Bloomberg News

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

January 04, 2013

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
=============================================================================
SVU    SUPERVALU I  SVU US 01/19/13 C2        53.0 147.1   0.70   16.7    200
UVXY   PRO ULTRA V  UVXY US 01/17/15 C2       44.6 229.4  14.10  -21.7    432
KKD    KRISPY KREM  KKD US 01/19/13 C10       41.2  39.0   0.80  220.0    245
C      CITIGROUP I  C1 US 01/19/13 C3         36.3  93.3   1.20    7.1    903
OPK    OPKO HEALTH  OPK US 01/19/13 C5        31.7  51.0   0.30  200.0    371
RIG    TRANSOCEAN   RIG US 01/19/13 C40       31.7  61.7  11.25   23.6    216
JNJ    JOHNSON&JOH  JNJ US 01/19/13 P67.5     28.5  16.9   0.03    0.0    701
MED    MEDIFAST IN  MED US 03/16/13 C17       27.0 117.2  10.40    0.0    203
OIH    MARKET VECT  OIH US 01/19/13 P36.67    25.4  35.0   0.05  -75.0    850
AKS    AK STEEL HL  AKS US 01/19/13 C4        25.3  78.9   0.83   22.1    585
JRCC   JAMES RIVER  JRCC US 01/19/13 P3       25.3 108.4   0.05    0.0   1000
DNDN   DENDREON CO  DNDN US 01/19/13 C5       24.4 111.0   1.22   35.6    231
APKT   ACME PACKET  APKT US 01/19/13 C21      23.9  68.4   2.65  140.9    501
JNJ    JOHNSON&JOH  JNJ US 01/19/13 P65       23.3  24.5   0.02  -50.0   4671
OREX   OREXIGEN TH  OREX US 01/19/13 P6       22.6  74.4   0.25  -44.4    275
NOK    NOKIA CORP-  NOK US 01/19/13 C3.5      22.0  56.7   0.71    7.6    374
CXW    CORRECTIONS  CXW US 06/22/13 C37       21.7  33.3   3.10   21.6    469
APKT   ACME PACKET  APKT US 01/19/13 P20      20.5  68.6   0.20  -50.0    225
NLY    ANNALY CAPI  NLY US 01/19/13 C14       19.7  21.1   0.70   27.3    270
HW     HEADWATERS   HW US 01/19/13 C8         19.6  59.2   0.95    0.0    808
JNJ    JOHNSON&JOH  JNJ US 01/19/13 C70       19.1  10.8   1.66   84.4   1948
ZNGA   ZYNGA INC-   ZNGA US 01/19/13 C2.5     18.8  62.3   0.13   62.5   6112
APKT   ACME PACKET  APKT US 01/19/13 C22.5    18.4  62.6   1.55  210.0    712
APKT   ACME PACKET  APKT US 01/19/13 P21      17.9  64.1   0.30  -60.0    902
LLY    ELI LILLY &  LLY US 01/19/13 C49       17.5  22.4   2.70  162.1    565
F      FORD MOTOR   F US 01/19/13 C12.5       17.3  33.1   0.97   -1.0   4623
CHK    CHESAPEAKE   CHK US 01/19/13 P15       16.8  50.0   0.04  -50.0    616
GM     GENERAL MOT  GM US 01/19/13 C26        16.3  39.4   3.50  -11.4    446
LLY    ELI LILLY &  LLY US 02/16/13 C48       15.8  22.4   3.60   61.4    351
LLY    ELI LILLY &  LLY US 01/19/13 C50       15.6  20.6   1.90  239.3    316
T      AT&T INC     T US 01/19/13 C34         15.0  14.6   1.09   11.2    395
FXY    CRYSHS-JAPA  FXY US 01/19/13 P114      14.8  10.9   2.80   86.7    302
JNJ    JOHNSON&JOH  JNJ US 01/19/13 P70       14.8  10.9   0.12  -58.6    369
GOOG   GOOGLE INC-  GOOG US 01/19/13 P665     14.7  29.0   0.62  -19.5    313
