50   15.4   3258
KIM    KIMCO REALT  KIM US 04/21/12 C17.5     31.9  38.0   1.90    3.3   1200
TWER   TOWERSTREAM  TWER US 04/21/12 C5       31.1 119.5   0.50  194.1   1064
FDO    FAMILY DOLL  FDO US 10/20/12 C65       30.1  24.6   3.20  190.9    646
TLT    ISHARES BAR  TLT US 04/21/12 P116      30.1  17.6   4.00   36.0   1177
TLT    ISHARES BAR  TLT US 04/21/12 P116      30.1  17.6   4.00   36.0   1177
CEDC   CENTRAL EUR  CEDC US 04/21/12 P4       26.5 143.7   0.20    0.0   1213
MFA    MFA FINANCI  MFA US 04/21/12 C7        26.5  41.2   0.50   -9.1   3057
TWER   TOWERSTREAM  TWER US 06/16/12 C5       24.9 105.0   0.85  183.3   3301
T      AT&T INC     T US 04/21/12 C29         24.7  25.0   2.24    5.2    716
THLD   THRESHOLD P  THLD US 04/21/12 C7.5     24.4 110.2   1.70   36.0   1991
EPI    WISDOMTREE   EPI US 04/21/12 C19       23.5  26.6   0.60   71.4    552
HTZ    HERTZ GLOBA  HTZ US 04/21/12 C14       22.8  45.3   1.25   -7.4    500
RIMM   RESEARCH IN  RIMM US 07/21/12 P12      22.5  62.1   0.79  -41.5    882
EEM    ISHARES-EMG  EEM US 12/22/12 P35       22.1  30.8   1.53   -9.5    694
TLT    ISHARES BAR  TLT US 04/21/12 P115      22.0  16.9   3.40   49.8   2077
DELL   DELL INC     DELL US 01/18/14 C5       21.7  52.4  11.85    1.3    640
LO     LORILLARD I  LO US 04/21/12 C130       21.1  23.1   3.10    0.0    865
EPI    WISDOMTREE   EPI US 04/21/12 P19       19.8  28.1   0.40  -33.3    527
RAI    REYNOLDS AM  RAI US 04/21/12 P42       19.7  14.5   1.14    8.6   2096
TLT    ISHARES BAR  TLT US 04/21/12 P114      18.8  16.7   2.65   55.0    922
OAS    OASIS PETRO  OAS US 04/21/12 C22.5     18.5  72.3   7.60  -11.6    500
RNDY   ROUNDY'S IN  RNDY US 06/16/12 C10      18.3  47.7   1.35    0.0    500
THLD   THRESHOLD P  THLD US 04/21/12 P7.5     16.9 107.9   0.35    0.0    999
DANG   E-COMMERCE   DANG US 04/21/12 C8       16.5  76.6   0.50  100.0   1006
MO     ALTRIA GROU  MO US 04/21/12 C30        16.5  15.8   1.04   50.7   2076
SYY    SYSCO CORP   SYY US 05/19/12 C28       16.3  19.0   1.90    8.0   1296
MHS    MEDCO HEALT  MHS US 04/21/12 C65       16.1  52.9   6.40    1.6   1217
GRPN   GROUPON INC  GRPN US 04/21/12 P15      15.9  79.3   0.20  -13.0   1233
THLD   THRESHOLD P  THLD US 05/19/12 P7.5     15.8 103.5   0.70   27.3    564
MHS    MEDCO HEALT  MHS US 04/21/12 P65       15.8  51.6   1.52   52.0   3217
MHS    MEDCO HEALT  MHS US 04/21/12 C72.5     15.8  38.0   1.55   19.2   3746
ARNA   ARENA PHARM  ARNA US 05/19/12 P1       15.8 239.9   0.07   16.7   2000
MO     ALTRIA GROU  MO US 04/21/12 P30        15.8  15.6   0.14  -33.3   2102
