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U.S. Stock Options With Biggest Changes in Implied Volatility
September 21, 2012
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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
=============================================================================
SPY SPDR S&P 50 SPY US 12/20/14 C85 229.1 30.9 61.87 0.3 744
SPY SPDR S&P 50 SPY US 10/20/12 C141 195.8 14.3 5.73 4.8 810
XLU SPDR-UTIL S XLU US 12/22/12 C35 169.3 12.1 1.40 -0.7 660
SPY SPDR S&P 50 SPY US 10/20/12 C140 166.5 15.2 6.62 -1.2 1868
SPY SPDR S&P 50 SPY US 10/20/12 C142 140.3 13.5 4.83 2.1 4993
QQQ POWERSH-QQQ QQQ US 10/20/12 C66 86.7 16.9 4.53 6.3 999
IP INTL PAPER IP US 01/19/13 C25 57.5 42.7 10.85 4.3 3787
SPY SPDR S&P 50 SPY US 10/20/12 C143 56.5 12.9 4.06 4.4 2288
XLF SPDR-FINL S XLF US 10/20/12 C15 52.6 20.4 0.93 -1.1 535
SPY SPDR S&P 50 SPY US 12/22/12 P147 52.5 13.4 4.81 -6.0 1337
ARQL ARQULE INC ARQL US 10/20/12 P5 44.9 93.0 0.45 80.0 5298
QQQ POWERSH-QQQ QQQ US 10/20/12 C67 39.2 15.8 3.45 3.9 1836
FTR FRONTIER CO FTR US 11/17/12 C5 37.0 38.6 0.30 172.7 30713
SPY SPDR S&P 50 SPY US 10/20/12 C144 36.9 12.2 3.21 2.9 3812
SPY SPDR S&P 50 SPY US 12/22/12 P145 36.1 14.2 3.95 -5.5 3102
DAR DARLING INT DAR US 10/20/12 P17.5 34.6 31.7 0.30 -75.0 782
GORO GOLD RESOUR GORO US 10/20/12 C17.5 32.6 62.5 4.70 0.0 753
SPY SPDR S&P 50 SPY US 01/19/13 P146 32.3 14.6 5.19 -2.8 2534
XLP SPDR-CONS S XLP US 01/19/13 C35 31.9 11.5 1.54 28.3 786
FTR FRONTIER CO FTR US 11/17/12 C4.5 31.7 40.4 0.55 37.5 585
VPHM VIROPHARMA VPHM US 11/17/12 C25 31.6 59.3 6.00 62.2 1230
XLU SPDR-UTIL S XLU US 01/19/13 C36 28.5 10.9 0.82 -3.5 554
SPY SPDR S&P 50 SPY US 10/20/12 C145 26.9 11.6 2.49 -0.4 34121
PG PROCTER & G PG US 10/20/12 C67.5 23.7 12.0 2.24 1.8 870
SPY SPDR S&P 50 SPY US 11/17/12 C142 22.9 14.6 6.00 7.0 647
ALKS ALKERMES PL ALKS US 10/20/12 C20 22.9 34.9 1.10 46.7 550
SPY SPDR S&P 50 SPY US 12/22/12 P141 22.1 15.6 2.64 -7.0 530
SPY SPDR S&P 50 SPY US 01/19/13 P143 22.1 15.6 4.02 -5.6 565
XLP SPDR-CONS S XLP US 12/22/12 C36 22.1 10.3 0.84 2.4 510
XLU SPDR-UTIL S XLU US 12/22/12 C37 21.5 9.5 0.30 -11.8 590
ALXN ALEXION PHA ALXN US 10/20/12 C115 21.3 42.8 5.00 35.1 586
