Bloomberg News

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

September 05, 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
=============================================================================
MWW    MONSTER WOR  MWW US 09/22/12 P7        41.9 106.0   0.41  -25.4    835
MWW    MONSTER WOR  MWW US 09/22/12 C7        38.4 106.7   1.00   66.7    505
PPL    PPL CORPORA  PPL US 10/20/12 C29       33.1  18.1   0.75   15.4   2181
DIS    WALT DISNEY  DIS US 09/22/12 P52.5     25.6  16.5   1.77  -43.6    559
OCZ    OCZ TECHNOL  OCZ US 09/22/12 P5        22.2  88.7   0.20  100.0    734
NSM    NATIONSTAR   NSM US 10/20/12 C25       22.0  69.5   4.70    0.0   2573
S      SPRINT NEXT  S US 09/22/12 C5          21.9  57.6   0.21   61.5  14120
CZZ    COSAN LTD -  CZZ US 09/22/12 C12.5     20.4  82.8   1.90    0.0   2750
BMC    BMC SOFTWAR  BMC US 09/22/12 C43       19.7  29.7   0.70   40.0   2463
OPEN   OPENTABLE I  OPEN US 09/22/12 C45      19.7  50.5   1.15   43.8  10284
HEK    HECKMANN CO  HEK US 09/22/12 P3        19.6 112.7   0.05    0.0    595
BBBY   BED BATH &B  BBBY US 09/22/12 C70      19.3  46.0   1.53   41.7   1282
AGNC   AMERICAN CA  AGNC US 09/22/12 P34      19.0   8.5   0.46    7.0    629
AOL    AOL INC      AOL US 09/22/12 C33       18.6  31.5   1.35   35.0   2609
RPRX   REPROS THER  RPRX US 09/22/12 P12.5    17.4  80.1   0.25  -66.7    620
WY     WEYERHAEUSE  WY US 09/22/12 C24        16.6  28.2   1.20   14.3    908
NPSP   NPS PHARM I  NPSP US 10/20/12 P6       16.5 139.3   0.65   44.4   2000
QIHU   QIHOO 360 T  QIHU US 09/22/12 C24      16.3  70.4   1.07   28.9   1551
GILD   GILEAD SCIE  GILD US 11/17/12 C60      16.3  29.3   2.52   38.5   5797
NSM    NATIONSTAR   NSM US 10/20/12 C30       16.1  62.5   2.15   26.5    557
ZNGA   ZYNGA INC-   ZNGA US 09/22/12 C2.5     16.0  79.3   0.43   34.4    530
MWW    MONSTER WOR  MWW US 10/20/12 C7        15.7  90.2   1.20   33.3    520
CBS    CBS CORP-B   CBS US 09/22/12 C31       15.6  48.1   4.40  -18.5   1400
CTL    CENTURYLINK  CTL US 10/20/12 P42       15.5  21.7   1.00   -9.1   4514
BMC    BMC SOFTWAR  BMC US 09/22/12 C44       15.3  28.8   0.40   60.0    941
LNKD   LINKEDIN CO  LNKD US 09/22/12 P100     15.3  47.4   0.50  -54.5    516
MO     ALTRIA GROU  MO US 10/20/12 P35        15.3  16.8   1.39  -15.2   1708
CME    CME GROUP I  CME US 09/22/12 C52       15.2  33.5   3.29    2.8   4376
WLP    WELLPOINT I  WLP US 09/22/12 C52.5     15.1  46.2   6.80  -24.9   1864
LNKD   LINKEDIN CO  LNKD US 09/22/12 C110     15.0  42.1   6.40  170.0   1368
SD     SANDRIDGE E  SD US 09/22/12 P5         14.8  81.7   0.02    0.0    661
GILD   GILEAD SCIE  GILD US 11/17/12 C57.5    14.8  30.9   3.70   40.7   4177
