Bloomberg News

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

November 27, 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
=============================================================================
NWL    NEWELL RUBB  NWL US 12/22/12 C19      340.0  41.3   2.40    6.2   2866
ALL    ALLSTATE CO  ALL US 01/19/13 C35      235.0  31.4   5.85   11.4   2724
ARNA   ARENA PHARM  ARNA US 01/19/13 C3.5     65.3 173.2   5.75    2.7   1200
LVS    LAS VEGAS S  LVS US 12/22/12 C45       61.6  44.1   2.29  189.9   1087
LVS    LAS VEGAS S  LVS US 01/19/13 C45       61.3  47.4   2.75   96.4    702
LVS    LAS VEGAS S  LVS US 12/22/12 C46       57.1  42.1   1.64  241.7   2479
LVS    LAS VEGAS S  LVS US 01/19/13 C46       57.0  45.3   2.25  120.6    996
LVS    LAS VEGAS S  LVS US 01/19/13 C47       52.6  43.5   1.68  121.0   1229
LVS    LAS VEGAS S  LVS US 12/22/12 C47       51.1  40.6   1.09  289.3   2793
LVS    LAS VEGAS S  LVS US 01/19/13 C48       46.9  41.7   1.22  121.8    633
LVS    LAS VEGAS S  LVS US 12/22/12 C48       46.4  39.3   0.70  337.5   2898
MNST   MONSTER BEV  MNST US 12/22/12 P52.5    43.3  44.9   3.80  -52.3    916
LVS    LAS VEGAS S  LVS US 01/19/13 C49       43.2  40.2   0.94  147.4    674
LVS    LAS VEGAS S  LVS US 12/22/12 C49       39.5  38.3   0.40  344.4    979
YHOO   YAHOO! INC   YHOO US 12/22/12 C16      35.3  40.0   3.05   10.1    631
LVS    LAS VEGAS S  LVS US 01/18/14 C30       34.5  56.8  17.30   13.4    689
IWM    ISHARES-RUS  IWM US 12/22/12 P84       31.1  15.2   3.80   -8.2    527
AMD    ADV MICRO D  AMD US 12/22/12 C1.5      28.6  76.4   0.38    2.7   1575
MNST   MONSTER BEV  MNST US 12/22/12 C52.5    26.6  46.8   1.40  677.8   4396
KCG    KNIGHT CAPI  KCG US 01/19/13 C2.5      25.4  62.5   0.50   25.0   1262
MNST   MONSTER BEV  MNST US 12/22/12 C50      22.6  46.6   2.50  354.6   1964
COV    COVIDIEN PL  COV US 01/19/13 C55       22.1  19.1   3.40   25.9   2006
EQR    EQUITY RESI  EQR US 12/22/12 C55       21.6  19.0   1.15   91.7   1510
ALL    ALLSTATE CO  ALL US 01/19/13 C36       21.1  27.8   4.85   13.6   8230
MNST   MONSTER BEV  MNST US 12/22/12 P50      21.0  45.7   2.37  -48.5    721
GLW    CORNING INC  GLW US 12/22/12 P11       20.7  30.6   0.05  -66.7    581
MYL    MYLAN INC    MYL US 12/22/12 C25       20.5  28.5   2.32   20.2   1736
GLW    CORNING INC  GLW US 12/22/12 C11       20.0  30.3   1.22  144.0   1121
KCG    KNIGHT CAPI  KCG US 01/19/13 P2.5      19.9  55.9   0.05  -50.0   1771
PPHM   PEREGRINE P  PPHM US 12/22/12 C1       19.5 208.1   0.30  100.0    598
AMRN   AMARIN CORP  AMRN US 12/22/12 P9       19.3 123.8   0.30    0.0    646
TWX    TIME WARNER  TWX US 12/22/12 C39       18.9  52.7   7.70   43.9    560
JOSB   JOS A BANK   JOSB US 12/22/12 P45      18.2  59.9   1.81   24.8   1939
MWV    MEADWESTVAC  MWV US 03/16/13 C30       17.8  24.5   1.35   43.6   2694
MNST   MONSTER BEV  MNST US 12/22/12 P47.5    17.7  48.4   1.35  -53.6    615
EWG    ISHARES-GER  EWG US 01/19/13 C20       17.3  31.5   3.20   -3.0   2042
PFG    PRINCIPAL F  PFG US 12/22/12 C27       17.0  25.9   0.82   49.1    517
