Bloomberg News

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

December 03, 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
=============================================================================
LVS    LAS VEGAS S  LVS US 12/22/12 P44      641.5  34.2   0.29  -37.0    586
LVS    LAS VEGAS S  LVS US 12/22/12 P43      187.0  36.7   0.22  -24.1    529
LVS    LAS VEGAS S  LVS US 03/16/13 P47      182.0  32.6   3.05  -11.6    211
WFM    WHOLE FOODS  WFM US 12/22/12 P92.5    142.2  22.9   2.00   30.7    376
LVS    LAS VEGAS S  LVS US 12/22/12 P42      121.4  39.3   0.15  -25.0    338
LVS    LAS VEGAS S  LVS US 12/22/12 P40       74.2  46.0   0.10    0.0    290
TLT    ISHARES BAR  TLT US 12/22/12 C119      61.8  15.7   5.35  -10.1    273
QIHU   QIHOO 360 T  QIHU US 12/22/12 C25      52.0  55.6   2.85  216.7   2311
LVS    LAS VEGAS S  LVS US 12/22/12 P36       46.5  60.5   0.05    0.0    261
QIHU   QIHOO 360 T  QIHU US 12/22/12 P23      44.4  55.0   0.10  -60.0    285
JNK    SPDR BARCLA  JNK US 01/19/13 P39.74    43.8   9.2   0.40  -42.9    400
QIHU   QIHOO 360 T  QIHU US 12/22/12 C27      37.8  52.1   1.46  386.7   1176
QIHU   QIHOO 360 T  QIHU US 12/22/12 C28      35.5  52.4   1.05  600.0    332
EBAY   EBAY INC     EBAY US 12/22/12 C50      34.7  26.4   2.83  -12.1    288
QIHU   QIHOO 360 T  QIHU US 12/22/12 C26      33.7  51.3   2.15  377.8    570
VRSN   VERISIGN IN  VRSN US 12/22/12 P31      32.6  47.8   0.09  -55.0    207
VRSN   VERISIGN IN  VRSN US 12/22/12 P32      31.8  45.1   0.19  -34.5    201
VRSN   VERISIGN IN  VRSN US 12/22/12 P33      31.5  42.4   0.26  -54.4   4629
VRSN   VERISIGN IN  VRSN US 12/22/12 C33      29.9  43.0   3.25  103.1    318
PDLI   PDL BIOPHAR  PDLI US 01/19/13 C8       28.4  25.3   0.15    0.0    280
VRSN   VERISIGN IN  VRSN US 12/22/12 C34      26.3  40.7   2.45  113.0    644
VRSN   VERISIGN IN  VRSN US 12/22/12 P34      25.7  39.7   0.37  -59.3    228
XLF    SPDR-FINL S  XLF US 12/22/12 C15       25.5  20.8   0.78   -4.9   1728
QIHU   QIHOO 360 T  QIHU US 12/22/12 C24      24.4  47.9   3.41  143.6    308
DISH   DISH NETWOR  DISH US 03/16/13 C33      23.8  50.2   5.00    4.2    824
AMD    ADV MICRO D  AMD US 12/22/12 P2        23.3  83.8   0.05  -37.5    218
DISH   DISH NETWOR  DISH US 12/22/12 C37      23.2  41.5   0.85  -29.2   2869
DELL   DELL INC     DELL US 12/22/12 P9       23.1  41.1   0.04  -42.9    561
FB     FACEBOOK IN  FB US 12/22/12 C22        22.4  72.4   6.50    8.3    663
DELL   DELL INC     DELL US 12/22/12 P10      22.3  37.7   0.24  -55.6   5045
QIHU   QIHOO 360 T  QIHU US 01/19/13 C26      21.5  50.9   2.55  142.9    306
TZA    DIR SMCAP B  TZA US 12/22/12 C15       20.4  52.1   0.84    6.3   2619
AMD    ADV MICRO D  AMD US 12/22/12 C2        19.9  82.9   0.40   66.7    685