LNKD   LINKEDIN CO  LNKD US 09/22/12 P105     14.7  44.0   1.00  -58.7   1321
OCN    OCWEN FINL   OCN US 10/20/12 C25       14.7  46.3   2.30   17.9   3586
MSFT   MICROSOFT C  MSFT US 09/22/12 C28      14.7  25.9   2.34   -3.7    891
AGNC   AMERICAN CA  AGNC US 09/22/12 C34      14.4  12.9   0.87    1.2    944
IWM    ISHARES-RUS  IWM US 09/22/12 P83       14.1  19.1   1.81    4.6   1070
SAI    SAIC INC     SAI US 09/22/12 C12       14.1  29.8   0.30    0.0    502
CBS    CBS CORP-B   CBS US 01/19/13 C17.5     13.8  91.8  17.80   18.7    860
AMD    ADV MICRO D  AMD US 09/22/12 C3        13.5  63.1   0.54  -15.6   1121
LNKD   LINKEDIN CO  LNKD US 09/22/12 P110     13.4  41.8   2.15  -50.0   1119
QIHU   QIHOO 360 T  QIHU US 09/22/12 C22.5    13.1  74.0   1.95   25.8   2234
FIO    FUSION-IO I  FIO US 09/22/12 P28       12.8  54.4   1.40   64.7   1843
NPSP   NPS PHARM I  NPSP US 10/20/12 P7       12.7 133.6   1.00    0.0   2039
MW     MEN'S WEARH  MW US 09/22/12 C32        12.6  75.5   1.80    9.1    860
LNKD   LINKEDIN CO  LNKD US 09/22/12 C115     12.3  39.7   3.40  257.9   1582
S      SPRINT NEXT  S US 09/22/12 P4.5        12.1  53.6   0.05  -37.5    529
LNKD   LINKEDIN CO  LNKD US 09/22/12 P115     12.0  39.2   4.00  -50.6    589
F      FORD MOTOR   F US 09/22/12 C8          12.0  40.2   1.61   10.3   1428
PAY    VERIFONE SY  PAY US 09/22/12 P27       11.5  82.9   0.15   25.0   1126
F      FORD MOTOR   F US 09/22/12 P8          11.4  49.7   0.01  -50.0   1328
PAY    VERIFONE SY  PAY US 09/22/12 P28       11.3  78.9   0.17  -26.1   2466
XLU    SPDR-UTIL S  XLU US 10/20/12 C37       11.3  10.3   0.18  -14.3    771
GFI    GOLD FIELDS  GFI US 09/22/12 C12       11.3  36.0   0.70  100.0    620
SPF    STANDARD PA  SPF US 09/22/12 C7        11.3  48.8   0.24   20.0    551
KO     COCA-COLA C  KO US 09/22/12 P37.5      11.2  17.9   0.70  -12.5   1979
XLU    SPDR-UTIL S  XLU US 01/19/13 C36       11.2  12.7   1.08    0.0   2121
QCOR   QUESTCOR PH  QCOR US 09/22/12 P47      11.2  53.8   1.00  -41.2    836
ULTA   ULTA SALON   ULTA US 09/22/12 P94      11.0  59.2   5.20   18.2    594
NAVB   NAVIDEA BIO  NAVB US 09/22/12 P3       10.9 219.1   0.30   20.0   1595
IWM    ISHARES-RUS  IWM US 09/22/12 P82       10.8  20.3   1.33    7.3   3945
CTRP   CTRIP.COM-A  CTRP US 09/22/12 C17      10.8  64.0   0.65    0.0   3461
BRK/B  BERKSHIRE H  BRKB US 09/22/12 P85      10.5  12.3   0.82  -35.4    524
ORLY   O'REILLY AU  ORLY US 10/20/12 P85      10.5  30.8   4.19    2.2   1212
ZNGA   ZYNGA INC-   ZNGA US 09/22/12 C3       10.4  69.3   0.11   57.1   1234
PEP    PEPSICO INC  PEP US 01/19/13 C72.5     10.3  13.8   1.78  -14.8    619
DIA    SPDR DJIA T  DIA US 09/22/12 P131      10.3  13.3   1.98   -4.3    826