RSH RADIOSHACK RSH US 10/20/12 C3 21.0 74.0 0.18 80.0 675
BPZ BPZ RESOURC BPZ US 03/16/13 P3 20.4 75.1 0.55 10.0 762
FIG FORTRESS IN FIG US 10/20/12 C4 20.3 43.8 0.47 -6.0 500
SPY SPDR S&P 50 SPY US 01/19/13 P142 20.3 15.9 3.70 -5.6 553
HERO HERCULES OF HERO US 10/20/12 P4.5 20.2 60.3 0.15 -25.0 1059
JRCC JAMES RIVER JRCC US 10/20/12 C3 18.8 127.4 0.40 60.0 1103
SPY SPDR S&P 50 SPY US 01/19/13 P141 18.6 16.3 3.41 -4.8 590
XHB SPDR S&P HO XHB US 10/20/12 C23 18.0 30.9 3.10 15.2 519
DXCM DEXCOM DXCM US 10/20/12 C15 18.0 36.2 0.60 100.0 2552
XLV SPDR-HEALTH XLV US 12/22/12 C40 17.8 12.7 1.13 14.1 504
SPY SPDR S&P 50 SPY US 12/31/12 P138 17.1 16.9 2.19 -4.0 1404
SPY SPDR S&P 50 SPY US 01/19/13 P140 17.0 16.6 3.16 -5.1 4046
PHH PHH CORP PHH US 01/19/13 P10 16.9 84.9 0.15 -25.0 1800
SPY SPDR S&P 50 SPY US 11/17/12 C144 16.7 13.7 4.32 2.6 1178
SPY SPDR S&P 50 SPY US 12/22/12 P137 16.3 17.2 1.78 -8.2 3169
SPY SPDR S&P 50 SPY US 01/19/13 P139 16.1 17.0 2.89 -5.6 3241
SPY SPDR S&P 50 SPY US 12/22/12 P136 15.4 17.6 1.62 -8.0 1436
SPY SPDR S&P 50 SPY US 10/20/12 C147 15.3 10.5 1.31 -4.4 43915
RSH RADIOSHACK RSH US 10/20/12 P2.5 15.1 104.3 0.13 -7.1 530
SPY SPDR S&P 50 SPY US 01/19/13 P138 15.0 17.3 2.67 -5.0 949
SPY SPDR S&P 50 SPY US 11/17/12 C145 14.7 13.3 3.64 2.8 793
SPY SPDR S&P 50 SPY US 12/22/12 P135 14.3 17.9 1.47 -7.0 5903
SPY SPDR S&P 50 SPY US 12/22/12 C142 14.3 15.1 6.79 3.0 803
SPY SPDR S&P 50 SPY US 01/19/13 P137 14.0 17.7 2.47 -4.3 2166
SPY SPDR S&P 50 SPY US 12/22/12 P134 13.9 18.4 1.33 -5.0 1011
XLE SPDR-ENERGY XLE US 10/20/12 C74 13.7 17.7 1.86 4.5 602
CLSN CELSION COR CLSN US 01/19/13 P4 13.4 148.6 1.09 21.1 1704
RIMM RESEARCH IN RIMM US 10/20/12 P6 13.2 96.7 0.45 73.1 4138
FTR FRONTIER CO FTR US 01/19/13 P4.5 12.8 37.7 0.28 -30.0 643
QQQ POWERSH-QQQ QQQ US 10/20/12 C69 12.5 13.5 1.79 5.3 1826
SPY SPDR S&P 50 SPY US 10/20/12 C148 12.4 10.2 0.89 -7.3 49746
SPY SPDR S&P 50 SPY US 01/19/13 P135 12.4 18.4 2.06 -5.1 529
EXPE EXPEDIA INC EXPE US 10/20/12 P55 12.2 38.4 0.88 -48.2 688
SPY SPDR S&P 50 SPY US 12/31/12 P132 12.2 19.1 1.27 -9.3 3265
SPY SPDR S&P 50 SPY US 12/22/12 C143 12.1 14.6 6.09 3.9 557
SPY SPDR S&P 50 SPY US 12/22/12 P131 11.8 19.6 1.03 -4.6 620
