Bloomberg News

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

December 20, 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
=============================================================================
XLI    SPDR-INDU S  XLI US 01/19/13 C32      165.3  49.7   6.35   30.9   3520
NYX    NYSE EURONE  NYX US 01/19/13 C25       92.9  54.5   7.15 1602.4   3578
GE     GENERAL ELE  GE US 03/16/13 C16        73.3  38.2   5.20   -2.8    508
NYX    NYSE EURONE  NYX US 03/16/13 C24       54.2  39.3   8.25  554.8   2177
MO     ALTRIA GROU  MO US 01/19/13 C32        52.2  15.0   0.67    8.1    660
NYX    NYSE EURONE  NYX US 01/19/13 C26       41.2  43.1   6.32 2772.7   4867
ARRS   ARRIS GROUP  ARRS US 01/19/13 P15      36.5  28.5   0.40    0.0   1179
MED    MEDIFAST IN  MED US 03/16/13 P23       31.9  56.6   0.35  -69.6    599
MED    MEDIFAST IN  MED US 03/16/13 P29       30.8  45.0   1.57    0.0   1685
SPY    SPDR S&P 50  SPY US 01/19/13 C124      26.9  43.9  20.85   -0.1   1520
CBOE   CBOE HOLDIN  CBOE US 01/19/13 C30.25   26.8  19.1   0.85  226.9    763
SPY    SPDR S&P 50  SPY US 01/19/13 C128      26.2  37.0  16.85   13.8   2960
SPY    SPDR S&P 50  SPY US 01/19/13 C127      26.1  38.8  17.90    7.6    600
CBOE   CBOE HOLDIN  CBOE US 01/19/13 C31.25   26.0  18.2   0.35  600.0   1011
SPY    SPDR S&P 50  SPY US 01/19/13 C120      26.0  51.0  24.70    1.0   3370
ENOC   ENERNOC INC  ENOC US 01/19/13 P12.5    25.6  55.4   0.75   11.9   1554
CBOE   CBOE HOLDIN  CBOE US 01/19/13 P30.25   25.5  18.9   0.50  -44.4   1646
TASR   TASER INTL   TASR US 01/19/13 C7.5     24.8  64.1   1.40   47.4    553
SPY    SPDR S&P 50  SPY US 01/19/13 C125      24.7  41.3  19.85   -0.7   8720
ARRS   ARRIS GROUP  ARRS US 02/16/13 P15      24.6  32.9   0.70  -40.7   1385
SPY    SPDR S&P 50  SPY US 01/19/13 C115      24.1  59.5  29.65   -2.1   1160
SPY    SPDR S&P 50  SPY US 01/19/13 C110      23.2  68.5  34.65   -1.3   2320
STP    SUNTECH POW  STP US 01/19/13 P0.5      23.1 270.8   0.04   33.3    500
DELL   DELL INC     DELL US 01/19/13 C9       23.0  42.3   1.45   -6.5    865
NYX    NYSE EURONE  NYX US 06/22/13 C24       23.0  29.4   7.80  477.8   1446
LNG    CHENIERE EN  LNG US 01/19/13 C17       22.2  51.5   1.70   21.4  17450
SPY    SPDR S&P 50  SPY US 01/19/13 C105      22.0  77.5  39.65    5.2   1200
ARRS   ARRIS GROUP  ARRS US 01/19/13 C15      21.8  27.8   0.45  125.0    607
SPY    SPDR S&P 50  SPY US 01/19/13 C100      21.8  87.3  44.65   -0.9   4800
CBI    CHICAGO BRI  CBI US 01/19/13 C42       21.4  30.1   3.90   40.8   1058
S      SPRINT NEXT  S US 01/19/13 C5.5        20.9  21.9   0.14   40.0  10075
ALU    ALCATEL-LUC  ALU US 06/22/13 C1        20.1  84.6   0.45  -23.7    830