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SHAW   SHAW GROUP   SHAW US 09/22/12 P42     -72.1  19.5   0.45    0.0    500
FRAN   FRANCESCAS   FRAN US 09/22/12 P30     -43.7  59.5   1.40   55.6    648
FRAN   FRANCESCAS   FRAN US 09/22/12 C30     -38.8  63.5   1.90  -71.6   1342
DG     DOLLAR GENE  DG US 09/22/12 P50       -35.7  24.6   0.50  -64.3    852
FNSR   FINISAR COR  FNSR US 09/22/12 C14     -34.7  51.5   0.50  -33.3    831
CTL    CENTURYLINK  CTL US 10/20/12 C40      -33.4  13.5   2.75   -1.4    682
FNSR   FINISAR COR  FNSR US 09/22/12 P13     -33.2  53.2   0.25  -65.8    753
FTR    FRONTIER CO  FTR US 09/22/12 P4.5     -28.4  39.6   0.15    0.0    541
DG     DOLLAR GENE  DG US 09/22/12 P47       -25.8  30.4   0.10  -77.8    533
PBY    PEP BOYS MM  PBY US 10/20/12 P9       -22.8  30.7   0.20  -63.6    668
PZG    PARAMOUNT G  PZG US 09/22/12 C2.5     -21.5  66.7   0.16    6.7   3285
XLU    SPDR-UTIL S  XLU US 09/22/12 P35      -16.3  13.0   0.08   14.3    701
CPB    CAMPBELL SO  CPB US 09/22/12 P35      -15.7  12.2   0.60   71.4    838
KSU    KANSAS CITY  KSU US 09/22/12 C75      -15.7  26.1   2.50  -20.1    620
SWY    SAFEWAY INC  SWY US 09/22/12 C17      -15.4  30.4   0.20  300.0   2203
NOK    NOKIA CORP-  NOK US 09/22/12 C2       -14.6 106.2   0.48  -47.2   1659
EEM    ISHARES-EMG  EEM US 06/22/13 P36.5    -14.4  29.5   2.95   21.9    630
QCOM   QUALCOMM IN  QCOM US 09/22/12 P60     -14.3  21.7   0.77   -9.4   1395
EWA    ISHARES-AUS  EWA US 10/20/12 C23      -14.2  21.9   0.70  -12.5    810
HEK    HECKMANN CO  HEK US 10/20/12 C4       -13.2  55.4   0.30   20.0    770
CIE    COBALT INTE  CIE US 09/22/12 C20      -13.2  64.8   3.10   -0.6    500
F      FORD MOTOR   F US 09/22/12 P10        -13.1  23.6   0.46  -25.8   3029
SLV    ISHARES SIL  SLV US 09/22/12 C27.5    -13.0  38.5   3.75   -4.3    805
CLH    CLEAN HARBO  CLH US 09/22/12 P55      -12.9  28.8   2.00   14.3    710
QCOM   QUALCOMM IN  QCOM US 10/20/12 P62.5   -12.1  21.6   2.79  -11.4    748
BSFT   BROADSOFT I  BSFT US 09/22/12 C30     -11.7  57.5   7.70   22.2   5625
F      FORD MOTOR   F US 09/22/12 C10        -11.4  23.6   0.06   50.0  26242
EWA    ISHARES-AUS  EWA US 10/20/12 P23      -11.2  23.6   0.75  -16.7    696
HEK    HECKMANN CO  HEK US 01/19/13 C4       -11.2  56.9   0.50   11.1    701
QCOM   QUALCOMM IN  QCOM US 09/22/12 P57.5   -11.2  24.7   0.25  -16.7   4665
EL     ESTEE LAUDE  EL US 09/22/12 C60       -10.9  20.3   0.90  -14.3   3321
EWA    ISHARES-AUS  EWA US 10/20/12 P22      -10.5  25.8   0.40   33.3   3681
NOK    NOKIA CORP-  NOK US 09/22/12 P2       -10.5 106.4   0.05  150.0    986
FDX    FEDEX CORP   FDX US 09/22/12 C85      -10.2  27.3   2.34  -30.1    887
NOK    NOKIA CORP-  NOK US 09/22/12 C2.5     -10.1  93.6   0.15  -65.9  15283

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

-- Bloomberg News

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


Tim Cook's Reboot
LIMITED-TIME OFFER SUBSCRIBE NOW
 
blog comments powered by Disqus