Bloomberg News

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

November 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
=============================================================================
SDS    PRO ULTSHRT  SDS1 US 12/22/12 P16     658.7 319.5   2.13  -20.5   1673
INTC   INTEL CORP   INTC US 01/19/13 C17.5    89.1  35.5   4.60    0.0    715
RHP    RYMAN HOSPI  RHP US 01/19/13 C40       76.1  71.9   1.65  -25.0    711
F      FORD MOTOR   F US 12/22/12 C9          38.1  35.1   2.31    6.0    658
HUN    HUNTSMAN CO  HUN US 01/19/13 C15       28.3  40.5   2.20   37.5    686
HII    HUNTINGTON   HII US 12/22/12 C45       27.7  37.5   1.95   77.3    853
CLWR   CLEARWIRE -  CLWR US 12/22/12 P2       22.8 105.5   0.21    5.0   6288
AGNC   AMERICAN CA  AGNC US 12/22/12 P32      21.4  21.1   1.30   13.0    761
CLWR   CLEARWIRE -  CLWR US 01/19/13 C1.5     18.7 133.6   0.90   20.0   1220
AGNC   AMERICAN CA  AGNC US 12/22/12 P33      18.1  20.9   2.00   15.6    691
FXEN   FX ENERGY I  FXEN US 12/22/12 P5       17.9  78.7   0.60    0.0    552
F      FORD MOTOR   F US 12/22/12 P9          17.8  37.8   0.03   50.0  14278
CLWR   CLEARWIRE -  CLWR US 12/22/12 C2       17.6 108.7   0.40   14.3   2536
NXY    NEXEN INC    NXY US 12/22/12 C25       13.7  54.2   1.55    0.0    770
JNK    SPDR BARCLA  JNK US 01/19/13 P40.13    13.2   8.2   0.85  -22.7   1000
DRI    DARDEN REST  DRI US 04/20/13 C55       13.2  24.3   1.85  -13.2   1902
CI     CIGNA CORP   CI US 12/22/12 P52.5      12.9  27.5   1.76   12.8    614
GNRC   GENERAC HOL  GNRC US 12/22/12 P30      12.8  56.8   0.40  -46.7    552
RIMM   RESEARCH IN  RIMM US 01/19/13 C6       12.3  76.9   3.24   17.8    565
DIA    SPDR DJIA T  DIA US 12/22/12 C130      12.3  14.9   2.90    0.7    503
GNRC   GENERAC HOL  GNRC US 12/22/12 C35      12.0  52.2   4.30  104.8    703
SPY    SPDR S&P 50  SPY US 12/22/12 C139      12.0  16.8   4.80    6.7    732
SPY    SPDR S&P 50  SPY US 12/22/12 C140      11.9  16.3   4.16    7.8   6159
EEM    ISHARES-EMG  EEM US 12/22/12 C41.5     11.8  20.9   1.31    7.4   5510
GNRC   GENERAC HOL  GNRC US 12/22/12 C40      11.6  52.3   1.95  200.0    951
FMCN   FOCUS MEDIA  FMCN US 01/19/13 P24      11.6  45.7   1.60   10.3   2147
SPY    SPDR S&P 50  SPY US 12/22/12 C141      11.4  15.9   3.53    9.3   5613
COL    ROCKWELL CO  COL US 01/19/13 C55       11.4  23.5   1.90   22.6   1396
YHOO   YAHOO! INC   YHOO US 04/20/13 C12      11.0  36.3   5.30    1.9   2190
CI     CIGNA CORP   CI US 12/22/12 C55        10.9  26.4   1.30   16.1    552
SPY    SPDR S&P 50  SPY US 12/22/12 C143      10.7  15.0   2.40   11.6  20257
SPY    SPDR S&P 50  SPY US 12/22/12 C144      10.3  14.6   1.92   11.0   9267
PVH    PVH CORP     PVH US 12/22/12 C100      10.1  39.8  14.00  438.5   1461
MCO    MOODY'S COR  MCO US 12/22/12 P45       10.0  30.7   1.37   87.7   5100