ELNK   EARTHLINK I  ELNK US 01/19/13 C7       19.9  32.8   0.15    0.0    557
FTR    FRONTIER CO  FTR US 01/19/13 P4.5      19.5  47.2   0.30   20.0    550
NYX    NYSE EURONE  NYX US 03/16/13 C26       19.3  31.3   6.15 1018.2   2045
BAC    BANK OF AME  BAC US 01/19/13 P9        18.7  49.8   0.02    0.0    562
SNE    SONY CORP-A  SNE US 01/19/13 C10       18.3  41.8   1.20    9.1   6716
HLF    HERBALIFE L  HLF US 02/16/13 P22.5     17.8 113.1   1.30  116.7    682
HLF    HERBALIFE L  HLF US 05/18/13 P30       17.5  76.1   4.96   71.0   1817
GBX    GREENBRIER   GBX US 01/19/13 P17.5     17.3  59.8   0.90  500.0    767
LNG    CHENIERE EN  LNG US 01/19/13 C18       17.1  48.0   1.05   16.7    584
HLF    HERBALIFE L  HLF US 02/16/13 P30       17.1  95.3   3.20  100.0   1655
HLF    HERBALIFE L  HLF US 02/16/13 P25       17.0 105.9   1.62  131.4   1469
VNDA   VANDA PHARM  VNDA US 01/19/13 P3       16.8 103.2   0.10    0.0    712
PM     PHILIP MORR  PM US 01/19/13 C82.5      16.3  20.8   3.05   11.3   1174
XLY    SPDR-CONS D  XLY US 01/19/13 P46       16.1  18.7   0.37    0.0   1221
FMCN   FOCUS MEDIA  FMCN US 01/19/13 P14      15.9 122.1   0.10  -50.0   3000
CBOE   CBOE HOLDIN  CBOE US 03/16/13 C31.25   15.4  18.6   0.75  134.4    933
MAKO   MAKO SURGIC  MAKO US 01/19/13 P12.5    15.1  68.6   0.60   50.0    624
MAKO   MAKO SURGIC  MAKO US 02/16/13 P12.5    15.0  68.4   1.05   61.5   3121
HLF    HERBALIFE L  HLF US 05/18/13 P35       14.5  69.3   7.60   46.1    506
SPY    SPDR S&P 50  SPY US 01/19/13 C132      14.2  29.3  12.89    5.0  10345
CBI    CHICAGO BRI  CBI US 01/19/13 C43       13.8  28.9   3.10   49.8   2070
SPY    SPDR S&P 50  SPY US 01/19/13 C133      13.8  27.2  11.96    1.6   8173
HLF    HERBALIFE L  HLF US 02/16/13 P35       13.5  84.9   5.50   66.7   1091
NLY    ANNALY CAPI  NLY US 01/19/13 C14       13.3  20.6   0.79   31.7   1722
ALXA   ALEXZA PHAR  ALXA US 01/19/13 C5.5     12.9 203.4   1.55   40.9   1336
SPY    SPDR S&P 50  SPY US 01/19/13 C138      12.8  19.0   6.98    6.9   2324
MMR    MCMORAN EXP  MMR US 02/16/13 P15       12.5  22.3   0.30   11.1    505
SPY    SPDR S&P 50  SPY US 01/11/13 C140      12.4  17.9   4.65   -2.9   3366
SPY    SPDR S&P 50  SPY US 01/19/13 C119      12.4  52.9  25.65    6.7   5800
SPY    SPDR S&P 50  SPY US 01/19/13 P108      12.2  41.7   0.03   50.0  15836
SLV    ISHARES SIL  SLV US 01/11/13 C30       12.1  25.5   0.30  -57.1   1308
SPY    SPDR S&P 50  SPY US 01/19/13 P107      12.1  42.9   0.03   50.0   8285
SPY    SPDR S&P 50  SPY US 01/19/13 P106      12.0  44.1   0.03    0.0   8960
HLF    HERBALIFE L  HLF US 01/19/13 P32.5     11.4  96.9   3.00  100.0   2242