SPY SPDR S&P 50 SPY US 12/22/12 P130 11.6 20.0 0.92 -8.9 919
SPY SPDR S&P 50 SPY US 11/17/12 C147 11.6 12.4 2.44 0.8 3797
RIMM RESEARCH IN RIMM US 11/17/12 P6 11.3 84.3 0.61 60.5 2596
RIMM RESEARCH IN RIMM US 10/20/12 C6 11.2 96.8 0.95 -20.8 890
SPY SPDR S&P 50 SPY US 12/22/12 P129 11.1 20.4 0.85 -9.6 1290
LBTYA LIBERTY GLO LBTYA US 01/19/13 C60 11.0 21.5 2.35 51.6 25140
SSRI SILVER STAN SSRI US 10/20/12 C14 11.0 62.5 2.80 8.1 778
ALKS ALKERMES PL ALKS US 10/20/12 P20 11.0 32.2 0.60 -45.5 1641
MAS MASCO CORP MAS US 10/20/12 C15 11.0 39.7 1.53 9.3 621
BPZ BPZ RESOURC BPZ US 10/20/12 P3 10.9 78.5 0.20 0.0 3173
FNF FIDELITY NA FNF US 10/20/12 C20 10.8 22.2 0.85 66.7 754
INVN INVENSENSE INVN US 10/20/12 P12.5 10.6 60.7 0.35 -36.4 1310
QQQ POWERSH-QQQ QQQ US 12/22/12 P66 10.6 18.4 1.01 -2.9 1039
SPY SPDR S&P 50 SPY US 12/22/12 C145 10.5 14.0 4.70 0.9 2124
QQQ POWERSH-QQQ QQQ US 12/22/12 C66 10.5 17.9 5.14 6.2 610
SPY SPDR S&P 50 SPY US 01/19/13 P130 10.4 20.2 1.39 -6.7 588
SPY SPDR S&P 50 SPY US 12/22/12 P128 10.3 20.8 0.77 -6.1 958
CMCSK COMCAST COR CMCSK US 10/20/12 C36 10.2 16.2 0.25 150.0 1100
JEF JEFFERIES G JEF US 10/20/12 P13 10.2 41.7 0.15 0.0 4230
EXPE EXPEDIA INC EXPE US 10/20/12 C55 10.2 37.7 5.26 54.7 1224
SNV SYNOVUS FIN SNV US 02/16/13 C2.5 10.1 52.5 0.30 0.0 1661
SPY SPDR S&P 50 SPY US 11/17/12 C148 10.1 12.0 1.93 -1.5 3232
SPY SPDR S&P 50 SPY US 03/16/13 P147 10.0 15.4 7.47 -2.0 1014
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
SVNT SAVIENT PHA SVNT US 01/19/13 C1 -46.4 101.3 1.41 11.9 541
SPY SPDR S&P 50 SPY US 10/20/12 P152 -42.7 9.6 5.86 -9.6 559
TIBX TIBCO SOFTW TIBX US 10/20/12 C31 -42.1 30.3 0.65 -50.0 1340
RPTP RAPTOR PHAR RPTP US 10/20/12 C5 -37.6 44.6 0.60 -14.3 1035
XLU SPDR-UTIL S XLU US 10/20/12 P36 -36.2 9.2 0.35 -10.3 3548
SPY SPDR S&P 50 SPY US 10/20/12 P150 -35.4 9.6 4.20 -9.3 1212
CTAS CINTAS CORP CTAS US 10/20/12 P40 -34.1 18.8 0.50 -33.3 723
ORCL ORACLE CORP ORCL US 10/20/12 C33 -32.2 17.4 0.44 -26.7 6927
ORCL ORACLE CORP ORCL US 10/20/12 P33 -31.3 17.8 0.89 -36.9 4054
ORCL ORACLE CORP ORCL US 10/20/12 C32 -31.1 18.9 1.02 -5.6 3200
ORCL ORACLE CORP ORCL US 10/20/12 P34 -31.1 17.5 1.60 -17.5 555