QIHU   QIHOO 360 T  QIHU US 01/19/13 C27      19.8  50.0   2.20  214.3    553
QIHU   QIHOO 360 T  QIHU US 01/19/13 C24      19.4  51.8   4.05   97.6    752
S      SPRINT NEXT  S US 02/16/13 C5.5        19.4  21.7   0.36   24.1    232
VRSN   VERISIGN IN  VRSN US 01/19/13 P32.25   19.0  37.3   0.42  -50.6    680
DISH   DISH NETWOR  DISH US 01/19/13 C37      19.0  43.4   1.55  -24.4   3022
SODA   SODASTREAM   SODA US 12/22/12 P40      18.9  48.5   1.60   -5.9    521
XLU    SPDR-UTIL S  XLU US 01/19/13 C35       18.7  12.5   0.56   -6.7    243
CLR    CONTL RES I  CLR US 12/22/12 C70       18.7  41.4   4.66  182.4    598
DELL   DELL INC     DELL US 12/22/12 C10      18.1  36.9   0.43  207.1   1820
FB     FACEBOOK IN  FB US 12/22/12 P29        18.0  52.7   1.68  -11.6   1225
VRSN   VERISIGN IN  VRSN US 12/22/12 C35      17.7  38.8   2.15  194.5    911
VRSN   VERISIGN IN  VRSN US 01/19/13 C34.25   17.6  36.9   3.00   97.4    797
PHM    PULTEGROUP   PHM US 12/22/12 P11       17.5  91.4   0.01  -66.7    212
SYK    STRYKER COR  SYK US 12/22/12 C52.5     17.3  22.4   2.65   39.5    600
FB     FACEBOOK IN  FB US 12/22/12 P26        16.5  54.5   0.46  -16.4   2680
VRSN   VERISIGN IN  VRSN US 01/19/13 P34.25   16.1  36.1   0.90  -43.4    355
S      SPRINT NEXT  S US 01/19/13 P5          16.1  28.9   0.03   50.0    252
AEP    AMERICAN EL  AEP US 12/22/12 C43       15.9  12.1   0.20  -20.0    212
FB     FACEBOOK IN  FB US 12/22/12 C26        15.9  55.9   2.82   15.1   3816
IWM    ISHARES-RUS  IWM US 12/22/12 P84       15.7  15.3   3.15    3.3    887
CSCO   CISCO SYSTE  CSCO US 12/22/12 P17      15.6  33.5   0.03  -25.0    267
GRPN   GROUPON INC  GRPN US 12/22/12 C4       15.6 101.5   0.46    9.5    241
INFI   INFINITY PH  INFI US 12/22/12 C25      15.4 113.3   3.10   37.8    214
FB     FACEBOOK IN  FB US 12/22/12 P23        15.4  64.7   0.10  -16.7   1137
EBAY   EBAY INC     EBAY US 12/22/12 C52.5    15.2  24.8   1.19  -14.4    571
FB     FACEBOOK IN  FB US 12/22/12 C27        15.2  55.0   2.07   18.3  12041
FB     FACEBOOK IN  FB US 12/22/12 P27        15.1  53.8   0.75   -6.2   2081
EEM    ISHARES-EMG  EEM US 12/22/12 P43.5     15.0  15.8   2.04   -8.1    305
SODA   SODASTREAM   SODA US 12/22/12 C42.5    14.8  51.0   1.00   53.9   1082
FB     FACEBOOK IN  FB US 12/22/12 C29        14.8  52.8   1.05   36.4  24422
RIGL   RIGEL PHARM  RIGL US 12/22/12 P5       14.6 167.7   0.10  -33.3    202
WYNN   WYNN RESORT  WYNN US 12/22/12 P92.5    14.3  47.7   0.11    0.0    231
KKD    KRISPY KREM  KKD US 12/22/12 C9        14.3  35.7   0.35    0.0    300
TZA    DIR SMCAP B  TZA US 12/22/12 C16       14.2  57.4   0.47    0.0    988
IMH    IMPAC MTG H  IMH US 04/20/13 C12.5     14.2 104.0   4.00    0.0    331