XCO    EXCO RESOUR  XCO US 04/21/12 P6        15.4  69.8   0.15    0.0    561
CMCSA  COMCAST COR  CMCSA US 04/21/12 C27     15.1  29.7   2.92   12.3  70412
S      SPRINT NEXT  S US 08/18/12 C1.5        15.0  90.5   1.58   12.9    521
COV    COVIDIEN PL  COV US 04/21/12 C45       14.9  49.8   9.60   -4.0   2310
VXX    IPATH-S&P S  VXX US 04/21/12 C16       14.9  77.7   1.66  -12.6    593
PXD    PIONEER NAT  PXD US 04/21/12 C105      14.7  38.3   8.17  164.4   2624
WLP    WELLPOINT I  WLP US 04/21/12 P65       14.6  31.5   0.10  -33.3    828
GILD   GILEAD SCIE  GILD US 04/21/12 P40      14.3  53.9   0.18   20.0   5014
CMCSA  COMCAST COR  CMCSA US 04/21/12 C25     14.3  46.4   4.90    7.5  35730
TLT    ISHARES BAR  TLT US 04/21/12 P113      14.2  16.5   2.01   57.0   3410
MHS    MEDCO HEALT  MHS US 05/19/12 C70       14.1  32.4   3.40   13.3    876
AVP    AVON PRODUC  AVP US 04/21/12 C18       13.9  27.9   1.50   28.2   1815
ILMN   ILLUMINA IN  ILMN US 05/19/12 C52.5    13.9  38.1   3.00    5.3   3248
CMCSA  COMCAST COR  CMCSA US 04/21/12 C23     13.5  63.4   6.90   -3.2  50130
MHS    MEDCO HEALT  MHS US 04/21/12 P67.5     13.5  45.6   2.00   29.0    819
KMI    KINDER MORG  KMI US 06/16/12 C40       13.4  18.9   0.65  -13.3   2479
GILD   GILEAD SCIE  GILD US 04/21/12 P41      13.1  49.8   0.20   17.6    568
THLD   THRESHOLD P  THLD US 04/21/12 C5       13.0 144.5   3.90   14.7    668
VXX    IPATH-S&P S  VXX US 04/21/12 C17       13.0  83.0   1.24   -6.1   1465
CMCSK  COMCAST COR  CMCSK US 04/21/12 C27     12.8  26.3   2.45   -3.2  10750
BYD    BOYD GAMING  BYD US 05/19/12 C8        12.7  54.0   0.55  -21.4   3216
MHS    MEDCO HEALT  MHS US 04/21/12 C70       12.6  40.5   2.65    6.0   1283
CE     CELANESE CO  CE US 04/21/12 C47.5      12.4  33.0   0.80   14.3    836
SCHW   SCHWAB (CHA  SCHW US 05/19/12 P13      12.3  37.4   0.25  108.3   7480
ILMN   ILLUMINA IN  ILMN US 05/19/12 C50      12.1  41.1   4.50    9.8   1037
TSS    TOTAL SYS S  TSS US 04/21/12 P22.5     12.1  18.3   0.20  -33.3    676
CI     CIGNA CORP   CI US 04/21/12 P40        11.9  47.5   0.07  -36.4    536
TEVA   TEVA PHARM-  TEVA US 04/21/12 P40      11.8  32.4   0.08  -20.0   6523
FDO    FAMILY DOLL  FDO US 04/21/12 C65       11.8  24.6   0.85  750.0   5798
VXX    IPATH-S&P S  VXX US 04/21/12 C15       11.8  74.0   2.10  -19.5   1190
LO     LORILLARD I  LO US 04/21/12 P125       11.6  25.9   1.22   27.1   2922
VXX    IPATH-S&P S  VXX US 05/19/12 C16       11.6  80.2   2.33   -8.3   1691
IOC    INTEROIL CO  IOC US 04/21/12 P45       11.5  74.0   1.50  200.0   1157
OMC    OMNICOM GRO  OMC US 04/21/12 C50       11.5  21.7   1.20   14.3    859
