Bloomberg News

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

October 01, 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
=============================================================================
NSM    NATIONSTAR   NSM US 11/17/12 C35       70.4 130.5   6.30  100.0   3319
NSM    NATIONSTAR   NSM US 11/17/12 P30       67.6 126.8   3.50   66.7    317
CVI    CVR ENERGY   CVI US 10/20/12 P40       62.2  30.8   0.75  -80.8    200
JPM    JPMORGAN CH  JPM US 10/20/12 C37       51.9  40.3   4.40   23.9   2649
NSM    NATIONSTAR   NSM US 10/20/12 C35       48.3  91.5   2.75  120.0   1144
SVNT   SAVIENT PHA  SVNT US 12/22/12 P2.5     47.7 150.8   0.65  -24.4    330
GDX    MKT VECT-GO  GDX US 01/19/13 P50       41.4  31.2   2.14   -7.4    500
NSM    NATIONSTAR   NSM US 01/19/13 C35       38.9 100.8   7.50   59.6   2860
SVNT   SAVIENT PHA  SVNT US 12/22/12 P1.5     38.2 142.4   0.17   -5.6    332
NSM    NATIONSTAR   NSM US 01/19/13 C30       38.0  99.9  10.20   50.0    261
NSM    NATIONSTAR   NSM US 01/19/13 C25       37.8 100.2  12.70   27.0   3127
QQQ    POWERSH-QQQ  QQQ US 10/20/12 P72       31.1  13.4   2.94  -14.8    431
T      AT&T INC     T US 10/20/12 P38         30.5  16.0   0.80  -14.9    238
NSM    NATIONSTAR   NSM US 10/20/12 P25       28.0  91.2   0.10   -9.1    261
GA     GIANT INTER  GA US 10/20/12 P5         28.0  46.2   0.05    0.0    500
ONNN   ON SEMICOND  ONNN US 10/20/12 C6       27.3  44.1   0.30  -25.0    200
WCC    WESCO INTL   WCC US 10/20/12 P55       24.9  49.7   1.10  -31.2    754
SI     SIEMENS AG-  SI US 10/20/12 P105       24.8  22.7   4.40  -13.7    200
CSCO   CISCO SYSTE  CSCO US 10/20/12 C18      22.7  29.9   1.24    8.8    209
GRPN   GROUPON INC  GRPN US 10/20/12 P4.5     22.2  76.6   0.20    0.0    207
V      VISA INC-CL  V US 10/20/12 C135        21.7  20.2   3.45   88.5    789
BAC    BANK OF AME  BAC US 10/20/12 C7        21.4  53.4   2.13   17.0    234
V      VISA INC-CL  V US 10/20/12 C130        21.1  22.6   7.25   45.0    202
V      VISA INC-CL  V US 10/20/12 P130        21.1  22.6   0.52  -38.1    587
STZ    CONSTELLATI  STZ US 10/20/12 C32.5     21.0  55.6   1.70   25.9   4074
OCZ    OCZ TECHNOL  OCZ US 10/20/12 P3        20.5 161.4   0.30   30.4    955
XOM    EXXON MOBIL  XOM US 10/20/12 P77.5     20.4  34.5   0.02    0.0    228
VZ     VERIZON COM  VZ US 10/20/12 C44        20.2  21.0   1.91   22.4   3215
V      VISA INC-CL  V US 10/20/12 P125        20.2  26.3   0.21  -22.2    205
ASML   ASML HOLDIN  ASML US 10/20/12 P50      20.0  47.7   0.65   18.2   1033
V      VISA INC-CL  V US 10/20/12 P135        19.8  20.1   1.60  -36.5    559
Z      ZILLOW INC-  Z US 10/20/12 P40         19.7  64.1   1.47   13.1    216
FB     FACEBOOK IN  FB US 10/20/12 P19        19.6  65.1   0.20  -20.0    510
NOK    NOKIA CORP-  NOK US 10/20/12 P2        19.0 123.7   0.04    0.0   1972