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SCCO   SOUTHERN CO  SCCO US 03/16/13 C33     -73.4  13.5   5.30  -11.2   1067
SCCO   SOUTHERN CO  SCCO US 03/16/13 C31     -69.4  19.3   7.30    1.4    630
SCCO   SOUTHERN CO  SCCO US 01/19/13 C25     -62.7  47.0  13.30   25.5  11200
BWP    BOARDWALK P  BWP US 12/22/12 C25      -58.4   9.8   1.30  -13.3   1680
SCCO   SOUTHERN CO  SCCO US 12/22/12 C28     -56.5  51.6  10.30   17.1    844
SCCO   SOUTHERN CO  SCCO US 01/19/13 C30     -53.6  32.2   8.30    2.3  33487
SCCO   SOUTHERN CO  SCCO US 01/19/13 C28     -52.3  47.8  10.30    3.0   2600
SCCO   SOUTHERN CO  SCCO US 01/18/14 C30     -51.6  20.3   8.30   -7.8  51840
SCCO   SOUTHERN CO  SCCO US 03/16/13 C32     -49.9  29.1   6.30    4.5   1170
XLB    SPDR-MATERI  XLB US 03/16/13 P33      -43.0  24.6   0.97   19.8   1050
AUY    YAMANA GOLD  AUY US 01/19/13 C12.5    -40.1  28.3   6.80    3.0    614
GALE   GALENA BIOP  GALE US 04/20/13 C2      -37.9  60.1   0.50   -9.1   2965
XLY    SPDR-CONS D  XLY US 03/16/13 P42      -30.9  22.0   0.79  -54.3   3344
XLV    SPDR-HEALTH  XLV US 03/16/13 P36      -29.6  19.0   0.49   16.7   4700
SCCO   SOUTHERN CO  SCCO US 01/18/14 C28     -27.9  36.8  10.30    4.0  11440
TJX    TJX COS INC  TJX US 01/19/13 C27.5    -25.1  36.6  14.50    0.0   1120
SCCO   SOUTHERN CO  SCCO US 01/18/14 C23     -23.3  52.3  15.30   29.0   6400
SCCO   SOUTHERN CO  SCCO US 01/18/14 C25     -20.4  47.3  13.30   31.3  11880
EEM    ISHARES-EMG  EEM US 12/22/12 P41.5    -16.9  20.3   1.30   -5.1   5616
SCCO   SOUTHERN CO  SCCO US 01/19/13 C36     -16.0  25.5   2.35  -13.0   3049
HNT    HEALTH NET   HNT US 01/19/13 P25      -15.9  43.2   1.65  -55.4    675
LORL   LORAL SPACE  LORL US 01/19/13 C35     -15.6  89.6  44.30    0.0   5145
BMRN   BIOMARIN PH  BMRN US 01/19/13 P26     -13.8  77.0   0.20  -60.0    500
CKSW   CLICKSOFTWA  CKSW US 12/22/12 C7.5    -13.7  36.2   0.30  -40.0    510
SCCO   SOUTHERN CO  SCCO US 01/19/13 C31     -13.7  57.1   7.30    0.3   1262
XLB    SPDR-MATERI  XLB US 01/19/13 P36      -13.5  21.0   1.47    8.1    566
PCYC   PHARMACYCLI  PCYC US 01/19/13 P33     -12.2  79.2   0.65    0.0   2500
IWM    ISHARES-RUS  IWM US 12/22/12 P85      -11.1  16.0   4.38  -11.3    581
MTW    MANITOWOC C  MTW US 12/22/12 C13      -10.9  53.8   2.01   -2.9    511
SPLS   STAPLES INC  SPLS US 01/19/13 P11     -10.5  37.5   0.64   -1.5    647
TWC    TIME WARNER  TWC US 01/19/13 P82.5    -10.4  22.8   0.75   66.7    536
TSLA   TESLA MOTOR  TSLA US 03/16/13 P28     -10.1  54.4   4.10  -18.6   1500

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

-- Bloomberg News

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