Bloomberg News

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

July 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 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
=============================================================================
SHAW   SHAW GROUP   SHAW US 08/18/12 P29     109.3  81.4   0.05  -98.3    300
SHAW   SHAW GROUP   SHAW US 08/18/12 C27      90.6  81.9  14.90 1468.4   2420
SHAW   SHAW GROUP   SHAW US 08/18/12 C28      72.8  75.8  14.00 2233.3    337
HZNP   HORIZON PHA  HZNP US 11/17/12 C5       62.4  35.9   1.10  -12.0    952
SHAW   SHAW GROUP   SHAW US 08/18/12 C29      53.8  69.6  12.90 3585.7    395
VXX    IPATH-S&P S  VXX US 08/18/12 C11       50.9  64.6   2.28   14.6    284
IWM    ISHARES-RUS  IWM US 08/18/12 P82       49.2  20.0   3.46   18.1    488
DNDN   DENDREON CO  DNDN US 08/18/12 P4       47.0 209.4   0.20  185.7   1720
SHAW   SHAW GROUP   SHAW US 08/18/12 C30      38.0  63.8  12.00 4700.0   1954
HP     HELMERICH &  HP US 08/18/12 C45        34.4  42.4   3.88   -9.8   1524
FISV   FISERV INC   FISV US 08/18/12 C75      33.8  22.0   0.45   50.0    502
CYOU   CHANGYOU.CO  CYOU US 08/18/12 C16      30.4  93.2   3.10    0.0    200
PZG    PARAMOUNT G  PZG US 09/22/12 C2.5      30.0  88.1   0.25   25.0    271
MO     ALTRIA GROU  MO US 08/18/12 C36        29.5  12.0   0.43   30.3    236
MO     ALTRIA GROU  MO US 09/22/12 C35        28.4  13.0   1.35    8.0    252
IWM    ISHARES-RUS  IWM US 08/18/12 P81       27.3  20.4   2.71   18.9    692
DNDN   DENDREON CO  DNDN US 08/18/12 P5       27.1 166.5   0.32   45.5   1841
TNA    DIR SM CAP   TNA US 08/18/12 C43       25.9  71.7  10.00   58.7    377
EXXI   ENERGY XXI   EXXI US 08/18/12 C28      25.6  72.1   5.20   -7.1    754
ACAS   AMERICAN CA  ACAS US 08/18/12 C9       24.8  43.6   0.91   -6.2    322
AGNC   AMERICAN CA  AGNC US 09/22/12 C34      22.2  17.7   1.56   -3.7    409
SPY    SPDR S&P 50  SPY US 08/18/12 P143      21.4  13.0   4.83   10.3    266
KLIC   KULICKE & S  KLIC US 08/18/12 C10      20.9  69.2   0.40   14.3    220
NUS    NU SKIN ENT  NUS US 08/18/12 P45       20.2  74.6   0.95   46.1    318
MBT    MOBILE TELE  MBT US 09/22/12 C19       20.1  33.3   1.15   91.7    371
T      AT&T INC     T US 08/18/12 C37         19.8  17.2   0.86   41.0   2511
CGNX   COGNEX CORP  CGNX US 08/18/12 P30      19.5  57.2   0.65  -13.3    505
IWM    ISHARES-RUS  IWM US 08/18/12 P80       19.4  21.2   2.08   22.4   1048
IWM    ISHARES-RUS  IWM US 08/18/12 P80       19.4  21.2   2.08   22.4   1048
CL     COLGATE-PAL  CL US 08/18/12 C105       19.3  17.7   3.60   26.3    384
SHAW   SHAW GROUP   SHAW US 08/18/12 C31      19.2  58.1  10.80 5300.0    325
LUV    SOUTHWEST A  LUV US 08/18/12 P9        18.7  29.8   0.25    0.0    366
T      AT&T INC     T US 08/18/12 C36         17.9  18.9   1.63   22.6   2864
T      AT&T INC     T US 08/18/12 P37         17.5  17.1   0.35  -16.7   8473