CSCO   CISCO SYSTE  CSCO US 12/22/12 P20      14.0  19.8   0.97  -12.6    395
NLY    ANNALY CAPI  NLY US 01/18/14 P15       13.9  24.0   2.60    0.4    400
DELL   DELL INC     DELL US 12/22/12 C9       13.9  36.9   1.25   73.6    523
F      FORD MOTOR   F US 12/22/12 C10         13.8  39.2   1.60    9.6    443
FB     FACEBOOK IN  FB US 12/22/12 P24        13.8  59.1   0.16  -15.8    685
XLF    SPDR-FINL S  XLF US 02/16/13 C14       13.5  23.6   1.85    1.1    254
IGT    INTL GAME T  IGT US 12/22/12 P14       13.5  37.7   0.40  -33.3    353
EBAY   EBAY INC     EBAY US 12/22/12 C55      13.4  24.6   0.33  -21.4   1357
PSQ    PRO SHORT Q  PSQ US 12/22/12 C26       13.3  20.0   0.25    0.0    400
VRSN   VERISIGN IN  VRSN US 01/19/13 C36      13.3  36.0   2.13  142.1   3870
DIA    SPDR DJIA T  DIA US 12/22/12 P132      13.3  12.5   3.07   14.1    410
BAC    BANK OF AME  BAC US 12/22/12 C10       13.1  32.1   0.19   -5.0  15484
HPQ    HEWLETT-PAC  HPQ US 12/22/12 C12       13.0  40.9   1.14    7.5    444
T      AT&T INC     T US 12/22/12 P35         13.0  16.5   1.07   13.8   5116
PFE    PFIZER INC   PFE US 12/22/12 C24       12.9  17.3   1.17    4.5    727
FB     FACEBOOK IN  FB US 12/22/12 C25        12.9  57.2   3.80   17.6   3179
FB     FACEBOOK IN  FB US 12/22/12 C28        12.9  52.7   1.50   30.4   5005
VRSN   VERISIGN IN  VRSN US 01/19/13 P36      12.6  35.1   1.55  -41.7   1653
GOOG   GOOGLE INC-  GOOG US 12/22/12 C695     12.5  21.3  15.60    2.0    203
BRCM   BROADCOM CO  BRCM US 12/22/12 P29      12.1  38.0   0.10    0.0    497
VRSN   VERISIGN IN  VRSN US 12/22/12 C36      12.0  37.8   1.53  255.8   1190
GOOG   GOOGLE INC-  GOOG US 12/22/12 C690     11.9  21.4  18.70    5.7    858
LRCX   LAM RESEARC  LRCX US 12/22/12 P33      11.9  35.4   0.25  -28.6   1204
IWM    ISHARES-RUS  IWM US 12/22/12 P82       11.8  17.2   1.71    5.6   1264
FB     FACEBOOK IN  FB US 12/22/12 C23        11.7  61.9   5.51   10.2    949
V      VISA INC-CL  V US 12/22/12 C145        11.6  21.4   5.95    5.3    277
YHOO   YAHOO! INC   YHOO US 12/22/12 P18      11.6  26.8   0.18   20.0    517
YHOO   YAHOO! INC   YHOO US 12/22/12 P19      11.5  26.0   0.61    8.9   1380
GOOG   GOOGLE INC-  GOOG US 12/22/12 C710     11.4  20.7   8.40    3.7    436
SODA   SODASTREAM   SODA US 01/19/13 C42.5    11.4  48.9   1.80   28.6    417
PCLN   PRICELINE.C  PCLN US 12/22/12 P600     11.4  34.6   1.50  -24.2    280
QCOM   QUALCOMM IN  QCOM US 12/22/12 C62.5    11.3  19.8   1.77    7.9    372
S      SPRINT NEXT  S US 02/16/13 P5          11.3  29.7   0.06    0.0    647
SQNM   SEQUENOM IN  SQNM US 12/22/12 C4       11.3  88.3   0.92    2.2   1719
WAG    WALGREEN CO  WAG US 12/22/12 P33       11.3  27.2   0.37   -9.8   1126
XLU    SPDR-UTIL S  XLU US 12/22/12 P34       11.3  14.0   0.15   25.0    479