TLT    ISHARES BAR  TLT US 04/21/12 P112      11.4  16.6   1.54   65.6   3093
MHS    MEDCO HEALT  MHS US 06/16/12 P60       11.4  38.7   1.10   46.7   1020
SIRI   SIRIUS XM R  SIRI US 01/19/13 C1       11.3  66.4   1.31    8.3   1051
GCI    GANNETT CO   GCI US 04/21/12 P15       11.3  38.2   0.40  -35.5   3639
KO     COCA-COLA C  KO US 04/21/12 P72.5      11.3  13.7   0.48   26.3   2631
STD    BANCO SANTA  STD US 04/21/12 P8        11.3  52.4   0.54  -20.6   1630
KSS    KOHLS CORP   KSS US 04/21/12 C52.5     11.2  22.6   0.32   68.4   5478
RAI    REYNOLDS AM  RAI US 04/21/12 P41       11.2  15.2   0.45  -30.8    658
VXX    IPATH-S&P S  VXX US 05/19/12 C17       11.2  82.7   1.95   -8.4   1151
PXD    PIONEER NAT  PXD US 05/19/12 P95       11.1  44.3   1.49  -38.9   1680
TLT    ISHARES BAR  TLT US 04/21/12 P111      11.1  16.9   1.15   64.3   2862
TLT    ISHARES BAR  TLT US 04/21/12 P111      11.1  16.9   1.15   64.3   2862
ILMN   ILLUMINA IN  ILMN US 05/19/12 P49      11.0  42.6   1.70   10.4   1180
RAI    REYNOLDS AM  RAI US 04/21/12 C42       10.7  14.5   0.40  100.0    643
GRPN   GROUPON INC  GRPN US 04/21/12 P18      10.5  71.2   0.85  -32.0   1088
GRPN   GROUPON INC  GRPN US 05/19/12 P13      10.4  89.6   0.35    0.0   2057
BLL    BALL CORP    BLL US 05/19/12 C44       10.4  17.3   0.50   11.1   1500
CMCSK  COMCAST COR  CMCSK US 04/21/12 C22     10.4  79.3   7.50  150.0   1610
YHOO   YAHOO! INC   YHOO US 04/21/12 P13      10.3  43.1   0.04  100.0   2861
PAY    VERIFONE SY  PAY US 04/21/12 C52.5     10.2  29.7   1.21   15.2   2740
FIG    FORTRESS IN  FIG US 05/19/12 P3        10.1  47.9   0.05    0.0    530
GRPN   GROUPON INC  GRPN US 04/21/12 P17      10.1  70.9   0.50  -33.3   1178

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
RIMM   RESEARCH IN  RIMM US 06/16/12 P10     -46.0  66.7   0.19  -51.3    943
FINL   FINISH LINE  FINL US 04/21/12 C22.5   -44.0  33.8   0.35  -89.7   1702
TLT    ISHARES BAR  TLT US 04/21/12 C107     -39.4  13.3   6.45   -7.9   1017
XRTX   XYRATEX LTD  XRTX US 04/21/12 P15     -38.4  39.6   0.25   25.0    646
RIMM   RESEARCH IN  RIMM US 04/21/12 P13     -35.1  59.9   0.24  -73.3  73138
RIMM   RESEARCH IN  RIMM US 04/21/12 C14     -34.1  57.1   1.13    2.7  14055
RIMM   RESEARCH IN  RIMM US 04/21/12 C13     -33.6  61.5   1.95   19.6   6294
TIBX   TIBCO SOFTW  TIBX US 04/21/12 C31     -33.4  33.2   0.75  -66.4    608
RIMM   RESEARCH IN  RIMM US 04/21/12 P14     -33.1  57.5   0.50  -63.5  18240
RIMM   RESEARCH IN  RIMM US 04/21/12 P15     -31.8  56.5   1.00  -48.2   4165
RIMM   RESEARCH IN  RIMM US 04/21/12 C15     -31.8  56.4   0.63   -1.6  15883