OIH    MARKET VECT  OIH US 08/18/12 C39       17.3  28.8   1.40  -15.2    600
KOG    KODIAK OIL   KOG US 08/18/12 C7        16.9  87.1   1.50  -14.3   2621
ESV    ENSCO PLC-C  ESV US 08/18/12 C52.5     16.7  34.0   3.30   20.0    459
MDR    MCDERMOTT I  MDR US 08/18/12 P11       16.7  78.1   0.40  -20.0    422
T      AT&T INC     T US 08/18/12 P36         16.6  18.9   0.14  -12.5   1084
MHK    MOHAWK INDS  MHK US 08/18/12 C65       16.6  48.5   4.00  -38.5   1115
SIRI   SIRIUS XM R  SIRI US 01/19/13 C1.5     16.6  42.9   0.70    1.4    215
RRC    RANGE RESOU  RRC US 08/18/12 C65       16.5  43.2   2.15   61.6    252
AAPL   APPLE INC    AAPL US 08/18/12 C525     16.3  32.9  69.96   15.4    613
DNDN   DENDREON CO  DNDN US 08/18/12 C6       16.2 152.7   1.00   11.1    551
SINA   SINA CORP    SINA US 08/18/12 C50      16.2  76.0   2.42    7.6   3185
NUS    NU SKIN ENT  NUS US 08/18/12 P50       16.0  65.1   2.60   23.8   1694
ACAS   AMERICAN CA  ACAS US 08/18/12 C10      16.0  34.4   0.23    4.5    227
SINA   SINA CORP    SINA US 08/18/12 P45      16.0  80.5   2.10   39.1    324
SINA   SINA CORP    SINA US 08/18/12 C47.5    15.9  77.7   3.60    0.0    319
T      AT&T INC     T US 08/18/12 P34         15.7  26.0   0.03  -25.0    356
SHAW   SHAW GROUP   SHAW US 09/22/12 C28      15.3  44.3  14.00 1900.0    700
QQQ    POWERSH-QQQ  QQQ US 08/18/12 P67       15.1  16.0   2.47    9.8   1330
SCCO   SOUTHERN CO  SCCO US 08/18/12 C33      15.0  27.4   0.30   30.4    335
MBI    MBIA INC     MBI US 08/18/12 P9        15.0  91.3   0.39  -11.4   1368
TIF    TIFFANY & C  TIF US 08/18/12 C57.5     14.9  31.7   1.26  -28.0    559
DNDN   DENDREON CO  DNDN US 08/18/12 P6       14.7 151.8   0.71   10.9   1568
MDR    MCDERMOTT I  MDR US 08/18/12 P12       14.6  74.0   0.77   -9.4   1026
SINA   SINA CORP    SINA US 08/18/12 P42.5    14.6  83.1   1.30   35.4    294
AGNC   AMERICAN CA  AGNC US 08/18/12 C35      14.4  16.9   0.56  -20.0    833
XLI    SPDR-INDU S  XLI US 08/18/12 P36       14.3  19.8   0.61    5.2    210
IOC    INTEROIL CO  IOC US 08/18/12 C80       14.3  63.8   8.20    7.9    373
STP    SUNTECH POW  STP US 12/22/12 P1        14.1 150.7   0.30   76.5   2133
CMCSA  COMCAST COR  CMCSA US 08/18/12 P33     14.1  25.6   0.98  -48.4   1631
VXX    IPATH-S&P S  VXX US 08/18/12 C12       13.8  68.1   1.56   20.9    678
IWM    ISHARES-RUS  IWM US 09/22/12 P82       13.7  20.6   4.06    4.9    337
CMCSA  COMCAST COR  CMCSA US 08/18/12 C32     13.6  26.7   0.97   14.1    337
CMCSA  COMCAST COR  CMCSA US 08/18/12 C33     13.6  25.4   0.48   20.0    382
DNDN   DENDREON CO  DNDN US 09/22/12 P5       13.6 118.3   0.46   17.9    471
SPY    SPDR S&P 50  SPY US 08/18/12 P142      13.6  13.4   4.03    8.3   7924
FWLT   FOSTER WHEE  FWLT US 08/18/12 P18      13.3  61.0   1.01  -23.5    211
ACI    ARCH COAL I  ACI US 08/18/12 C6        13.2  94.1   1.01    3.1    378
OXY    OCCIDENTAL   OXY US 08/18/12 C85       13.2  31.2   4.67   -5.7   1056