WFC    WELLS FARGO  WFC US 12/22/12 P34       11.2  18.1   1.27    6.7    351
LULU   LULULEMON A  LULU US 12/22/12 P62.5    11.2  66.7   0.81  -10.0    808
WPRT   WESTPORT IN  WPRT US 12/22/12 P24      11.2  52.9   0.30  -33.3    292
FB     FACEBOOK IN  FB US 12/22/12 C24        11.1  61.1   4.50    9.8   1905
DIS    WALT DISNEY  DIS US 12/22/12 C49       11.1  18.7   0.75  -14.8    353
F      FORD MOTOR   F US 12/22/12 C11         11.1  30.5   0.68   19.3   2121
XLP    SPDR-CONS S  XLP US 01/19/13 C37       11.0  10.3   0.11   37.5    350
LULU   LULULEMON A  LULU US 12/22/12 P70      11.0  58.0   2.46   -9.9    799
SWY    SAFEWAY INC  SWY US 12/22/12 C17       11.0  32.9   0.45    0.0    374
GMCR   GREEN MOUNT  GMCR US 12/22/12 C36      11.0  62.7   2.87   33.5    252
CTSH   COGNIZANT T  CTSH US 12/22/12 P67.5    10.9  25.2   1.25  -37.5    398
GOOG   GOOGLE INC-  GOOG US 12/22/12 C705     10.8  20.6  10.30    4.0    361
UVXY   PRO ULTRA V  UVXY US 12/22/12 C18      10.7 115.8   2.80    0.0    203
SSO    PRO ULTRA S  SSO US 12/22/12 P62       10.7  25.0   3.25   -4.4    231
PFE    PFIZER INC   PFE US 12/22/12 C26       10.6  14.0   0.05    0.0    558
PCLN   PRICELINE.C  PCLN US 12/22/12 P605     10.6  33.7   1.60  -41.6    217
S      SPRINT NEXT  S US 02/16/13 P4          10.6  51.6   0.05  150.0   2806
LULU   LULULEMON A  LULU US 12/22/12 C70      10.6  58.6   5.30   17.8    590
S      SPRINT NEXT  S US 01/19/13 P4          10.6  56.9   0.01    0.0   1960
TLT    ISHARES BAR  TLT US 12/22/12 C127      10.6  12.5   0.39  -29.1    641
TRIP   TRIPADVISOR  TRIP US 12/22/12 P32      10.5  45.0   0.05  -66.7    309
GRPN   GROUPON INC  GRPN US 12/22/12 P3.5     10.5 109.5   0.10  -28.6    902
SAI    SAIC INC     SAI US 12/22/12 P11       10.5  41.2   0.25    0.0    857
FB     FACEBOOK IN  FB US 12/22/12 P28        10.4  51.6   1.15   -8.0   3769
SODA   SODASTREAM   SODA US 01/19/13 C40      10.3  48.0   2.80   21.7    810
SWHC   SMITH & WES  SWHC US 12/22/12 C11      10.1  70.1   0.55    0.0   3737
MCD    MCDONALDS C  MCD US 12/22/12 C85       10.1  14.8   2.31   -7.2    236
SODA   SODASTREAM   SODA US 01/19/13 P32.5    10.1  51.2   0.40    0.0    270
ARO    AEROPOSTALE  ARO US 12/22/12 P14       10.0  44.8   0.50  -24.2    506
TEA    TEAVANA HOL  TEA US 05/18/13 P15       10.0  19.6   1.20   -4.0    341
GT     GOODYEAR TI  GT US 12/22/12 C13        10.0  34.2   0.20    0.0    301
WAG    WALGREEN CO  WAG US 12/22/12 C33       10.0  26.9   1.52   16.0    238

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
TPCG   TPC GROUP I  TPCG US 12/22/12 C45     -79.7   4.6   0.10  -96.5    389
TPCG   TPC GROUP I  TPCG US 01/19/13 C45     -77.5   3.7   0.30    0.0    370
TPCG   TPC GROUP I  TPCG US 03/16/13 C45     -70.6   3.8   0.25  -92.4   1328