TIBX   TIBCO SOFTW  TIBX US 04/21/12 P30     -30.7  31.7   0.50    4.2   1289
RIMM   RESEARCH IN  RIMM US 04/21/12 P12     -29.2  67.2   0.12  -77.4   7696
STD    BANCO SANTA  STD US 04/21/12 P7       -27.2  34.9   0.05  -66.7   1011
RIMM   RESEARCH IN  RIMM US 06/16/12 P14     -27.1  55.3   1.10  -38.5   1876
RIMM   RESEARCH IN  RIMM US 04/21/12 C12     -26.7  67.8   2.76   22.7   2747
RIMM   RESEARCH IN  RIMM US 05/19/12 P13     -24.9  56.4   0.51  -55.3   4999
BBVA   BANCO BILBA  BBVA US 04/21/12 P8      -24.8  35.1   0.35  -30.0   1000
RIMM   RESEARCH IN  RIMM US 06/16/12 C14     -24.4  55.6   1.85   19.4   3331
RIMM   RESEARCH IN  RIMM US 05/19/12 C13     -23.8  56.6   2.11   12.8    573
RIMM   RESEARCH IN  RIMM US 05/19/12 P12     -22.9  60.1   0.29  -63.3   4566
RIMM   RESEARCH IN  RIMM US 05/19/12 P11     -22.5  63.8   0.16  -67.3    744
RIMM   RESEARCH IN  RIMM US 05/19/12 C14     -22.0  54.4   1.46   14.1   3609
RIMM   RESEARCH IN  RIMM US 05/19/12 P15     -20.9  53.1   1.38  -35.8    681
RIMM   RESEARCH IN  RIMM US 09/22/12 C14     -20.7  57.0   2.38    9.2   5174
TIBX   TIBCO SOFTW  TIBX US 05/19/12 P31     -19.6  31.4   1.70   40.5    894
ARNA   ARENA PHARM  ARNA US 04/21/12 P2.5    -19.5 124.8   0.12  -36.8   1101
RIMM   RESEARCH IN  RIMM US 05/19/12 C15     -19.5  53.5   0.97   12.8   2793
RIMM   RESEARCH IN  RIMM US 05/19/12 P10     -18.7  69.9   0.10  -65.5    991
KITD   KIT DIGITAL  KITD US 04/21/12 C5      -18.3 161.5   2.60    4.0    626
UAL    UNITED CONT  UAL US 04/21/12 C19      -18.2  49.7   2.75  -21.4  10210
AMLN   AMYLIN PHAR  AMLN US 01/19/13 C10     -17.9  50.3  15.00    1.4    531
KO     COCA-COLA C  KO US 04/21/12 C72.5     -17.2  13.6   1.83    1.7    687
HOV    HOVNANIAN E  HOV US 01/19/13 C2       -17.0  49.6   0.70  -17.6    545
KMI    KINDER MORG  KMI US 04/21/12 C37.5    -16.9  11.5   1.18  -23.9   2276
BMY    BRISTOL-MYE  BMY US 04/21/12 C33      -16.9  11.9   0.83   29.7   1048
TIBX   TIBCO SOFTW  TIBX US 05/19/12 C30     -16.7  32.4   1.85  -48.6    593
RIMM   RESEARCH IN  RIMM US 04/21/12 P11     -16.5  77.5   0.07  -74.1  31868
PBY    PEP BOYS MM  PBY US 04/21/12 C15      -16.0   5.0   0.05    0.0   1100
RIMM   RESEARCH IN  RIMM US 05/19/12 P9      -15.6  77.0   0.06  -66.7   1659
RIMM   RESEARCH IN  RIMM US 06/16/12 C15     -15.4  54.7   1.30   16.1  10783
RIMM   RESEARCH IN  RIMM US 09/22/12 P14     -14.9  57.6   1.90  -25.2   5661
ARNA   ARENA PHARM  ARNA US 04/21/12 C3      -14.7 127.9   0.39  -13.3    595
KO     COCA-COLA C  KO US 05/19/12 C72.5     -14.4  12.4   2.18   -0.9   1012
RIMM   RESEARCH IN  RIMM US 07/21/12 P15     -13.9  58.0   2.10  -24.2   1118