DRYS   DRYSHIPS IN  DRYS US 03/16/13 P1.5     14.5  84.1   0.08  -33.3    510
GOOG   GOOGLE INC-  GOOG US 01/19/13 P650     14.3  32.7   0.55    1.9    779
LNG    CHENIERE EN  LNG US 01/19/13 C18       14.2  43.0   2.12   17.8    247
MSFT   MICROSOFT C  MSFT US 01/19/13 C28      13.8  21.0   0.10  -33.3  14280
LLY    ELI LILLY &  LLY US 01/19/13 P49       13.8  21.8   0.11  -79.2    845
KRE    SPDR S&P RE  KRE US 01/19/13 P30       13.6  15.1   0.88  -70.7    200
DAL    DELTA AIR L  DAL US 01/19/13 C11       13.6  51.1   1.82   13.8    226
KKD    KRISPY KREM  KKD US 08/17/13 C11       13.6  43.5   1.35   68.8    530
APKT   ACME PACKET  APKT US 01/19/13 P22.5    13.5  58.7   0.70  -54.8   1805
DNDN   DENDREON CO  DNDN US 01/19/13 C5.5     13.4 102.8   0.80   40.4    289
KRO    KRONOS WORL  KRO US 05/18/13 P20       13.3  40.7   2.70   14.9    838
NTRI   NUTRISYSTEM  NTRI US 02/16/13 C9       13.3  28.2   0.20  100.0   1064
APKT   ACME PACKET  APKT US 01/19/13 P24      13.2  57.4   1.20  -54.7    285
JNJ    JOHNSON&JOH  JNJ US 01/19/13 C72.5     13.2  10.1   0.23  666.7   4633
STP    SUNTECH POW  STP US 01/19/13 P1        13.1 221.3   0.02  100.0    200
GOOG   GOOGLE INC-  GOOG US 01/19/13 P655     12.9  30.9   0.59    0.0    533
LLY    ELI LILLY &  LLY US 01/19/13 P50       12.5  19.9   0.24  -76.0    696
XOM    EXXON MOBIL  XOM US 01/19/13 C80       12.2  30.3   8.70   -2.8    230
LLY    ELI LILLY &  LLY US 02/16/13 C49       11.6  21.0   3.05   95.5    207
WCRX   WARNER CHIL  WCRX US 04/20/13 C13      11.5  36.6   0.90   20.0    721
FXY    CRYSHS-JAPA  FXY US 01/19/13 P110      11.5  10.7   0.45  200.0   1108
HP     HELMERICH &  HP US 06/22/13 P25        11.5  58.2   0.05    0.0    375
AA     ALCOA INC    AA US 01/19/13 P9         11.2  31.8   0.14  -30.0    525
KMI    KINDER MORG  KMI US 02/16/13 C37.5     11.0  16.5   0.45    0.0    336
KO     COCA-COLA C  KO US 01/19/13 C35        10.8  24.3   2.79    9.8    459
LLY    ELI LILLY &  LLY US 02/16/13 P47       10.8  23.1   0.35  -34.0   1122
BZH    BEAZER HOME  BZH US 01/19/13 P16       10.6  57.6   0.10    0.0   1162
APKT   ACME PACKET  APKT US 01/19/13 C24      10.6  59.3   0.95  400.0    443
LLY    ELI LILLY &  LLY US 02/16/13 P46       10.6  24.4   0.25  -32.4    795
RIG    TRANSOCEAN   RIG US 01/19/13 C47.5     10.5  32.8   3.90   74.9    327
APC    ANADARKO PE  APC US 01/19/13 P70       10.4  36.5   0.15  -37.5   1013
MS     MORGAN STAN  MS US 01/19/13 P17.5      10.3  44.8   0.05  -28.6   1158
BBY    BEST BUY CO  BBY US 01/19/13 P11       10.3  71.7   0.25    8.7    526
LLY    ELI LILLY &  LLY US 02/16/13 P45       10.2  25.8   0.19  -26.9    988
FTI    FMC TECHNOL  FTI US 01/19/13 C42.5     10.1  25.9   1.70  129.7    200
SYK    STRYKER COR  SYK US 01/19/13 P55       10.1  19.3   0.30  -25.0   3500