CROX   CROCS INC    CROX US 01/19/13 C11      16.2  50.9   2.75   66.7   1121
MMP    MAGELLAN MI  MMP US 12/22/12 C45       15.9  18.4   0.35   40.0   1024
Z      ZILLOW INC-  Z US 12/22/12 P22.5       15.7  69.4   0.60  100.0   1960
F      FORD MOTOR   F US 12/22/12 C9          15.4  40.9   2.16    5.4   1800
AKAM   AKAMAI TECH  AKAM US 12/22/12 C35      14.7  34.4   0.90  -37.9   1494
SMBL   SMART BALAN  SMBL US 12/22/12 C10      14.7  54.9   2.42   61.3    865
PFG    PRINCIPAL F  PFG US 12/22/12 P27       14.5  25.1   0.60   -1.6   1716
ALL    ALLSTATE CO  ALL US 01/19/13 C33       14.3  40.6   7.65    6.2  28000
FSLR   FIRST SOLAR  FSLR US 12/22/12 C27      13.9  64.3   1.20   64.4   1632
NXY    NEXEN INC    NXY US 12/22/12 C25       13.9  72.2   1.35  -12.9    791
NXY    NEXEN INC    NXY US 03/16/13 C24       13.9  47.9   2.52   -4.9   1173
FSLR   FIRST SOLAR  FSLR US 12/22/12 C26      13.7  64.2   1.50   36.4   2605
IWM    ISHARES-RUS  IWM US 12/22/12 P83       13.5  15.0   3.18   -7.0    887
UNP    UNION PAC C  UNP US 12/22/12 C110      13.4  35.9  12.80   11.3   1750
NXY    NEXEN INC    NXY US 01/19/13 C25       13.4  58.2   1.70   -8.1    534
VRSN   VERISIGN IN  VRSN US 12/22/12 P35      13.1 100.8   1.87   16.9   2418
JIVE   JIVE SOFTWA  JIVE US 12/22/12 C12.5    13.0  52.7   1.40    3.7    710
IBKR   INTERACTIVE  IBKR US 12/22/12 C14      13.0  30.2   1.15    9.5   4525
DVAX   DYNAVAX TEC  DVAX US 01/19/13 P2.5     13.0  90.1   0.25   25.0    505
YHOO   YAHOO! INC   YHOO US 12/22/12 P17      12.5  30.6   0.05    0.0   1305
CROX   CROCS INC    CROX US 12/22/12 C13      12.3  40.6   1.00  376.2    774
FSLR   FIRST SOLAR  FSLR US 12/22/12 C25      12.2  64.6   2.08   40.5   1126
LNG    CHENIERE EN  LNG US 12/22/12 C15       12.0  43.3   1.27   64.9    554
PFG    PRINCIPAL F  PFG US 12/22/12 P26       12.0  27.2   0.30  -25.0   1584
FMCN   FOCUS MEDIA  FMCN US 12/22/12 P22      11.7  65.2   0.85   21.4    781
AKAM   AKAMAI TECH  AKAM US 12/22/12 P35      11.6  33.9   1.61  103.8    703
GLW    CORNING INC  GLW US 01/19/13 C11       11.4  29.9   1.28   96.9    670
XLU    SPDR-UTIL S  XLU US 12/22/12 P35       11.4  13.4   0.96  -11.9   1586
ES     ENERGYSOLUT  ES US 01/19/13 C2.5       11.3  79.6   0.75   15.4    588
NEE    NEXTERA ENE  NEE US 12/22/12 C65       11.2  20.6   3.10   12.7   1283
Z      ZILLOW INC-  Z US 12/22/12 P20         11.2  72.7   0.25  150.0   1778
VRSN   VERISIGN IN  VRSN US 01/19/13 C40      11.0  67.8   4.10   15.5    544
FDX    FEDEX CORP   FDX US 12/22/12 C92.5     10.8  21.7   0.76   52.0   2293
HFC    HOLLYFRONTI  HFC US 12/22/12 C42       10.6  36.2   3.50    9.0   1841
CLSN   CELSION COR  CLSN US 02/16/13 C7       10.6 279.4   2.75    1.9    614
COV    COVIDIEN PL  COV US 01/19/13 C57.5     10.5  17.2   1.65   32.0    854
NXY    NEXEN INC    NXY US 01/19/13 P20       10.4  82.1   1.20    0.0  11573
DNDN   DENDREON CO  DNDN US 01/19/13 C4.5     10.1  75.7   0.42   -4.5    563
VXX    IPATH-S&P S  VXX1 US 01/19/13 P15      10.0  97.8   7.65    0.7    605
LO     LORILLARD I  LO US 01/19/13 C105       10.0  41.8  17.30   65.2    743