STZ    CONSTELLATI  STZ US 10/20/12 P32.5     18.9  54.6   1.55    3.3    281
JPM    JPMORGAN CH  JPM US 10/20/12 P30       18.7  62.2   0.02    0.0    395
HALO   HALOZYME TH  HALO US 10/20/12 P5       18.7 137.4   0.05    0.0   2042
NSM    NATIONSTAR   NSM US 10/20/12 C25       18.3  90.5  10.38   26.6   3409
JNK    SPDR BARCLA  JNK US 12/22/12 P39       18.1  12.0   0.45    0.0    251
ETP    ENERGY TRAN  ETP US 12/22/12 P42.5     17.9  13.7   2.25  -12.1    420
FAST   FASTENAL CO  FAST US 10/20/12 P38      17.4  50.2   0.15  -46.4    312
CYMI   CYMER INC    CYMI US 10/20/12 P45      17.1  55.1   0.45    4.7   1202
RSH    RADIOSHACK   RSH US 11/17/12 P2        17.0 121.6   0.21   10.5   1049
MDR    MCDERMOTT I  MDR US 10/20/12 C12       17.0  48.7   0.70   16.7    352
DHR    DANAHER COR  DHR US 10/20/12 P55       16.9  24.9   0.50  -54.5    991
XCO    EXCO RESOUR  XCO US 10/20/12 P8        16.9  47.7   0.15  -50.0    218
FAST   FASTENAL CO  FAST US 10/20/12 P42      16.8  42.9   0.60  -42.9    380
V      VISA INC-CL  V US 10/20/12 C140        16.6  19.1   1.10  168.3   1108
FB     FACEBOOK IN  FB US 10/20/12 P18        16.5  68.6   0.15    0.0    311
IAG    IAMGOLD COR  IAG US 01/19/13 C12.5     16.3  47.8   3.80    5.6    651
LLTC   LINEAR TECH  LLTC US 10/20/12 C32      16.3  29.5   1.15   47.4    883
FXI    ISHARES FTS  FXI US 10/20/12 C34.5     16.1  21.9   1.09   47.3    587
WM     WASTE MANAG  WM US 10/20/12 P32        16.1  17.8   0.65   62.5   2305
CSCO   CISCO SYSTE  CSCO US 10/20/12 P20      16.0  23.5   1.00   -8.3    350
XOM    EXXON MOBIL  XOM US 10/20/12 P75       16.0  39.0   0.01  -50.0    224
XLV    SPDR-HEALTH  XLV US 10/20/12 P39       15.8  15.0   0.08  -38.5   7118
SPY    SPDR S&P 50  SPY US 10/20/12 P150      15.4  11.1   4.77  -20.9    215
CBI    CHICAGO BRI  CBI US 10/20/12 P37       15.1  35.7   0.40  -38.5   1469
BAC    BANK OF AME  BAC US 10/20/12 P8        15.1  46.1   0.04  -42.9    995
OREX   OREXIGEN TH  OREX US 10/20/12 C6       14.7  71.9   0.30   20.0    209
FXI    ISHARES FTS  FXI US 10/20/12 C35       14.7  21.4   0.73   55.3   1623
XLE    SPDR-ENERGY  XLE US 10/20/12 P70       14.4  22.9   0.20  -41.2    248
FAST   FASTENAL CO  FAST US 10/20/12 C44      14.2  38.2   2.05  141.2    385
BAC    BANK OF AME  BAC US 10/20/12 P9        14.0  38.9   0.26  -33.3   6174
MDY    SPDR S&P MI  MDY US 01/19/13 P178      13.9  18.4   6.00   -7.7    852
FB     FACEBOOK IN  FB US 10/20/12 C20        13.4  61.5   2.60   23.8    886
AEP    AMERICAN EL  AEP US 10/20/12 C44       13.4  12.8   0.60   50.0    337
SAP    SAP AG-SPON  SAP US 10/20/12 P70       13.4  30.2   1.40   21.7   3823
IWM    ISHARES-RUS  IWM US 10/20/12 P86       13.3  16.6   2.38  -16.8    683
FAST   FASTENAL CO  FAST US 10/20/12 P44      13.3  38.5   1.15  -41.0    250
QQQ    POWERSH-QQQ  QQQ US 10/20/12 P71       13.2  13.8   2.06  -19.2    600
EEM    ISHARES-EMG  EEM US 10/20/12 P41.5     12.9  20.7   0.57  -32.1   1438
