Bloomberg News

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

May 22, 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
=============================================================================
EP     EL PASO COR  EP US 06/16/12 C25        82.6  35.0   4.55    0.0    770
RA     RAILAMERICA  RA US 06/16/12 C22.5      62.5  46.5   1.30  188.9    568
PCX    PATRIOT COA  PCX US 06/16/12 C2        58.7 283.9   0.85  -38.9   4126
PCX    PATRIOT COA  PCX US 06/16/12 P2        53.7 288.8   0.47  422.2  17907
PCX    PATRIOT COA  PCX US 09/22/12 P2        52.5 201.9   0.78  160.0   3821
PCX    PATRIOT COA  PCX US 09/22/12 C2        51.4 202.5   1.12  -31.3   1570
BPAX   BIOSANTE PH  BPAX US 09/22/12 C0.5     50.4 139.0   0.15   50.0    502
PCX    PATRIOT COA  PCX US 09/22/12 P1        45.7 240.8   0.31  244.4   3245
BPAX   BIOSANTE PH  BPAX US 06/16/12 C0.5     44.6 158.6   0.05  -50.0   1478
BPAX   BIOSANTE PH  BPAX US 12/22/12 C0.5     42.5 123.2   0.20   33.3   1216
BPZ    BPZ RESOURC  BPZ US 06/16/12 C2        40.4 119.8   1.00  156.4   1000
PCX    PATRIOT COA  PCX US 12/22/12 P2        37.9 166.9   0.81   92.9   5530
HMA    HEALTH MGMT  HMA US 07/21/12 C6        37.2  60.5   0.80    0.0    539
PCX    PATRIOT COA  PCX US 01/19/13 P1        31.7 190.0   0.35  150.0   1122
DRYS   DRYSHIPS IN  DRYS US 06/16/12 P2       29.8 100.5   0.10    0.0   1071
PCX    PATRIOT COA  PCX US 12/22/12 P1        29.8 194.2   0.32  128.6    907
UNG    US NAT GAS   UNG US 01/19/13 P13       21.7  60.5   0.92   -7.1    765
EWZ    ISHARES-BRA  EWZ US 07/21/12 C52       18.8  33.4   2.24  -18.8    683
EWZ    ISHARES-BRA  EWZ US 07/21/12 C52.5     18.5  32.7   1.98  -10.8    501
EWZ    ISHARES-BRA  EWZ US 07/21/12 C53       17.9  32.1   1.73  -17.2    534
JRCC   JAMES RIVER  JRCC US 06/16/12 P3       16.2 143.9   0.35   75.0   2743
GRPN   GROUPON INC  GRPN US 06/16/12 C9       16.0  65.6   2.90  -14.7    814
ACI    ARCH COAL I  ACI US 06/16/12 C7        15.9  88.9   0.75  -24.2   3471
ACI    ARCH COAL I  ACI US 06/16/12 P7        15.4  88.0   0.55   77.4  14977
ACI    ARCH COAL I  ACI US 07/21/12 P6        14.9  89.2   0.46   70.4    570
GA     GIANT INTER  GA US 10/20/12 C5         14.1  38.0   0.55   37.5    728
PPC    PILGRIM'S P  PPC US 09/22/12 C5        13.9  71.6   3.00    3.5   1000
ACI    ARCH COAL I  ACI US 07/21/12 P7        13.6  81.2   0.83   53.7   2445
RAX    RACKSPACE H  RAX US 06/16/12 C42       13.5  63.0  10.45   27.4    500
GRPN   GROUPON INC  GRPN US 06/16/12 C11      13.5  44.8   1.17  -22.0    807
ACI    ARCH COAL I  ACI US 06/16/12 P6        13.1  97.3   0.24  140.0  13041
FGP    FERRELLGAS-  FGP US 06/16/12 P15       11.7 110.9   1.50    0.0   1312
NEE    NEXTERA ENE  NEE US 06/16/12 C60       11.6  24.0   5.70    9.0    500
BTU    PEABODY ENE  BTU US 06/16/12 P22       11.6  69.8   0.83   38.3   4987
JRCC   JAMES RIVER  JRCC US 12/22/12 P2       11.4 155.1   0.65   30.0   1056
BTU    PEABODY ENE  BTU US 06/16/12 P21       11.3  73.8   0.70   59.1   4169
BTU    PEABODY ENE  BTU US 06/16/12 C23       11.0  66.4   1.90  -22.4   1028
VXX    IPATH-S&P S  VXX US 07/21/12 P15       11.0  71.9   0.50   66.7    636
BTU    PEABODY ENE  BTU US 06/16/12 C24       10.7  63.2   1.46  -17.1    826
MPEL   MELCO CROWN  MPEL US 06/16/12 C11      10.6  72.4   1.75    8.7   6083
XCO    EXCO RESOUR  XCO US 06/16/12 C7        10.5  70.1   0.90    5.9   1299
VXX    IPATH-S&P S  VXX US 09/22/12 P15       10.4  79.3   1.31   32.3   1046
EEM    ISHARES-EMG  EEM US 06/22/13 C32       10.4  35.6   8.10    0.0    910
BTU    PEABODY ENE  BTU US 06/16/12 P23       10.3  65.5   1.22   47.0   7109
HGSI   HUMAN GENOM  HGSI US 07/21/12 C11      10.1  68.2   3.40  -10.5    600

