Bloomberg News

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

April 03, 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    105.9  18.4   2.44   52.5   2767
CXDC   CHINA XD PL  CXDC US 04/21/12 P5       56.2 202.2   0.95  111.1   1935
CXDC   CHINA XD PL  CXDC US 05/19/12 P5       44.1 168.6   1.10   69.2    686
AYR    AIRCASTLE L  AYR US 04/21/12 C12.5     38.7  36.4   0.35  133.3   1515
CXDC   CHINA XD PL  CXDC US 07/21/12 P5       35.0 121.5   1.35   80.0    223
XLF    SPDR-FINL S  XLF US 04/21/12 C14       32.5  33.9   1.84   -6.1    282
WOR    WORTHINGTON  WOR US 04/21/12 C20       31.6  34.6   0.25  -44.4    445
LIWA   LIHUA INTER  LIWA US 04/21/12 P5       28.1 100.1   0.40  300.0    655
ADS    ALLIANCE DA  ADS US 04/21/12 C130      25.3  24.8   1.50  120.6    206
CXDC   CHINA XD PL  CXDC US 04/21/12 P2.5     25.2 344.0   0.20  100.0   1352
XIN    XINYUAN REA  XIN US 07/21/12 C2.5      25.1 119.6   1.20  -14.3    287
DAN    DANA HOLDIN  DAN US 04/21/12 P15       24.4  41.6   0.10  -60.0    700
PZG    PARAMOUNT G  PZG US 06/16/12 P2.5      23.9  52.7   0.20  -33.3    550
ADS    ALLIANCE DA  ADS US 04/21/12 P120      22.1  29.1   0.85   30.8    303
FMER   FIRSTMERIT   FMER US 04/21/12 C17.5    22.0  28.1   0.20  -50.0    200
QIHU   QIHOO 360 T  QIHU US 04/21/12 C22.5    21.0 105.7   2.20  -33.3   1219
IDTI   INTEGRAT DE  IDTI US 05/19/12 C6       20.5  50.5   1.20   -4.0    300
QCOR   QUESTCOR PH  QCOR US 04/21/12 C37      19.9  59.1   3.40   47.8    249
LLY    ELI LILLY &  LLY US 04/21/12 C38       19.8  16.7   2.56    7.6    300
QCOR   QUESTCOR PH  QCOR US 04/21/12 P37      18.9  61.8   1.05  -16.0   1007
OPTR   OPTIMER PHA  OPTR US 04/21/12 C10      18.8  99.0   4.60    4.5    204
PZG    PARAMOUNT G  PZG US 05/19/12 P2.5      18.2  46.6   0.15  -40.0    432
PZG    PARAMOUNT G  PZG US 09/22/12 C2.5      17.2  67.0   0.50   66.7  21536
UA     UNDER ARMOU  UA US 04/21/12 C97.5      16.5  42.2   3.80   47.9    293
LORL   LORAL SPACE  LORL US 04/21/12 C30      16.5 286.2  49.60    0.2    202
PZG    PARAMOUNT G  PZG US 06/16/12 C2.5      16.3  59.0   0.30   66.7    469
SRE    SEMPRA ENER  SRE US 07/21/12 C62.5     16.2  13.2   1.35   40.6    628
ETP    ENERGY TRAN  ETP US 05/19/12 C45       15.8  18.2   1.75   -7.9    713
SIRI   SIRIUS XM R  SIRI US 01/19/13 C1.5     15.8  46.4   0.87   -6.5    501
UA     UNDER ARMOU  UA US 04/21/12 P87.5      15.4  48.0   0.70   16.7    346
FRAN   FRANCESCAS   FRAN US 04/21/12 C30      15.2  45.2   3.00    9.1    300
MMI    MOTOROLA MO  MMI US 07/21/12 C38       15.0  14.6   1.80    0.0    247
MMI    MOTOROLA MO  MMI US 07/21/12 C39       14.7  10.4   0.90    0.0   1446
