Bloomberg News

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

July 16, 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
=============================================================================
HGT    HUGOTON ROY  HGT US 08/18/12 P7.5      40.0  33.1   0.45   28.6    200
HGT    HUGOTON ROY  HGT US 11/17/12 P7.5      20.0  26.0   0.75   15.4    201
XLU    SPDR-UTIL S  XLU US 08/18/12 P37       19.3  11.1   0.36    9.1    720
PG     PROCTER & G  PG US 08/18/12 C60        17.4  24.3   5.00   -1.0   1451
AGNC   AMERICAN CA  AGNC US 08/18/12 C34      17.1  18.8   1.32   21.1    217
PPC    PILGRIM'S P  PPC US 08/18/12 P5        17.0  72.1   0.25    0.0    275
BZH    BEAZER HOME  BZH US 08/18/12 P3        16.8  70.6   0.33   10.0    333
AOL    AOL INC      AOL US 10/20/12 C24       16.8  37.6   4.40    4.8   1646
DBA    POWERSHARES  DBA US 08/18/12 C27       14.5  21.9   2.75   14.6    515
ARLP   ALLIANCE RE  ARLP US 08/18/12 P60      14.3  31.9   3.20    3.2    322
XLU    SPDR-UTIL S  XLU US 08/18/12 C38       14.2   9.1   0.14  -22.2    307
OREX   OREXIGEN TH  OREX US 08/18/12 P6       13.9 107.8   0.25  -30.6    600
XLP    SPDR-CONS S  XLP US 08/18/12 C33       11.9  16.1   2.34    0.4    399
RNF    RENTECH NIT  RNF US 08/18/12 C30       11.8  31.5   1.20  118.2    712
V      VISA INC-CL  V US 08/18/12 P125        11.8  28.6   3.05  -35.1    224
V      VISA INC-CL  V US 08/18/12 C130        11.5  27.5   3.20  106.5   1007
ADI    ANALOG DEVI  ADI US 08/18/12 P35       11.0  29.1   0.60    9.1   2643
TBT    PRO ULTSHRT  TBT US 08/18/12 C12       10.6  39.7   2.56   -8.9    905
ITB    ISHARES-DJ   ITB US 08/18/12 P16       10.5  38.4   0.45   50.0    500
V      VISA INC-CL  V US 08/18/12 C125        10.4  28.9   5.91   68.9    274
VIAB   VIACOM INC-  VIAB US 08/18/12 P39      10.3  41.4   0.13   30.0    215
SYK    STRYKER COR  SYK US 08/18/12 C55       10.3  23.3   0.75   36.4   1907
CAKE   CHEESECAKE   CAKE US 08/18/12 C34      10.2  28.0   0.60  100.0    300
SFD    SMITHFIELD   SFD US 08/18/12 P18       10.2  42.1   0.74   48.0   2158
ALXN   ALEXION PHA  ALXN US 08/18/12 P95      10.2  55.4   5.31    7.7    207
V      VISA INC-CL  V US 09/22/12 C130        10.1  25.7   4.80   83.2    261

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
HGSI   HUMAN GENOM  HGSI US 01/19/13 P14     -94.4   3.2   0.05  -97.5   2492
HGSI   HUMAN GENOM  HGSI US 10/20/12 P14     -92.8   3.9   0.04  -97.6    260
PRX    PAR PHARMAC  PRX US 08/18/12 P50      -87.8   7.9   0.40    0.0    534
HGSI   HUMAN GENOM  HGSI US 08/18/12 C14     -85.4   6.6   0.25  -55.4   1130
HGSI   HUMAN GENOM  HGSI US 01/19/13 P13     -79.8   8.6   0.03  -97.6    561
HGSI   HUMAN GENOM  HGSI US 01/19/13 P12     -74.0  13.0   0.02  -97.9    390
HGSI   HUMAN GENOM  HGSI US 10/20/12 P13     -72.5  12.3   0.03  -97.0    447
HGSI   HUMAN GENOM  HGSI US 01/19/13 P11     -66.8  18.4   0.02  -97.5    203
HGSI   HUMAN GENOM  HGSI US 08/18/12 P13     -60.9  21.9   0.03  -95.6    598
RDWR   RADWARE LTD  RDWR US 08/18/12 P36     -57.8  38.4   1.50    0.0    300
PRX    PAR PHARMAC  PRX US 11/17/12 P45      -56.6  15.4   0.25  -96.2    747
PRX    PAR PHARMAC  PRX US 02/16/13 P45      -48.6  13.9   0.35    0.0    300
ISIL   INTERSIL CO  ISIL US 08/18/12 P9      -26.3  54.2   0.30  -45.5   1115
TLB    TALBOTS INC  TLB US 08/18/12 P2.5     -26.1  44.1   0.05  -66.7    500
ISIL   INTERSIL CO  ISIL US 08/18/12 C10     -25.9  52.5   0.60  -33.3   4507
ISIL   INTERSIL CO  ISIL US 08/18/12 P10     -25.2  54.5   0.66  -30.5   4348
GCI    GANNETT CO   GCI US 08/18/12 C13      -17.5  40.4   1.70   93.2    237
ISIL   INTERSIL CO  ISIL US 10/20/12 C10     -15.6  47.8   0.95  -17.4    564
ISIL   INTERSIL CO  ISIL US 10/20/12 P10     -15.6  48.2   0.99  -13.9    329
LINE   LINN ENERGY  LINE US 01/19/13 C37     -15.3  18.8   3.00    9.1    610
BZH    BEAZER HOME  BZH US 08/18/12 C3       -14.2  62.0   0.20    0.0    984
RIMM   RESEARCH IN  RIMM US 01/19/13 P2      -14.0 102.8   0.10  233.3    400
LINE   LINN ENERGY  LINE US 08/18/12 C37     -14.0  18.7   2.80   -1.8    610
GCI    GANNETT CO   GCI US 08/18/12 P14      -13.2  33.6   0.25  -50.0    224
NSM    NATIONSTAR   NSM US 01/19/13 C15      -12.9  66.7  10.80    5.9    260
CVX    CHEVRON COR  CVX US 09/22/12 P50      -12.7  67.4   0.02  -75.0    300
GCI    GANNETT CO   GCI US 08/18/12 C14      -12.5  33.2   1.00   25.0    249
SO     SOUTHERN CO  SO US 01/19/13 P25       -12.3  38.3   0.03  -40.0    227
CERN   CERNER CORP  CERN US 09/22/12 C70     -11.9  37.8  10.50  -24.5    207
BAC    BANK OF AME  BAC US 08/18/12 C6       -11.2  50.1   1.90    3.3    678
XLF    SPDR-FINL S  XLF US 08/18/12 C13      -10.5  27.6   1.75   -0.6    470
GCI    GANNETT CO   GCI US 08/18/12 C15      -10.0  31.2   0.39   -9.3   3667

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

-- Bloomberg News

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