SPY SPDR S&P 50 SPY US 10/20/12 P149 -30.9 9.9 3.45 -4.7 1196
ORCL ORACLE CORP ORCL US 10/20/12 C34 -30.8 17.2 0.16 -46.7 3288
ORCL ORACLE CORP ORCL US 10/20/12 P32 -30.4 19.0 0.42 -53.3 8250
ORCL ORACLE CORP ORCL US 10/20/12 P31 -29.3 20.4 0.20 -63.0 1253
ORCL ORACLE CORP ORCL US 10/20/12 C31 -28.8 20.2 1.76 0.6 532
TIBX TIBCO SOFTW TIBX US 10/20/12 P30 -28.3 30.6 0.90 -45.5 1282
XLI SPDR-INDU S XLI US 10/20/12 P38 -28.1 13.3 1.11 -5.9 921
TIBX TIBCO SOFTW TIBX US 10/20/12 P31 -27.1 29.7 1.40 -34.9 1920
SPY SPDR S&P 50 SPY US 10/20/12 P148 -26.9 10.2 2.73 -9.0 2549
KBH KB HOME KBH US 10/20/12 C12 -26.2 48.5 3.25 100.6 5554
ORCL ORACLE CORP ORCL US 10/20/12 P30 -25.1 23.2 0.09 -71.9 6531
QQQ POWERSH-QQQ QQQ US 10/20/12 P73 -25.1 11.4 2.89 -7.4 5832
DRI DARDEN REST DRI US 10/20/12 C55 -24.8 19.7 2.20 69.2 850
KBH KB HOME KBH US 10/20/12 P15 -21.0 53.6 0.80 -69.3 2259
KBH KB HOME KBH US 10/20/12 P14 -20.2 53.8 0.40 -75.5 7717
KBH KB HOME KBH US 10/20/12 C15 -19.9 51.3 0.95 156.8 3387
CXW CORRECTIONS CXW US 12/22/12 P26 -19.6 41.5 0.35 -61.1 5000
QQQ POWERSH-QQQ QQQ US 10/20/12 P72 -19.6 11.6 2.10 -3.2 1217
ORCL ORACLE CORP ORCL US 10/20/12 P29 -19.6 26.5 0.05 -73.7 514
TIBX TIBCO SOFTW TIBX US 11/17/12 C28 -19.1 36.4 2.95 -15.7 945
XLI SPDR-INDU S XLI US 10/20/12 P37 -18.7 14.5 0.55 -9.8 1570
LSI LSI CORP LSI US 10/20/12 C6 -18.1 40.4 1.40 -28.2 500
SPY SPDR S&P 50 SPY US 10/20/12 P145 -17.8 11.6 1.35 -13.5 58592
XLB SPDR-MATERI XLB US 10/20/12 P38 -17.4 16.4 0.96 2.1 2602
XLE SPDR-ENERGY XLE US 10/20/12 P76 -16.8 16.5 2.03 -11.7 1130
QCOR QUESTCOR PH QCOR US 10/20/12 C30 -16.2 100.5 3.70 -8.6 800
DIA SPDR DJIA T DIA US 10/20/12 P137 -16.0 9.7 2.25 -12.4 1202
SPY SPDR S&P 50 SPY US 11/17/12 P148 -15.9 12.1 3.81 -5.9 2220
SPY SPDR S&P 50 SPY US 10/20/12 P144 -15.7 12.2 1.07 -14.4 62987
IYR ISHARES-DJ IYR US 10/20/12 C67 -15.0 10.0 0.16 -30.4 2609
KBH KB HOME KBH US 10/20/12 P13 -14.9 56.4 0.18 -79.5 1440
IYR ISHARES-DJ IYR US 10/20/12 C65 -14.9 11.5 1.02 -8.1 646
QQQ POWERSH-QQQ QQQ US 10/20/12 P71 -14.8 12.1 1.37 -9.9 5927
IBN ICICI BANK- IBN US 10/20/12 P42 -14.5 27.7 2.29 0.0 500
SPY SPDR S&P 50 SPY US 11/17/12 P147 -14.4 12.5 3.31 -5.2 2857