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
RAH    RALCORP HLD  RAH US 03/16/13 C90      -96.6   2.1   0.05  -92.3   2265
RAH    RALCORP HLD  RAH US 12/22/12 P90      -91.7   3.6   1.15    0.0    635
RAH    RALCORP HLD  RAH US 06/22/13 P90      -89.5   2.4   1.20    0.0   1432
RAH    RALCORP HLD  RAH US 03/16/13 C85      -78.1  12.0   4.60  736.4    500
LVS    LAS VEGAS S  LVS US 01/19/13 P45      -76.9   6.7   1.37  -50.0    521
LVS    LAS VEGAS S  LVS US 12/22/12 P44      -75.7   6.8   0.48  -66.0   1052
RAH    RALCORP HLD  RAH US 12/22/12 P85      -74.4  11.4   0.10    0.0    888
ACAD   ACADIA PHAR  ACAD US 12/22/12 C5      -69.7 107.6   0.70  133.3   6299
ACAD   ACADIA PHAR  ACAD US 12/22/12 P4.5    -69.7 110.5   0.25  -90.7   2518
ACAD   ACADIA PHAR  ACAD US 12/22/12 C4.5    -69.3 108.3   1.25  212.5   1025
ACAD   ACADIA PHAR  ACAD US 12/22/12 P5      -69.2 105.8   0.40  -86.7  14398
ACAD   ACADIA PHAR  ACAD US 12/22/12 C4      -66.7 130.1   1.55  210.0    754
ACAD   ACADIA PHAR  ACAD US 12/22/12 P3      -60.1 164.6   0.05  -96.5    778
ACAD   ACADIA PHAR  ACAD US 12/22/12 C3      -58.5 175.2   2.35  193.8    524
RAH    RALCORP HLD  RAH US 06/22/13 P85      -58.3   8.6   0.75    0.0   1107
RAH    RALCORP HLD  RAH US 12/22/12 C82.5    -58.2  23.1   6.34 1052.7   1502
ACAD   ACADIA PHAR  ACAD US 12/22/12 C2.5    -57.4 176.5   2.90  241.2  10578
ACAD   ACADIA PHAR  ACAD US 03/16/13 P4.5    -56.3  92.8   0.55    0.0    802
ACAD   ACADIA PHAR  ACAD US 03/16/13 C5      -55.0  93.0   1.20  140.0    694
ACAD   ACADIA PHAR  ACAD US 12/22/12 P2.5    -54.6 193.3   0.05  -95.5   3300
RAH    RALCORP HLD  RAH US 03/16/13 P85      -54.2  11.0   0.65    0.0    658
LVS    LAS VEGAS S  LVS US 12/22/12 P43      -53.4  13.7   0.34  -64.6   1243
ACAD   ACADIA PHAR  ACAD US 03/16/13 P2.5    -47.6 119.2   0.20  -84.0    604
RAH    RALCORP HLD  RAH US 12/22/12 C80      -46.6  22.8   8.84 1507.3   2346
LVS    LAS VEGAS S  LVS US 12/22/12 P42      -40.8  17.9   0.22  -66.2    822
ADT    ADT CORP/TH  ADT US 12/22/12 P42      -33.3  24.9   0.45  -64.0   1000
KO     COCA-COLA C  KO US 01/19/13 C31.25    -31.4  37.6   6.30    5.0   3600
ADT    ADT CORP/TH  ADT US 12/22/12 P41      -28.8  25.4   0.15  -82.3   1076
CSX    CSX CORP     CSX US 01/19/13 C15      -28.2  37.5   5.17    5.5   1758
CRDN   CERADYNE IN  CRDN US 12/22/12 P32.5   -27.5  18.3   0.05  -66.7    518
ADT    ADT CORP/TH  ADT US 12/22/12 C45      -27.5  25.7   0.95   18.8   1139
KO     COCA-COLA C  KO US 05/18/13 C30       -24.3  26.1   7.50    8.7    600
MMR    MCMORAN EXP  MMR US 12/22/12 P5       -23.5 135.7   0.06    0.0   3031
ACAD   ACADIA PHAR  ACAD US 12/22/12 P1.5    -23.4 308.9   0.04  -90.9    548
KO     COCA-COLA C  KO US 01/19/13 C28.75    -20.7  50.6   8.80   -9.7   4000