LSI    LSI CORP     LSI US 10/20/12 C7        12.9  43.1   0.25    0.0    240
VZ     VERIZON COM  VZ US 10/20/12 C45        12.7  17.9   0.98   15.3   3797
CB     CHUBB CORP   CB US 10/20/12 P75        12.6  14.3   0.21  -50.0    244
T      AT&T INC     T US 10/20/12 P37         12.6  16.7   0.34  -12.8    219
Z      ZILLOW INC-  Z US 10/20/12 C40         12.6  64.6   3.30    6.5   1889
BAC    BANK OF AME  BAC US 10/20/12 C9        12.4  39.6   0.38   72.7  16244
GDX    MKT VECT-GO  GDX US 12/22/12 C53       12.3  36.5   4.05   11.6    246
LULU   LULULEMON A  LULU US 10/20/12 P67.5    12.3  49.3   0.80    1.3    292
SPY    SPDR S&P 50  SPY US 10/20/12 P146      12.2  12.6   1.88  -30.9   8414
GE     GENERAL ELE  GE US 10/20/12 P19        12.1  41.4   0.02    0.0    235
EEM    ISHARES-EMG  EEM US 10/20/12 P41       12.1  21.6   0.40  -40.3    592
EEM    ISHARES-EMG  EEM US 10/20/12 P42       12.1  19.8   0.73  -36.0    354
BAC    BANK OF AME  BAC US 10/20/12 C8        12.0  45.4   1.15   29.2   2828
XLE    SPDR-ENERGY  XLE US 10/20/12 C73.5     12.0  18.8   1.76   46.7    460
EEM    ISHARES-EMG  EEM US 10/20/12 P38.5     11.9  28.0   0.10  -33.3    853
FDX    FEDEX CORP   FDX US 10/20/12 P77.5     11.9  29.3   0.14  -22.2    265
JPM    JPMORGAN CH  JPM US 10/20/12 C39       11.8  30.2   2.53   41.3    781
XLV    SPDR-HEALTH  XLV US 10/20/12 P40       11.8  12.5   0.23  -42.5   7010
DIA    SPDR DJIA T  DIA US 10/20/12 P135      11.8  12.2   1.26  -37.0   1434
V      VISA INC-CL  V US 11/17/12 P130        11.7  24.3   2.02  -21.7    246
VOD    VODAFONE GR  VOD US 10/20/12 C29       11.7  16.8   0.25    0.0    502
CSCO   CISCO SYSTE  CSCO US 10/20/12 P18      11.6  26.9   0.10   -9.1    269
AXP    AMERICAN EX  AXP US 10/20/12 P55       11.6  24.9   0.25  -51.9    969
UNG    US NAT GAS   UNG US 10/20/12 C17       11.6  63.2   5.20   22.4   1010
XLE    SPDR-ENERGY  XLE US 10/20/12 P74       11.5  18.4   0.97  -33.1    291
DIA    SPDR DJIA T  DIA US 10/20/12 P134      11.5  12.9   0.94  -37.8    799
XLE    SPDR-ENERGY  XLE US 10/20/12 P73       11.5  19.3   0.65  -34.3    268
CSCO   CISCO SYSTE  CSCO US 10/20/12 P19      11.4  23.7   0.35  -14.6    672
AXP    AMERICAN EX  AXP US 10/20/12 P50       11.4  34.1   0.03  -66.7    650
UUP    POWERSHARES  UUP US 10/20/12 C22       11.4   8.4   0.09  -30.8   4401
DIA    SPDR DJIA T  DIA US 10/20/12 P136      11.4  11.5   1.70  -33.6   2108
MWV    MEADWESTVAC  MWV US 03/16/13 C30       11.3  23.7   2.40   24.4    437
SWC    STILLWATER   SWC US 10/20/12 C12       11.3  67.2   0.85   30.8   1092
IDCC   INTERDIGITA  IDCC US 10/20/12 C37.5    11.3  43.6   1.25   -7.4    213
ITUB   ITAU UNIBAN  ITUB US 11/17/12 C16      11.2  35.1   0.50   19.1   2100
IWM    ISHARES-RUS  IWM US 10/20/12 P85       11.2  17.3   1.68  -25.3   1089
SPY    SPDR S&P 50  SPY US 10/20/12 P147      11.2  12.0   2.55  -26.3   1537