UA     UNDER ARMOU  UA US 04/21/12 P97.5      14.5  41.7   3.20   -8.6    275
JPM    JPMORGAN CH  JPM US 04/21/12 C43       14.5  31.0   2.78  -13.1    604
UA     UNDER ARMOU  UA US 04/21/12 P90        14.5  45.6   1.00   -4.8    285
UA     UNDER ARMOU  UA US 04/21/12 C100       14.3  40.8   2.55   59.4    439
MRGE   MERGE HEALT  MRGE US 04/21/12 C5       14.0  61.3   0.25  -75.0    234
CMCSA  COMCAST COR  CMCSA US 04/21/12 C25     13.9  40.5   4.75   -5.6    200
M      MACY'S INC   M US 04/21/12 C42         13.4  22.5   0.45  150.0   1744
QIHU   QIHOO 360 T  QIHU US 04/21/12 P17.5    13.4 152.3   0.80  128.6    700
IVN    IVANHOE MIN  IVN US 05/19/12 P15       13.4  53.6   1.35   92.9    310
QQQ    POWERSH-QQQ  QQQ US 04/21/12 C66       13.3  17.3   2.59    4.0   1924
FSIN   FUSHI COPPE  FSIN US 04/21/12 P2.5     13.2 331.3   0.10    0.0    474
PEP    PEPSICO INC  PEP US 04/21/12 C65       13.2  10.9   1.90    5.6    467
MDVN   MEDIVATION   MDVN US 04/21/12 P60      13.2  72.4   0.20  100.0    201
M      MACY'S INC   M US 04/21/12 P41         13.1  23.4   0.75  -33.0   1018
XLY    SPDR-CONS D  XLY US 04/21/12 C44       13.0  16.0   1.52    2.0   2000
SPRD   SPREADTRUM-  SPRD US 05/19/12 C15      12.8  52.7   2.30    9.5    215
QIHU   QIHOO 360 T  QIHU US 04/21/12 P22.5    12.4 116.5   2.15   95.5    326
NUS    NU SKIN ENT  NUS US 04/21/12 P55       12.3  36.5   1.80   89.5   1752
AMZN   AMAZON.COM   AMZN US 04/21/12 C190     11.8  33.9  12.80   24.3    783
M      MACY'S INC   M US 04/21/12 C41         11.7  23.2   0.92   91.7    900
IVN    IVANHOE MIN  IVN US 04/21/12 P15       11.6  49.4   0.90  157.1    652
FAST   FASTENAL CO  FAST US 05/19/12 C55      11.4  26.3   1.40  -15.2   3406
KMI    KINDER MORG  KMI US 05/19/12 C40       11.4  20.9   1.00  100.0   3543
CXDC   CHINA XD PL  CXDC US 05/19/12 P2.5     11.4 236.1   0.30   50.0    251
BAC    BANK OF AME  BAC US 04/21/12 C9        11.1  49.1   0.72  -10.0   6071
BAC    BANK OF AME  BAC US 04/21/12 P8        10.9  59.8   0.04   33.3    243
QIHU   QIHOO 360 T  QIHU US 04/21/12 P20      10.7 131.3   1.25   78.6   1592
SHLD   SEARS HOLDI  SHLD US 04/21/12 C70      10.7  63.6   3.05   48.8    493
KMI    KINDER MORG  KMI US 04/21/12 C40       10.5  24.1   0.75   87.5   3003
XLP    SPDR-CONS S  XLP US 04/21/12 C34       10.4   9.9   0.45    0.0    233
AMZN   AMAZON.COM   AMZN US 04/21/12 C185     10.1  36.4  17.95   24.6   1234
AMZN   AMAZON.COM   AMZN US 04/21/12 C185     10.1  36.4  17.95   24.6   1234
QIHU   QIHOO 360 T  QIHU US 05/19/12 P12.5    10.1 166.1   0.80   33.3    435
RHT    RED HAT INC  RHT US 04/21/12 C49       10.1  48.1  12.58   11.3    312
AMZN   AMAZON.COM   AMZN US 04/21/12 P210     10.1  30.5  11.00  -17.3    631