ACW    ACCURIDE CO  ACW US 09/22/12 C5        13.1  66.9   0.50    0.0    200
PFE    PFIZER INC   PFE US 08/18/12 C22       13.1  29.1   1.73   -2.8    901
XLB    SPDR-MATERI  XLB US 08/18/12 P36       12.9  18.3   1.25   11.6    263
CLNE   CLEAN ENERG  CLNE US 08/18/12 P13      12.8  64.4   0.40    0.0    361
KO     COCA-COLA C  KO US 08/18/12 P82.5      12.8  13.4   2.20  -19.1    834
GOOG   GOOGLE INC-  GOOG US 08/18/12 C655     12.8  21.5   3.94   -6.2    250
T      AT&T INC     T US 08/18/12 P38         12.8  16.1   0.84  -19.2   1219
UNG    US NAT GAS   UNG US 08/18/12 P16       12.8  68.7   0.02  -33.3    424
LNKD   LINKEDIN CO  LNKD US 08/18/12 C105     12.7  76.2   6.88   16.6    560
T      AT&T INC     T US 08/18/12 C38         12.7  16.1   0.33   83.3   3167
S      SPRINT NEXT  S US 08/18/12 C3.5        12.7  65.7   0.92    7.0    425
SPY    SPDR S&P 50  SPY US 08/18/12 P141      12.6  14.0   3.32    7.8   7257
IOC    INTEROIL CO  IOC US 08/18/12 C90       12.5  61.0   3.30   18.3    329
SMTC   SEMTECH COR  SMTC US 08/18/12 C24      12.5  35.4   1.00   29.9    200
MSTR   MICROSTRATE  MSTR US 08/18/12 C110     12.4  70.0  11.50    3.6    307
ACI    ARCH COAL I  ACI US 08/18/12 C7        12.3  84.3   0.41    5.1   2359
ESV    ENSCO PLC-C  ESV US 08/18/12 C55       12.3  31.9   1.55   25.0    502
AAPL   APPLE INC    AAPL US 08/18/12 C550     12.3  25.8  44.67   24.1    215
RJF    RAYMOND JAM  RJF US 08/18/12 C35       12.3  22.0   0.30   20.0    216
KO     COCA-COLA C  KO US 08/18/12 P77.5      12.2  16.7   0.22  -21.4   1199
GOOG   GOOGLE INC-  GOOG US 08/18/12 C650     12.1  21.4   5.04   -8.4    642
CMCSA  COMCAST COR  CMCSA US 08/18/12 P32     12.1  26.7   0.55   -5.2    415
VMW    VMWARE INC-  VMW US 08/18/12 C95       12.1  39.2   2.69  -26.9    293
VXX    IPATH-S&P S  VXX US 09/22/12 C11       11.9  67.7   2.57    2.8    258
LNKD   LINKEDIN CO  LNKD US 08/18/12 C110     11.9  74.1   4.50   12.5    599
M      MACY'S INC   M US 08/18/12 C37         11.8  36.7   0.95   -4.0    507
ADM    ARCHER-DANI  ADM US 08/18/12 C28       11.8  35.8   0.47  -19.0    294
KSS    KOHLS CORP   KSS US 08/18/12 P50       11.7  32.2   1.80    9.1   2218
SNY    SANOFI-ADR   SNY US 09/22/12 C40       11.6  20.7   1.35  -10.6    689
IWM    ISHARES-RUS  IWM US 09/22/12 P81       11.5  21.2   3.69   11.1    352
BHI    BAKER HUGHE  BHI US 08/18/12 C46       11.5  31.8   1.88  -15.3    416
GOOG   GOOGLE INC-  GOOG US 08/18/12 C645     11.5  21.5   6.50   -8.4    291
T      AT&T INC     T US 09/22/12 C38         11.3  15.7   0.66   40.4   1212
AEO    AMER EAGLE   AEO US 08/18/12 C22       11.3  37.7   0.40   33.3   7029
SPY    SPDR S&P 50  SPY US 08/18/12 C144      11.2  14.0   0.21   10.5   4692
T      AT&T INC     T US 09/22/12 C37         11.2  16.4   1.21   27.4   3119
XOM    EXXON MOBIL  XOM US 08/18/12 P90       11.1  14.3   3.30    0.6    252
ADM    ARCHER-DANI  ADM US 08/18/12 P26       11.0  39.5   0.53   51.4    457