KCG    KNIGHT CAPI  KCG US 01/18/14 P3       -20.0  33.4   0.50  -33.3    711
RIMM   RESEARCH IN  RIMM US 12/22/12 C7      -19.4  87.6   4.00  -20.0   8102
RIMM   RESEARCH IN  RIMM US 12/22/12 P7      -19.3  84.8   0.02  -33.3    799
KKD    KRISPY KREM  KKD US 12/22/12 P9       -18.6  30.3   0.30   50.0    572
MMR    MCMORAN EXP  MMR US 12/22/12 P7       -18.6 105.6   0.27    8.0   3160
MMR    MCMORAN EXP  MMR US 12/22/12 C7       -18.4 105.7   1.95  -46.6    859
EL     ESTEE LAUDE  EL US 01/19/13 C52.5     -18.3  31.9   6.70   40.2   3000
MMR    MCMORAN EXP  MMR US 12/22/12 P8       -17.4 100.2   0.61   35.6   4220
MMR    MCMORAN EXP  MMR US 12/22/12 C8       -17.2 100.1   1.07  -51.4   6665
ADT    ADT CORP/TH  ADT US 12/22/12 C41      -17.1  29.6   3.40   28.3   3754
CSCO   CISCO SYSTE  CSCO US 01/18/14 C10     -16.6  38.5   9.05    0.0    629
KO     COCA-COLA C  KO US 01/18/14 C27.5     -16.4  25.7  10.00    4.2   4800
CSCO   CISCO SYSTE  CSCO US 12/22/12 P19     -16.0  18.8   0.38  -11.6   1232
STSI   STAR SCIENT  STSI US 02/16/13 P2      -15.4  83.2   0.15  -25.0    532
ROVI   ROVI CORP    ROVI US 12/22/12 C15     -15.2  32.4   0.75   87.5   1020
ZNGA   ZYNGA INC-   ZNGA US 12/22/12 C2      -14.8  54.1   0.46    7.0   1092
KO     COCA-COLA C  KO US 01/18/14 C25       -14.7  32.2  12.60   -4.8   1440
MMR    MCMORAN EXP  MMR US 01/19/13 P6       -13.1 112.7   0.36   50.0   2291
INFA   INFORMATICA  INFA US 12/22/12 P25     -12.7  37.1   0.25  -21.9   3187
MMR    MCMORAN EXP  MMR US 12/22/12 P6       -12.6 120.9   0.13   30.0   3547
VZ     VERIZON COM  VZ US 12/22/12 C43       -11.6  17.3   0.83   -7.8    525
IBM    IBM          IBM US 12/22/12 C190     -11.6  14.9   3.60  -23.4    515
KCG    KNIGHT CAPI  KCG US 12/22/12 C2.5     -11.5  62.7   0.45   12.5    538
BCS    BARCLAYS PL  BCS US 06/22/13 P13      -11.3  40.9   0.85    0.0    609
ARNA   ARENA PHARM  ARNA US 01/19/13 C1.5    -11.3 305.5   7.75    4.7    800
VZ     VERIZON COM  VZ US 01/19/13 C42       -10.9  17.3   1.62   -9.5   1137
EBAY   EBAY INC     EBAY US 12/22/12 P52.5   -10.8  24.2   2.05    2.5   1146
YHOO   YAHOO! INC   YHOO US 12/22/12 P20     -10.8  26.4   1.15  -17.3    822
CSCO   CISCO SYSTE  CSCO US 12/22/12 P18     -10.6  21.4   0.09  -25.0    863
NOK    NOKIA CORP-  NOK US 12/22/12 C3       -10.4  62.6   0.33  -28.3   1697
CSCO   CISCO SYSTE  CSCO US 01/19/13 P19     -10.4  20.2   0.58   -9.4   1781
MMR    MCMORAN EXP  MMR US 01/19/13 P7.5     -10.2 100.4   0.76   26.7   1565

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

-- Bloomberg News

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


Best LBO Ever
LIMITED-TIME OFFER SUBSCRIBE NOW
 
blog comments powered by Disqus