SLV    ISHARES SIL  SLV US 01/11/13 C29.5     11.4  25.5   0.43  -64.5   1994
XLU    SPDR-UTIL S  XLU US 01/19/13 C32       11.4  38.4   2.85  -15.2  14060
BAC    BANK OF AME  BAC US 01/19/13 C9        11.2  44.8   2.48   12.7   1361
NYX    NYSE EURONE  NYX US 06/22/13 C25       10.9  26.1   7.10  528.3   2584
MLNX   MELLANOX TE  MLNX US 01/19/13 P60      10.7  91.6   7.10   54.4   1109
MO     ALTRIA GROU  MO US 01/19/13 C33        10.5  13.1   0.23   15.0   2587
SNE    SONY CORP-A  SNE US 01/19/13 C11       10.4  34.2   0.45   12.5    695
NTI    NORTHERN TI  NTI US 01/19/13 P25       10.2  39.1   0.45  -35.7    542
CMCSK  COMCAST COR  CMCSK US 01/19/13 C30     10.1  47.1   6.70   15.5    703
SPY    SPDR S&P 50  SPY US 01/19/13 C139      10.0  18.0   5.94    6.1   1836

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
NYX    NYSE EURONE  NYX US 01/19/13 P32      -74.4  24.8   0.93    0.0    992
FOLD   AMICUS THER  FOLD US 01/19/13 P2.5    -61.6  98.9   0.10  -60.0   5195
SPY    SPDR S&P 50  SPY US 01/19/13 C134     -60.7   9.4  10.81    3.9  10998
NYX    NYSE EURONE  NYX US 01/19/13 C32      -60.0  24.9   0.95 9400.0   2552
XLB    SPDR-MATERI  XLB US 01/19/13 C33      -54.1  18.8   4.40    3.5   5200
NYX    NYSE EURONE  NYX US 03/16/13 C33      -54.1  19.9   0.80    0.0   1240
RAD    RITE AID CO  RAD US 01/19/13 C1       -45.8  47.7   0.25  150.0   1000
SPY    SPDR S&P 50  SPY US 03/16/13 C120     -43.0  15.1  24.80    3.7   1500
NYX    NYSE EURONE  NYX US 03/16/13 C32      -42.1  19.9   1.21    0.0    639
NYX    NYSE EURONE  NYX US 01/19/13 C30      -41.5  26.6   2.30 3185.7    727
SPY    SPDR S&P 50  SPY US 01/19/13 C129     -38.4  18.8  15.90    1.6   3471
FMCN   FOCUS MEDIA  FMCN US 01/19/13 P26     -38.0  15.7   0.60  -33.3   3645
PAYX   PAYCHEX INC  PAYX US 01/19/13 P33     -35.2  15.8   0.85   -5.6    938
SPY    SPDR S&P 50  SPY US 01/19/13 C130     -35.0  18.8  14.89    2.8  26236
FMCN   FOCUS MEDIA  FMCN US 01/19/13 C26     -34.9  16.1   0.35  -36.4  13488
BBBY   BED BATH &B  BBBY US 01/19/13 P52.5   -30.9  27.2   0.45   28.6   2063
BBBY   BED BATH &B  BBBY US 01/19/13 P55     -30.6  25.8   1.13   66.2   2913
BBBY   BED BATH &B  BBBY US 01/19/13 P57.5   -29.7  25.3   2.43   92.9   1656
GE     GENERAL ELE  GE US 01/19/13 C17.5     -28.9  38.4   3.70    5.4   1521
BBBY   BED BATH &B  BBBY US 01/19/13 C57.5   -28.6  25.4   1.01  -75.7   3334
FOLD   AMICUS THER  FOLD US 04/20/13 P2.5    -27.6 104.4   0.40   33.3    518
XLY    SPDR-CONS D  XLY US 01/19/13 C45      -26.5  23.5   3.00   -1.0    719
CLWR   CLEARWIRE -  CLWR US 03/16/13 C3      -24.5  18.2   0.05    0.0    666
ACN    ACCENTURE P  ACN US 01/19/13 C70      -24.1  19.3   0.85  -63.0    702