HLF    HERBALIFE L  HLF US 08/18/12 C55       11.0  84.1   2.95   -7.5    923
XLE    SPDR-ENERGY  XLE US 08/18/12 P71       11.0  21.5   1.85   17.8    357
GOOG   GOOGLE INC-  GOOG US 08/18/12 C640     11.0  21.8   8.60   -4.1    719
GSK    GLAXOSMITHK  GSK US 08/18/12 C46.84    10.9  15.3   0.23  109.1   3068
HLF    HERBALIFE L  HLF US 08/18/12 C52.5     10.9  84.8   4.09   -7.0    685
ADM    ARCHER-DANI  ADM US 08/18/12 C27       10.9  37.0   0.94  -13.8   1631
GMCR   GREEN MOUNT  GMCR US 08/18/12 C17      10.9 135.8   2.95   11.3    271
IWM    ISHARES-RUS  IWM US 08/18/12 P77       10.9  24.0   0.85   28.8   3286
DIA    SPDR DJIA T  DIA US 08/18/12 C135      10.8  12.5   0.20   25.0    509
KSS    KOHLS CORP   KSS US 08/18/12 P49       10.8  34.2   1.45   11.5    903
CFX    COLFAX CORP  CFX US 09/22/12 C30       10.7  37.2   1.35   68.8    306
FWLT   FOSTER WHEE  FWLT US 08/18/12 C18      10.7  61.2   0.95   11.8    272
LVS    LAS VEGAS S  LVS US 08/18/12 P37       10.7  40.6   1.07  -26.2   2295
UNG    US NAT GAS   UNG US 08/18/12 P19       10.6  57.7   0.21  -38.2    373
SPY    SPDR S&P 50  SPY US 08/18/12 C143      10.6  14.1   0.35    2.9   4305
KO     COCA-COLA C  KO US 08/18/12 P80        10.6  14.1   0.78  -20.4    253
NOK    NOKIA CORP-  NOK US 08/18/12 P1.5      10.5 129.8   0.02  -33.3    210
ADM    ARCHER-DANI  ADM US 08/18/12 P27       10.5  36.7   0.91   31.9   4017
GMCR   GREEN MOUNT  GMCR US 08/18/12 C18      10.5 132.6   2.11    4.5    324
SWHC   SMITH & WES  SWHC US 08/18/12 C10      10.4  52.8   0.40    0.0    227
UNG    US NAT GAS   UNG US 08/18/12 P20       10.4  56.0   0.41  -36.9    607
DNDN   DENDREON CO  DNDN US 09/22/12 P6       10.3 109.5   0.89    9.9    212
ETFC   E*TRADE FIN  ETFC US 08/18/12 P7       10.3  42.0   0.10   -9.1    420
T      AT&T INC     T US 09/22/12 P37         10.3  16.6   0.70   -9.1   3332
EXPE   EXPEDIA INC  EXPE US 08/18/12 C50      10.3  43.6   5.90   15.7    495
M      MACY'S INC   M US 08/18/12 P37         10.3  37.2   1.47    5.8   2379
SINA   SINA CORP    SINA US 09/22/12 C47.5    10.3  64.7   5.25    7.1    702
GOOG   GOOGLE INC-  GOOG US 08/18/12 C635     10.2  22.0  10.30  -11.2    512
SPY    SPDR S&P 50  SPY US 08/18/12 P140      10.2  14.7   2.73   12.3   7261
WPRT   WESTPORT IN  WPRT US 08/18/12 C39      10.2  55.7   1.55    3.3    327
T      AT&T INC     T US 09/22/12 C35         10.2  19.1   2.72   11.5    353
T      AT&T INC     T US 09/22/12 P38         10.2  15.8   1.18  -15.1   7799
RGR    STURM RUGER  RGR US 08/18/12 C50       10.2  63.9   1.70   14.9    324
AAPL   APPLE INC    AAPL US 08/18/12 C560     10.2  24.1  35.50   29.1    502
LVS    LAS VEGAS S  LVS US 08/18/12 P38       10.2  39.2   1.48  -27.1    339
HUM    HUMANA INC   HUM US 08/18/12 C70       10.1  38.9   2.40   -9.8    208
BBY    BEST BUY CO  BBY US 08/18/12 P16       10.1  58.1   0.22   -8.3    347