RTN    RAYTHEON CO  RTN US 04/21/12 C50      -13.9  17.5   2.65    7.3   3811
RHT    RED HAT INC  RHT US 04/21/12 C60      -13.5  29.8   1.75  -37.5    515
RIMM   RESEARCH IN  RIMM US 06/16/12 P11     -13.5  62.7   0.30  -51.6    564
RHT    RED HAT INC  RHT US 04/21/12 P57.5    -13.4  30.6   0.75   25.0   1826
UAL    UNITED CONT  UAL US 04/21/12 P20      -13.3  46.9   0.35   12.9    564
RIMM   RESEARCH IN  RIMM US 06/16/12 P12     -13.2  59.2   0.47  -48.9   1686
RHT    RED HAT INC  RHT US 04/21/12 P60      -13.1  30.2   1.65   17.9   1402
HDY    HYPERDYNAMI  HDY US 01/19/13 C1       -13.0  94.5   0.50  -23.1    515
HLF    HERBALIFE L  HLF US 05/19/12 P65      -13.0  36.4   1.95  -17.0   1217
HLF    HERBALIFE L  HLF US 05/19/12 P62.5    -12.8  37.7   1.25  -24.2    626
RIMM   RESEARCH IN  RIMM US 07/21/12 P14     -12.5  59.4   1.55  -31.7   2182
CPB    CAMPBELL SO  CPB US 05/19/12 C33      -12.5  10.7   0.85   54.5    638
UAL    UNITED CONT  UAL US 04/21/12 C21      -12.4  44.1   1.25  -37.8    643
RTN    RAYTHEON CO  RTN US 04/21/12 P52.5    -12.3  13.8   0.96  -16.5    841
XRX    XEROX CORP   XRX US 04/21/12 P8       -12.2  20.5   0.13  -23.5    681
UAL    UNITED CONT  UAL US 04/21/12 P21      -12.1  44.5   0.64   30.6    903
RIMM   RESEARCH IN  RIMM US 07/21/12 C15     -11.9  58.3   1.72    6.2   1809
YNDX   YANDEX NV-A  YNDX US 04/21/12 C26     -11.8  33.8   1.35   92.9    600
SDS    PRO ULTSHRT  SDS US 04/21/12 P14      -11.5  24.2   0.05  -16.7   2054
EPB    EL PASO PIP  EPB US 06/16/12 C35      -11.4  15.9   0.55   22.2   1062
CAST   CHINACAST E  CAST US 09/22/12 C2.5    -10.9 121.5   2.35    0.0    915
MCP    MOLYCORP IN  MCP US 04/21/12 C30      -10.9  35.3   4.00  -11.1    646
UAL    UNITED CONT  UAL US 04/21/12 C22      -10.8  43.0   0.69  -44.8    622
RTN    RAYTHEON CO  RTN US 05/19/12 C52.5    -10.7  18.0   1.20  -16.7  12449
RTN    RAYTHEON CO  RTN US 05/19/12 C50      -10.7  19.7   2.78   -2.1   4495
POT    POTASH CORP  POT US 04/21/12 C47.5    -10.5  30.7   0.65   10.2   1819
COG    CABOT OIL &  COG US 04/21/12 C32.5    -10.4  40.3   0.80   45.5    513
S      SPRINT NEXT  S US 05/19/12 P2.5       -10.4  63.0   0.10    0.0   2950
TLT    ISHARES BAR  TLT US 04/21/12 C112     -10.2  13.6   1.72  -34.9    838
VNQ    VANGUARD RE  VNQ US 05/19/12 C65      -10.2  12.7   0.65    8.3    705
BBY    BEST BUY CO  BBY US 04/21/12 P22      -10.2  32.7   0.16   45.5   1316
VVUS   VIVUS INC    VVUS US 04/21/12 C23     -10.1 165.9   3.30    6.5   1669

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

-- Bloomberg News

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