BBBY   BED BATH &B  BBBY US 02/16/13 P52.5   -21.2  26.7   0.97   67.2    619
SIRI   SIRIUS XM R  SIRI US 01/19/13 C2      -20.9  65.8   0.97   -2.0   7665
BBBY   BED BATH &B  BBBY US 02/16/13 P55     -20.1  25.9   1.76   66.0   1217
FMCN   FOCUS MEDIA  FMCN US 01/19/13 C25     -20.1  26.9   1.25    4.2   4747
MO     ALTRIA GROU  MO US 01/18/14 C25       -19.9  29.9   7.55  -12.2  10922
DFS    DISCOVER FI  DFS US 01/19/13 P38      -19.9  27.2   1.40   75.0   1326
ACN    ACCENTURE P  ACN US 01/19/13 P65      -19.7  23.4   0.54   12.5    503
JBL    JABIL CIRCU  JBL US 01/19/13 C21      -18.7  31.7   0.41  173.3    731
RDY    DR REDDY'S-  RDY US 01/19/13 P35      -17.9  16.9   1.30    0.0   1000
ACN    ACCENTURE P  ACN US 02/16/13 C67.5    -17.6  21.0   2.75  -40.2    544
FLEX   FLEXTRONICS  FLEX US 01/19/13 P6      -17.6  29.2   0.13  -23.5    523
XLY    SPDR-CONS D  XLY US 01/19/13 C38      -17.0  61.1   9.80    0.0   1920
EEP    ENBRIDGE EN  EEP US 01/19/13 C27.5    -16.6  17.3   0.99   23.8   2845
FLEX   FLEXTRONICS  FLEX US 01/19/13 C6      -16.3  29.3   0.36   24.1    787
JBL    JABIL CIRCU  JBL US 01/19/13 C20      -15.3  33.1   0.88  193.3   1266
GE     GENERAL ELE  GE US 01/18/14 C13       -15.3  35.4   8.20    1.9   1000
GE     GENERAL ELE  GE US 01/19/13 P21       -15.2  22.8   0.50  -24.2    789
UBS    UBS AG-REG   UBS US 03/16/13 P12      -14.8  43.0   0.08  -68.0    560
KBH    KB HOME      KBH US 01/19/13 C16      -14.8  44.9   0.59  -56.9    900
KBH    KB HOME      KBH US 01/19/13 P15      -14.5  46.6   0.59   68.6  18303
AGNC   AMERICAN CA  AGNC US 01/19/13 C31     -14.2  18.6   0.70   -4.1   1695
MO     ALTRIA GROU  MO US 01/18/14 C20       -14.1  47.0  12.55   -5.3   5380
XLY    SPDR-CONS D  XLY US 01/19/13 C40      -14.0  50.3   7.80   -3.1  20820
NYX    NYSE EURONE  NYX US 01/18/14 P30      -13.3  18.9   1.90  -73.7   1372
FMCN   FOCUS MEDIA  FMCN US 01/19/13 P25     -13.0  26.7   0.40  -46.7   3866
MDC    MDC HOLDING  MDC US 01/19/13 P32      -12.8  42.4   0.29  -37.0    668
RCL    ROYAL CARIB  RCL US 01/19/13 C35      -12.3  29.8   0.97  -32.2   1039
MO     ALTRIA GROU  MO US 06/22/13 P31       -11.7  16.4   1.38   -2.1    508
MO     ALTRIA GROU  MO US 01/18/14 C27       -11.7  23.5   5.55  -12.6   8960
MDRX   ALLSCRIPTS   MDRX US 01/19/13 P9      -11.6  63.8   0.60  100.0    689
HOV    HOVNANIAN E  HOV US 01/19/13 P6       -11.1  55.8   0.40   -4.8   2408
XLV    SPDR-HEALTH  XLV US 01/19/13 C37      -10.6  29.9   3.40  -11.0  34020
GE     GENERAL ELE  GE US 03/16/13 P21       -10.3  21.0   0.91  -11.7    533

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

-- Bloomberg News

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