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
NAVB   NAVIDEA BIO  NAVB US 07/21/12 C3      -47.7  44.5   0.25  -64.3   1629
MTG    MGIC INVT C  MTG US 04/21/12 P3       -36.0 138.6   0.01  -80.0    272
NAVB   NAVIDEA BIO  NAVB US 07/21/12 P2      -33.9  86.2   0.10  -60.0    462
NAVB   NAVIDEA BIO  NAVB US 07/21/12 P3      -30.0  87.6   0.64   -8.6    291
DANG   E-COMMERCE   DANG US 04/21/12 C7      -29.3  61.2   1.91    3.2    360
CSCO   CISCO SYSTE  CSCO US 04/21/12 C19     -26.5  27.8   2.06   -7.2    483
CVI    CVR ENERGY   CVI US 04/21/12 C30      -25.3  28.4   0.20  300.0    341
SIRI   SIRIUS XM R  SIRI US 04/21/12 C2      -24.2  51.9   0.35  -12.5    594
JPM    JPMORGAN CH  JPM US 04/21/12 C38      -23.1  46.3   7.50   -8.3    345
SXCI   SXC HEALTH   SXCI US 04/21/12 C80     -22.0  28.1   0.75 1400.0    212
ZION   ZIONS BANCO  ZION US 04/21/12 P16     -19.9  64.6   0.03   50.0    597
VMED   VIRGIN MEDI  VMED US 04/21/12 C25     -19.8  21.9   0.66  -22.4   2233
QQQ    POWERSH-QQQ  QQQ US 04/21/12 P71      -18.3  11.9   2.66   -6.0    467
AGNC   AMERICAN CA  AGNC US 04/21/12 C30     -16.7   7.5   0.26   36.8   1534
FXA    CRYSHS-AUS   FXA US 04/21/12 P103     -16.6  10.0   0.65  -23.5    250
VZ     VERIZON COM  VZ US 04/21/12 P40       -16.3  13.4   2.03    1.0   1301
XLF    SPDR-FINL S  XLF US 04/21/12 P13      -15.5  39.7   0.01  -50.0    412
AH     ACCRETIVE H  AH US 06/16/12 C20       -15.4  39.1   1.45   -6.5    490
GRPN   GROUPON INC  GRPN US 10/20/12 P5      -15.4  96.9   0.10  -33.3    200
AET    AETNA INC    AET US 04/21/12 P31      -15.2  87.9   0.02  -75.0    270
CVI    CVR ENERGY   CVI US 05/19/12 C30      -14.9  32.0   0.80   45.5   1932
TZA    DIR SMCAP B  TZA US 04/21/12 C14      -14.4  49.7   3.15   -1.6   1500
JPM    JPMORGAN CH  JPM US 06/16/12 C35      -13.8  35.8  10.50   -6.1    381
AGNC   AMERICAN CA  AGNC US 04/21/12 P30     -13.7   8.2   0.13  -61.8    286
ERF    ENERPLUS CO  ERF US 05/19/12 C21      -13.5  24.6   1.60  -23.8    220
RIMM   RESEARCH IN  RIMM US 04/21/12 P12     -13.4  59.1   0.14   27.3   8932
CSCO   CISCO SYSTE  CSCO US 04/21/12 P18     -12.5  35.2   0.01  -50.0   2852
FSIN   FUSHI COPPE  FSIN US 06/16/12 P2.5    -12.5 206.3   0.25  -28.6    239
SPY    SPDR S&P 50  SPY US 04/21/12 P146     -12.1  10.8   4.67    4.0    414
JPM    JPMORGAN CH  JPM US 01/19/13 C25      -12.1  42.1  20.55   -2.6    334
RIMM   RESEARCH IN  RIMM US 04/21/12 P11     -11.9  70.2   0.06  -14.3    780
AZO    AUTOZONE IN  AZO US 04/21/12 C400     -11.6  13.8   0.55   66.7    442
CETV   CENTRAL EUR  CETV US 04/21/12 C7.5    -11.5  70.3   0.60  -50.0    270
CHK    CHESAPEAKE   CHK US 04/21/12 C21      -11.2  40.6   1.95  -17.7    325
EWP    ISHARES-SPA  EWP US 05/19/12 P28      -11.1  31.6   1.10   37.5    500
MITK   MITEK SYSTE  MITK US 04/21/12 P7.5    -11.1 102.2   0.30    0.0    317
GE     GENERAL ELE  GE US 04/21/12 C19       -10.9  22.1   1.01   -8.2    779
ALU    ALCATEL-LUC  ALU US 06/16/12 C2       -10.8  68.0   0.50   11.1    355
AVP    AVON PRODUC  AVP US 04/21/12 P22      -10.4  32.4   0.45    0.0   2485
LNG    CHENIERE EN  LNG US 04/21/12 C16      -10.2  65.8   0.85    6.2    430

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

-- Bloomberg News

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