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SHAW   SHAW GROUP   SHAW US 01/18/14 P35     -49.8  21.6   1.20    0.0    275
SHAW   SHAW GROUP   SHAW US 01/19/13 P43     -45.5  21.5   2.50    0.0    460
SHAW   SHAW GROUP   SHAW US 01/19/13 P39     -35.0  26.2   1.65    0.0    309
SHAW   SHAW GROUP   SHAW US 01/19/13 P40     -34.9  24.0   1.90    0.0   1194
RAH    RALCORP HLD  RAH US 08/18/12 P57.5    -34.1  31.5   0.98  -56.4   1462
SHAW   SHAW GROUP   SHAW US 09/22/12 P34     -28.9  31.5   0.10    0.0    322
UUP    POWERSHARES  UUP US 09/22/12 C22      -28.8   7.2   0.82    6.5    251
GDOT   GREEN DOT C  GDOT US 08/18/12 C10     -26.6  93.8   0.70    0.0    453
QQQ    POWERSH-QQQ  QQQ US 08/18/12 C56      -20.6  28.2   8.76   31.5    233
CIT    CIT GROUP I  CIT US 08/18/12 C36      -19.9  26.4   0.72   12.5   1332
CS     CREDIT SUIS  CS US 08/18/12 P15       -18.7  46.9   0.10    0.0    636
XME    SPDR S&P ME  XME US 01/18/14 P25      -18.1  45.7   2.05    0.0    500
CIGX   STAR SCIENT  CIGX US 08/18/12 C3.5    -17.4  67.0   0.50  -16.7    200
CIT    CIT GROUP I  CIT US 08/18/12 C35      -16.6  27.8   1.28   34.7    443
SPXL   DIREXION DA  SPXL US 01/19/13 P35     -16.6  90.1   1.00  -33.3    200
XLF    SPDR-FINL S  XLF US 08/18/12 P14      -16.4  23.7   0.07    0.0   1319
GDOT   GREEN DOT C  GDOT US 09/22/12 C10     -16.2  82.6   1.25   -8.1    202
GDOT   GREEN DOT C  GDOT US 08/18/12 P10     -16.1  98.1   0.90  -41.9    696
CIT    CIT GROUP I  CIT US 08/18/12 P35      -15.6  27.2   0.58  -43.7    738
FTNT   FORTINET IN  FTNT US 08/18/12 P22     -15.3  42.9   0.15    0.0   6831
CMG    CHIPOTLE ME  CMG US 08/18/12 P305     -14.8  30.2  15.35   10.4    831
HBC    HSBC HOLDIN  HBC US 08/18/12 P42      -14.7  25.8   0.83  -32.5   1364
OCZ    OCZ TECHNOL  OCZ US 08/18/12 C5       -14.7 166.5   2.50    4.2    328
CIT    CIT GROUP I  CIT US 08/18/12 P34      -14.2  29.5   0.32  -56.2    428
DLR    DIGITAL REA  DLR US 08/18/12 C80      -13.9  19.5   0.80   -5.9    790
NXY    NEXEN INC    NXY US 08/18/12 P24      -13.6  29.9   0.15  -50.0    500
IRM    IRON MOUNTA  IRM US 10/20/12 C30      -12.9  21.6   2.70   22.7    456
AUTH   AUTHENTEC I  AUTH US 10/20/12 P7.5    -12.5  21.2   0.05  -50.0    470
CIT    CIT GROUP I  CIT US 08/18/12 P33      -11.9  31.9   0.18  -53.9   1118
STX    SEAGATE TEC  STX US 08/18/12 P23      -11.5  62.3   0.02  -85.7   1385
EEM    ISHARES-EMG  EEM US 06/22/13 C38      -11.5  27.9   4.60   19.5    262
CFX    COLFAX CORP  CFX US 08/18/12 P30      -11.4  32.2   1.50  -46.4    215
EWJ    ISHARES-JAP  EWJ US 08/18/12 P9       -11.3  16.3   0.13    0.0    686
EQIX   EQUINIX INC  EQIX US 08/18/12 P160    -10.9  40.9   0.85   21.4   1317
XLI    SPDR-INDU S  XLI US 08/18/12 C36      -10.8  19.6   0.58   -9.4    313
AUTH   AUTHENTEC I  AUTH US 01/19/13 P7.5    -10.0  15.2   0.10    0.0    460

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

-- Bloomberg News

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