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
CVC    CABLEVISION  CVC US 01/19/13 P5       -51.7  84.5   0.02    0.0    900
BBY    BEST BUY CO  BBY US 06/16/12 C18      -45.2  43.3   0.99  -36.5   3166
BBY    BEST BUY CO  BBY US 06/16/12 C19      -44.8  42.4   0.51  -52.8   3919
BBY    BEST BUY CO  BBY US 06/16/12 P19      -44.6  42.3   1.14  -42.4   2724
BBY    BEST BUY CO  BBY US 06/16/12 P18      -43.8  44.5   0.64  -55.9   4268
BBY    BEST BUY CO  BBY US 06/16/12 P17      -42.1  47.7   0.35  -65.3   6266
EXPR   EXPRESS INC  EXPR US 06/16/12 P17.5   -40.5  41.4   1.15  666.7    698
BBY    BEST BUY CO  BBY US 06/16/12 P16      -39.2  51.4   0.19  -72.1   2817
BBY    BEST BUY CO  BBY US 06/16/12 P15      -36.5  56.1   0.09  -80.4    524
BBY    BEST BUY CO  BBY US 07/21/12 P18      -35.7  42.9   1.18  -36.2   1409
URBN   URBAN OUTFI  URBN US 06/16/12 C26     -32.7  37.8   2.48   45.9   4753
BBY    BEST BUY CO  BBY US 07/21/12 P17      -32.4  46.2   0.79  -44.4    563
URBN   URBAN OUTFI  URBN US 06/16/12 P27     -32.0  36.2   0.60  -69.1    606
BBY    BEST BUY CO  BBY US 07/21/12 C19      -31.9  40.7   0.86  -34.9    845
RL     RALPH LAURE  RL US 06/16/12 P145      -31.7  35.6   2.73  -62.1    844
VOD    VODAFONE GR  VOD US 06/16/12 C27      -31.4  14.7   0.40  166.7    640
BBY    BEST BUY CO  BBY US 07/21/12 P16      -30.1  49.4   0.52  -50.0   2549
AZO    AUTOZONE IN  AZO US 06/16/12 P360     -29.4  23.5   5.70  -36.2    515
RL     RALPH LAURE  RL US 06/16/12 P140      -28.8  37.9   1.65  -67.7    757
ASNA   ASCENA RETA  ASNA US 06/16/12 C15     -28.1  70.4   4.45    0.0    978
AZO    AUTOZONE IN  AZO US 06/16/12 C380     -26.7  22.5   3.20  -54.3    619
AZO    AUTOZONE IN  AZO US 06/16/12 C370     -26.4  23.3   7.60  -33.9   1066
WSM    WILLIAMS-SO  WSM US 06/16/12 P33      -24.7  38.7   0.45  -55.0    618
MDT    MEDTRONIC I  MDT US 06/16/12 C37      -24.4  21.6   0.80  -44.8   1274
GCO    GENESCO INC  GCO US 06/16/12 C70      -24.3  41.9   4.65    3.3    500
MDT    MEDTRONIC I  MDT US 06/16/12 C38      -24.3  20.4   0.40  -56.5   1522
EWZ    ISHARES-BRA  EWZ US 07/21/12 P51.5    -24.1  29.1   2.99   12.8    868
KMI    KINDER MORG  KMI US 06/16/12 P32.5    -22.3  42.2   0.85  -43.3   2836
MDT    MEDTRONIC I  MDT US 06/16/12 P36      -22.1  23.1   0.42  -16.0    960
GRPN   GROUPON INC  GRPN US 06/16/12 C8      -21.4  71.0   3.90   -9.3   1455
EWZ    ISHARES-BRA  EWZ US 07/21/12 P50      -20.9  31.4   2.32    8.4    599
ONXX   ONYX PHARM   ONXX US 06/16/12 C45     -19.8  43.8   1.60    6.7   1156
KMI    KINDER MORG  KMI US 06/16/12 P35      -19.6  53.9   2.55  -22.7    653
SVM    SILVERCORP   SVM US 06/16/12 P5       -19.4  60.5   0.10  -50.0   3020
VXX    IPATH-S&P S  VXX US 06/16/12 P15      -17.6  67.2   0.08   33.3   3558
BBY    BEST BUY CO  BBY US 09/22/12 P18      -17.5  46.5   1.80  -23.1   1029
EWZ    ISHARES-BRA  EWZ US 07/21/12 P48      -17.2  34.5   1.71   10.3    692
RL     RALPH LAURE  RL US 06/16/12 P125      -16.9  48.3   0.45  -72.6   1030