TSM TAIWAN SEMI TSM US 10/20/12 C15 -14.4 21.9 0.35 -22.2 2322
VWO VANGUARD MS VWO US 10/20/12 C43 -14.3 17.7 0.50 8.7 11029
KBH KB HOME KBH US 10/20/12 C14 -14.2 52.7 1.62 170.0 4044
XLE SPDR-ENERGY XLE US 10/20/12 P75 -14.2 17.1 1.54 -12.0 925
SPY SPDR S&P 50 SPY US 10/20/12 P143 -13.8 12.8 0.85 -17.5 10778
DIA SPDR DJIA T DIA US 10/20/12 P136 -13.8 10.2 1.70 -11.5 1473
IYR ISHARES-DJ IYR US 10/20/12 C68 -13.3 9.7 0.04 -42.9 767
XLB SPDR-MATERI XLB US 10/20/12 P37 -13.1 17.4 0.50 -3.9 5330
GSS GOLDEN STAR GSS US 11/17/12 C2 -12.9 75.2 0.20 -20.0 504
VWO VANGUARD MS VWO US 10/20/12 P43 -12.4 16.8 1.25 -29.8 1789
DIA SPDR DJIA T DIA US 10/20/12 P135 -12.3 10.7 1.32 -12.6 1376
F FORD MOTOR F US 12/22/12 C9 -12.2 25.9 1.47 -2.6 569
AAPL APPLE INC AAPL US 10/20/12 P425 -11.8 60.3 0.04 -63.6 505
SPY SPDR S&P 50 SPY US 11/17/12 P145 -11.8 13.4 2.48 -8.2 15376
SPY SPDR S&P 50 SPY US 10/20/12 P142 -11.7 13.6 0.69 -14.8 47771
XLE SPDR-ENERGY XLE US 10/20/12 P74 -11.6 17.8 1.11 -14.6 1246
MLNX MELLANOX TE MLNX US 10/20/12 C110 -11.6 53.6 7.35 22.5 1088
KGN KEEGAN RESO KGN US 11/17/12 C2.5 -11.4 106.2 1.45 11.5 1402
IWM ISHARES-RUS IWM US 10/20/12 C81 -11.3 17.2 4.72 6.3 777
XLF SPDR-FINL S XLF US 10/20/12 P16 -11.2 16.9 0.36 -5.3 5213
DIA SPDR DJIA T DIA US 11/17/12 P139 -11.2 10.7 4.45 -6.3 751
FB FACEBOOK IN FB US 10/20/12 P20 -11.0 49.9 0.31 -31.1 957
QQQ POWERSH-QQQ QQQ US 11/17/12 P72 -11.0 13.5 2.45 -6.1 616
AMED AMEDISYS IN AMED US 10/20/12 C14 -10.9 38.5 1.14 -37.0 500
FB FACEBOOK IN FB US 10/20/12 C20 -10.8 50.0 3.00 0.0 1413
XLE SPDR-ENERGY XLE US 10/20/12 P73.5 -10.8 18.2 0.93 -17.0 8080
ADSK AUTODESK IN ADSK US 10/20/12 P34 -10.7 29.1 1.29 -13.4 1011
CYS CYS INVESTM CYS US 12/22/12 C14 -10.7 17.5 0.85 21.4 2385
ORCL ORACLE CORP ORCL US 12/22/12 C33 -10.5 21.1 1.14 -2.6 991
SPY SPDR S&P 50 SPY US 11/17/12 P144 -10.5 13.8 2.13 -9.4 3180
BMY BRISTOL-MYE BMY US 10/20/12 C32 -10.4 14.7 1.68 46.1 698
ORCL ORACLE CORP ORCL US 12/22/12 C34 -10.4 20.3 0.76 -3.8 1016
QQQ POWERSH-QQQ QQQ US 10/20/12 P70 -10.1 12.9 0.89 -8.2 8031
QCOR QUESTCOR PH QCOR US 10/20/12 P31 -10.1 100.4 3.70 -11.9 624
x - Ex-dividend. * - Ex-earnings.
-- Bloomberg News
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