JPM    JPMORGAN CH  JPM US 10/20/12 C38       11.2  32.1   3.50   34.6    271
TSCO   TRACTOR SUP  TSCO US 10/20/12 C100     11.2  27.7   2.35   14.6    301
XLE    SPDR-ENERGY  XLE US 10/20/12 P73.5     11.2  18.8   0.83  -30.8    249
XLE    SPDR-ENERGY  XLE US 10/20/12 P75       11.2  17.5   1.41  -31.2    298
FXI    ISHARES FTS  FXI US 10/20/12 P35       11.1  22.6   0.61  -30.7    803
EEM    ISHARES-EMG  EEM US 10/20/12 P39       11.1  26.2   0.12  -40.0    278
SYMC   SYMANTEC CO  SYMC US 01/19/13 P11      11.0  46.7   0.03    0.0    473
VRX    VALEANT PHA  VRX US 10/20/12 P52.5     10.9  41.1   0.50  -37.5    230
EEM    ISHARES-EMG  EEM US 10/20/12 P42.5     10.8  19.0   1.02  -30.6    429
CMCSA  COMCAST COR  CMCSA US 10/20/12 P30     10.8  43.1   0.03    0.0    750
MS     MORGAN STAN  MS US 10/20/12 P10        10.8 102.7   0.01    0.0    253
INFY   INFOSYS LTD  INFY US 10/20/12 C47.5    10.8  49.8   3.00   20.0    505
RHT    RED HAT INC  RHT US 10/20/12 C57.5     10.7  33.2   1.05  -30.0    221
FXI    ISHARES FTS  FXI US 10/20/12 C36       10.7  20.8   0.33   83.3   3311
MMM    3M CO        MMM US 10/20/12 P90       10.6  19.1   0.34  -42.4    222
MMM    3M CO        MMM US 10/20/12 C95       10.6  15.1   0.87  141.7   1664
NKE    NIKE INC -C  NKE US 10/20/12 P80       10.6  39.3   0.05    0.0    303
GS     GOLDMAN SAC  GS US 10/20/12 P105       10.6  36.8   0.27  -59.7    572
IWM    ISHARES-RUS  IWM US 10/20/12 P84       10.6  18.1   1.18  -26.7   1904
AGU    AGRIUM INC   AGU US 10/20/12 C105      10.5  26.1   2.85   67.7    477
LULU   LULULEMON A  LULU US 10/20/12 C75      10.4  42.1   2.46   10.3    246
AMGN   AMGEN INC    AMGN US 10/20/12 P77.5    10.4  22.7   0.05  -44.4    227
CVC    CABLEVISION  CVC US 10/20/12 C16       10.4  31.1   0.33  -34.0   1030
FNFG   FIRST NIAGA  FNFG US 01/19/13 C5       10.4  68.9   3.10   -3.1    200
GS     GOLDMAN SAC  GS US 10/20/12 C110       10.4  33.2   9.05   58.8    698
XLE    SPDR-ENERGY  XLE US 10/20/12 P74.5     10.3  17.9   1.17  -32.8    249
UNG    US NAT GAS   UNG US 10/20/12 P20       10.3  44.4   0.15  -53.1   2223
GE     GENERAL ELE  GE US 10/20/12 C22        10.2  23.4   1.07   18.9    882
SPY    SPDR S&P 50  SPY US 10/20/12 P145      10.2  13.1   1.44  -33.9  21646
MA     MASTERCARD   MA US 10/20/12 C465       10.2  17.9   4.60  101.8    305
SPY    SPDR S&P 50  SPY US 10/20/12 P141      10.2  16.0   0.54  -33.3   5020
GE     GENERAL ELE  GE US 10/20/12 P21        10.1  28.7   0.05  -16.7    894
T      AT&T INC     T US 10/20/12 P35         10.1  22.2   0.07  -12.5    203
LULU   LULULEMON A  LULU US 10/20/12 P72.5    10.1  43.9   1.87  -12.2    380
V      VISA INC-CL  V US 11/17/12 C140        10.1  21.8   2.89   77.3    501
KFT    KRAFT FOODS  KFT US 10/20/12 C41       10.0  22.2   1.68   76.8    247
VZ     VERIZON COM  VZ US 10/20/12 P44        10.0  19.6   0.28  -20.0    515