TLAB   TELLABS INC  TLAB US 06/22/13 C3      -64.1  32.0   0.60   -7.7    209
COST   COSTCO WHOL  COST US 12/22/12 C97.5   -46.4  23.7   6.90   -1.4   1080
COST   COSTCO WHOL  COST US 12/22/12 C100    -46.1  22.5   4.77    0.4    492
COST   COSTCO WHOL  COST US 12/22/12 C105    -43.6  19.3   1.37   -2.1    558
RGR    STURM RUGER  RGR US 12/22/12 C60      -43.1  37.6   1.35  -20.6    258
COST   COSTCO WHOL  COST US 04/20/13 C105    -39.5  16.9   3.80    4.1    377
LVS    LAS VEGAS S  LVS US 12/22/12 C45      -33.4  31.7   3.00   50.0    261
LVS    LAS VEGAS S  LVS US 01/19/13 C48      -31.5  28.5   1.67   51.8    282
LVS    LAS VEGAS S  LVS US 12/22/12 C44      -31.4  34.8   3.90   35.0    333
LVS    LAS VEGAS S  LVS US 12/22/12 C47      -31.4  29.1   1.54   65.6    418
LVS    LAS VEGAS S  LVS US 12/22/12 C46      -31.1  30.8   2.26   53.7    282
LVS    LAS VEGAS S  LVS US 12/22/12 C48      -30.3  28.2   1.00   92.3   1564
LVS    LAS VEGAS S  LVS US 12/22/12 C43      -30.0  38.0   4.75   28.0    239
LVS    LAS VEGAS S  LVS US 03/16/13 C46      -29.9  32.5   3.97   20.3    369
LVS    LAS VEGAS S  LVS US 01/19/13 C49      -29.8  27.8   1.25   56.2    559
LVS    LAS VEGAS S  LVS US 12/22/12 C49      -29.5  27.6   0.61  144.0    921
LVS    LAS VEGAS S  LVS US 01/19/13 C50      -27.2  27.6   0.93   69.1    270
LVS    LAS VEGAS S  LVS US 03/16/13 C48      -26.5  31.9   2.98   22.6    450
LVS    LAS VEGAS S  LVS US 12/22/12 C50      -25.9  28.0   0.36  140.0    981
TLAB   TELLABS INC  TLAB US 12/22/12 C3.5    -25.0  45.7   0.10  -33.3    255
LVS    LAS VEGAS S  LVS US 03/16/13 C50      -23.8  31.2   2.13   29.1    254
KCG    KNIGHT CAPI  KCG US 01/19/13 C2.5     -21.4  50.3   0.75  -11.8    233
TWI    TITAN INTL   TWI US 12/22/12 P22.5    -20.8  36.7   1.45  -35.6    426
TPCG   TPC GROUP I  TPCG US 03/16/13 P40     -19.9  16.7   0.30  500.0    308
CHTR   CHARTER COM  CHTR US 12/22/12 P70     -18.6  18.3   0.70  -12.5    300
STSI   STAR SCIENT  STSI US 01/19/13 P2      -18.3  81.7   0.05    0.0    809
EFA    ISHARES-MSC  EFA US 06/22/13 P30      -14.0  36.0   0.04    0.0  15000
CLSN   CELSION COR  CLSN US 01/18/14 C5      -13.6 136.9   4.00    0.0    500
RBN    ROBBINS & M  RBN US 01/19/13 C60      -12.6   3.7   0.10    0.0    254
AA     ALCOA INC    AA US 01/19/13 C5        -12.4  67.4   3.40    0.9    210
TEA    TEAVANA HOL  TEA US 12/22/12 C15      -11.9  32.4   0.30    0.0   2095
XLF    SPDR-FINL S  XLF US 12/22/12 P16      -11.0  14.8   0.43   -8.5    680
EXEL   EXELIXIS IN  EXEL US 12/22/12 P4      -10.7  74.0   0.05  -50.0   1100

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

-- Bloomberg News

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


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