CLDX   CELLDEX THE  CLDX US 06/16/12 C4      -16.4 169.6   0.85  -10.5    789
EWZ    ISHARES-BRA  EWZ US 07/21/12 P47      -15.6  36.2   1.47    2.1   1059
DIS    WALT DISNEY  DIS US 07/21/12 P19      -15.5  85.1   0.02    0.0    800
KMI    KINDER MORG  KMI US 06/16/12 P30      -15.2  47.9   0.35  -46.1   6060
EP     EL PASO COR  EP US 06/16/12 P30       -15.2  22.3   0.90  -30.8   1297
S      SPRINT NEXT  S US 06/16/12 C2.5       -14.8  48.4   0.09    0.0   2745
UUP    POWERSHARES  UUP US 06/16/12 C22      -14.6   7.3   0.61   38.6    679
MRK    MERCK & CO   MRK US 06/16/12 C38      -14.6  13.8   0.33  -17.5   1410
EXPD   EXPEDITORS   EXPD US 06/16/12 P40     -14.2  24.7   2.00  -18.4   1185
XLU    SPDR-UTIL S  XLU US 06/16/12 C35      -13.8  12.3   0.93   25.7    714
XLB    SPDR-MATERI  XLB US 06/16/12 P35      -13.7  22.8   1.78   -1.1    539
CLDX   CELLDEX THE  CLDX US 06/16/12 P3      -13.7 168.7   0.20  -33.3    656
ABT    ABBOTT LABS  ABT US 07/21/12 P60      -13.3  17.8   0.99  -20.2    544
CALX   CALIX INC    CALX US 06/16/12 C7.5    -13.0  70.4   0.65    0.0    657
VOD    VODAFONE GR  VOD US 07/21/12 C27      -12.8  16.7   0.60  140.0   2035
FXE    CRYSHS-EURO  FXE US 06/16/12 P120     -12.7  13.8   0.11  -31.2   1288
AMLN   AMYLIN PHAR  AMLN US 06/16/12 C26     -12.5  58.4   1.85  -20.6    506
BBY    BEST BUY CO  BBY US 09/22/12 P14      -12.5  55.0   0.55  -36.0    802
EXC    EXELON CORP  EXC US 07/21/12 C39      -12.2  13.4   0.25  -16.7   1094
SDS    PRO ULTSHRT  SDS US 06/16/12 C15      -11.9  29.3   1.87   -8.3   7930
T      AT&T INC     T US 06/16/12 P34        -11.9  13.9   0.66  -10.8   1066
EP     EL PASO COR  EP US 07/21/12 C29       -11.7  16.1   0.96   11.6   2139
EP     EL PASO COR  EP US 07/21/12 P29       -11.4  20.8   0.84  -31.1   1009
HTS    HATTERAS FI  HTS US 06/16/12 C28      -11.3  11.9   0.70    7.7    517
PFE    PFIZER INC   PFE US 06/16/12 P21      -11.3  21.6   0.06  -40.0   4802
AMLN   AMYLIN PHAR  AMLN US 06/16/12 P25     -11.1  57.2   0.76  -23.2   1252
EPD    ENTERPRISE   EPD US 06/16/12 C50      -11.1  17.8   0.85    2.4    555
FCX    FREEPORT-MC  FCX US 07/21/12 P33      -10.9  40.6   2.64   -4.7   1189
XLE    SPDR-ENERGY  XLE US 06/16/12 C65      -10.8  25.2   1.97   -3.0   1432
T      AT&T INC     T US 06/16/12 C33        -10.6  15.5   0.91   -8.1   3835
HYG    ISH-IBOXX H  HYG US 06/16/12 P90      -10.6   9.1   1.95  -11.4   1029
AGNC   AMERICAN CA  AGNC US 06/16/12 C27     -10.5  32.1   5.05    3.7    680
PFE    PFIZER INC   PFE US 06/16/12 P22      -10.5  17.3   0.20   -9.1   3004
JNK    SPDR BARCLA  JNK US 06/16/12 P38.74   -10.4  10.1   0.60  -25.0   5716
FXE    CRYSHS-EURO  FXE US 06/16/12 P126     -10.3  10.6   1.13   13.0   1163
XLE    SPDR-ENERGY  XLE US 06/16/12 C66      -10.3  24.2   1.39   -7.3   2617
BBY    BEST BUY CO  BBY US 01/19/13 P18      -10.2  45.1   2.66  -11.3    599

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

-- Bloomberg News

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


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