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
XOM    EXXON MOBIL  XOM US 01/19/13 C65      -68.4   9.4  26.95    1.5    234
SVNT   SAVIENT PHA  SVNT US 12/22/12 C2      -55.2  42.5   0.56    5.7    240
SVNT   SAVIENT PHA  SVNT US 01/19/13 C2      -49.9  40.8   0.60   25.0    215
SVNT   SAVIENT PHA  SVNT US 12/22/12 C2.5    -38.6  60.2   0.32   39.1    489
OCN    OCWEN FINL   OCN US 10/20/12 C22.5    -30.9  41.6   5.20    0.0    613
ARR    ARMOUR RESI  ARR US 10/20/12 C7.5     -29.2   9.5   0.16    6.7    200
XLE    SPDR-ENERGY  XLE US 03/28/13 P58      -29.0  29.9   0.88   11.4    200
THLD   THRESHOLD P  THLD US 10/20/12 C5      -27.0  88.4   1.35  -43.8   1236
GDX    MKT VECT-GO  GDX US 03/16/13 C56      -26.6  33.2   3.95    6.2    477
ARIA   ARIAD PHARM  ARIA US 10/20/12 P23     -24.1  40.3   0.40  -42.9   1034
YONG   YONGYE INTE  YONG US 10/20/12 C3.5    -22.1  84.4   1.10    0.0    271
ARIA   ARIAD PHARM  ARIA US 10/20/12 C24     -21.9  41.3   1.05  -16.0    451
SNTA   SYNTA PHARM  SNTA US 10/20/12 C7.5    -20.6  99.5   1.35   50.0   1137
GDX    MKT VECT-GO  GDX US 01/19/13 C53      -20.4  33.9   4.16    4.0    538
FEZ    SPDR EURO S  FEZ US 10/20/12 C32      -20.1  20.9   0.50   25.0    239
GDX    MKT VECT-GO  GDX US 01/19/13 C54      -20.1  33.5   3.60    2.9    372
GDX    MKT VECT-GO  GDX US 01/19/13 C55      -19.5  33.2   3.05   -1.6    241
ARIA   ARIAD PHARM  ARIA US 10/20/12 C25     -19.1  41.9   0.60  -33.3    354
ARIA   ARIAD PHARM  ARIA US 10/20/12 P24     -18.6  42.4   0.80  -27.3    860
GRPN   GROUPON INC  GRPN US 04/20/13 C3      -17.1  81.3   2.10  -17.6    293
OCN    OCWEN FINL   OCN US 01/19/13 C22.5    -15.9  53.1   6.30    6.8   3651
OCN    OCWEN FINL   OCN US 01/19/13 C20      -15.6  53.9   8.20   -3.5   3359
MDRX   ALLSCRIPTS   MDRX US 10/20/12 P13     -15.2  46.5   0.52  -38.8    410
ARIA   ARIAD PHARM  ARIA US 10/20/12 P25     -14.4  42.2   1.05  -46.1    453
QQQ    POWERSH-QQQ  QQQ US 10/20/12 P68      -13.1  16.4   0.53  -27.4   2319
OCN    OCWEN FINL   OCN US 04/20/13 C25      -12.8  49.2   5.30   -3.6    642
ATK    ALLIANT TEC  ATK US 10/20/12 P50      -12.0  35.1   0.75  -63.4    427
EXEL   EXELIXIS IN  EXEL US 10/20/12 C5      -11.8  72.8   0.25  -28.6    583
RGLD   ROYAL GOLD   RGLD US 10/20/12 C70     -11.6  75.3  29.50    8.9    393
OLN    OLIN CORP    OLN US 11/17/12 C22.5    -11.2  26.6   0.30  -57.1   1676
GDX    MKT VECT-GO  GDX US 12/22/12 P51      -10.9  29.5   1.87  -18.0    214
SPNC   SPECTRANETI  SPNC US 11/17/12 C15     -10.9  32.4   0.65    8.3    500
PDLI   PDL BIOPHAR  PDLI US 02/16/13 C8      -10.6  21.1   0.30   20.0    255
S      SPRINT NEXT  S US 10/20/12 P4.5       -10.3  47.8   0.01  -66.7    569
SAN    BANCO SANTA  SAN US 10/20/12 P7       -10.0  40.0   0.15  -25.0    237

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

-- Bloomberg News

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