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
S      SPRINT NEXT  S US 01/18/14 C4         -45.3  36.3   1.83    1.7    210
FINL   FINISH LINE  FINL US 01/19/13 P17.5   -38.3  41.7   0.30  -14.3    355
EUO    PRO ULTSHRT  EUO US 01/19/13 P20      -37.4  10.2   0.60  -14.3    251
JNJ    JOHNSON&JOH  JNJ US 01/18/14 C50      -35.1  17.1  21.50    4.2    277
ULTA   ULTA SALON   ULTA US 01/19/13 P90     -32.6  34.2   0.40  -27.3    452
YONG   YONGYE INTE  YONG US 01/19/13 C5.5    -27.8  32.3   0.25  -16.7    300
SNDK   SANDISK COR  SNDK US 02/16/13 C35     -26.3  49.2   9.80    0.0   4400
EEM    ISHARES-EMG  EEM US 01/19/13 C42      -26.1  20.5   2.74   -7.7   3858
VRX    VALEANT PHA  VRX US 01/19/13 P60      -25.2  31.1   1.80   12.5    356
FINL   FINISH LINE  FINL US 02/16/13 C15     -21.7  44.1   3.40   -5.6    225
MOS    MOSAIC CO/T  MOS US 01/19/13 P57.5    -21.3  22.5   0.67  -60.6    530
KKD    KRISPY KREM  KKD US 01/19/13 C11      -21.2  36.7   0.20  100.0    527
VRX    VALEANT PHA  VRX US 01/19/13 P57.5    -21.1  37.5   0.90   -5.3    398
MOS    MOSAIC CO/T  MOS US 01/19/13 C57.5    -20.9  22.4   1.45   48.0   1533
MOS    MOSAIC CO/T  MOS US 01/19/13 C60      -19.8  22.6   0.44   51.7   1155
EEM    ISHARES-EMG  EEM US 01/19/13 C43      -17.8  17.6   1.85  -13.9    240
VRX    VALEANT PHA  VRX US 01/19/13 C55      -17.2  43.0   5.80  -13.4  10045
MOS    MOSAIC CO/T  MOS US 01/19/13 P55      -17.0  25.6   0.17  -74.2    832
MOS    MOSAIC CO/T  MOS US 01/19/13 C55      -16.7  25.2   3.65   52.7    272
AIXG   AIXTRON SE-  AIXG US 03/16/13 C12     -16.6  41.3   1.45   70.6    500
NSC    NORFOLK SOU  NSC US 01/19/13 C67.5    -15.8  17.5   0.15   50.0    264
WIN    WINDSTREAM   WIN US 01/19/13 C9       -15.6  18.4   0.18   80.0    535
KCG    KNIGHT CAPI  KCG US 01/19/13 C3.5     -15.5  26.0   0.15   25.0    261
INXN   INTERXION H  INXN US 01/19/13 P22.5   -15.3  35.9   0.15  -66.7   2734
KRO    KRONOS WORL  KRO US 05/18/13 C20      -14.4  32.2   1.20  -20.0    758
DELL   DELL INC     DELL US 01/19/13 C10     -14.4  31.5   0.89  -10.1    276
STSI   STAR SCIENT  STSI US 01/19/13 C2.5    -14.1 108.3   0.40  -11.1    311
VRX    VALEANT PHA  VRX US 01/19/13 C45      -13.8  96.2  15.35   19.8    825
IWM    ISHARES-RUS  IWM US 01/19/13 C84      -13.8  16.8   3.34   20.6    295
AVP    AVON PRODUC  AVP US 01/19/13 C16      -13.8  40.4   0.55   37.5    301
CSTR   COINSTAR IN  CSTR US 01/19/13 P42.5   -13.7  50.1   0.15  200.0    501
VZ     VERIZON COM  VZ US 03/16/13 C41       -13.4  16.3   2.96   -2.0    271
TBT    PRO ULTSH 2  TBT US 01/17/15 P40      -12.8  29.4   1.20    0.0   1252
EDAP   EDAP TMS SA  EDAP US 05/18/13 C2.5    -12.6 111.3   0.68   36.0    248
CMCSA  COMCAST COR  CMCSA US 01/19/13 P38    -12.2  15.7   0.49    8.9    340
PDS    PRECISION D  PDS US 01/19/13 C9       -12.1  33.8   0.05  -66.7    260
INFA   INFORMATICA  INFA US 01/19/13 P30     -11.8  36.6   0.65  -18.8   1445
INFA   INFORMATICA  INFA US 01/19/13 P27.5   -11.7  43.3   0.15  -62.5   1390
HYG    ISH-IBOXX H  HYG US 03/16/13 C95      -11.7   6.3   0.38  -30.9   1500
NPSP   NPS PHARM I  NPSP US 05/18/13 C8      -11.6  48.4   1.45   -9.4   2558
MOS    MOSAIC CO/T  MOS US 02/16/13 C60      -11.6  22.2   1.03   28.8    405
TLT    ISHARES BAR  TLT US 01/19/13 P122     -11.3  12.8   4.50   12.5    767
VRNG   VRINGO INC   VRNG US 01/19/13 C3      -11.3  92.8   0.64   16.4    303
HIG    HARTFORD FI  HIG US 01/19/13 C22      -11.1  29.6   2.71   25.5   1539
EWH    ISHARES-HON  EWH US 01/19/13 C19      -11.1  14.3   0.70    7.7    251
CHK    CHESAPEAKE   CHK US 01/19/13 C17.5    -11.0  32.9   0.36   89.5   1970
S      SPRINT NEXT  S US 05/18/13 P5.5       -10.8  28.5   0.60   -7.7    254
IWM    ISHARES-RUS  IWM US 02/16/13 C79      -10.7  21.3   8.43    4.2    430
MOS    MOSAIC CO/T  MOS US 02/16/13 P55      -10.5  24.5   0.70  -50.4   2689
EEM    ISHARES-EMG  EEM US 01/19/13 C44      -10.5  16.2   0.94  -20.3    848
TD     TORONTO-DOM  TD US 01/19/13 P82.5     -10.4  11.4   0.25  -16.7   1012
GIS    GENERAL MIL  GIS US 01/19/13 C41      -10.3   9.6   0.67   67.5    218
WAG    WALGREEN CO  WAG US 01/19/13 P37      -10.3  17.5   0.29    3.6    279
MS     MORGAN STAN  MS US 04/20/13 P9        -10.3  65.1   0.03  -40.0    250
AGNC   AMERICAN CA  AGNC US 01/19/13 C32     -10.2  16.0   0.05    0.0    371
BAC    BANK OF AME  BAC US 03/16/13 P8       -10.1  45.3   0.02    0.0    400
T      AT&T INC     T US 01/19/13 P35        -10.1  14.3   0.62  -13.9    202

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

-- Bloomberg News

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


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