Bloomberg News

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

January 10, 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
=============================================================================
RPRX   REPROS THER  RPRX US 02/16/13 C12.5    30.7  77.3   4.90   19.5   2665
LYG    LLOYDS BANK  LYG US 07/20/13 C2        23.3  59.4   1.50   15.4    306
S      SPRINT NEXT  S US 05/18/13 P4.5        21.6  41.7   0.11   -8.3    200
TROX   TRONOX LTD-  TROX US 02/16/13 P20      19.1  48.2   1.30   85.7    436
TROX   TRONOX LTD-  TROX US 02/16/13 P17.5    18.7  56.9   0.55  266.7   5045
WMS    WMS INDS IN  WMS US 02/16/13 P17.5     17.4  56.3   1.10   37.5   2511
R      RYDER SYSTE  R US 02/16/13 P52.5       14.0  30.0   1.60  -30.4    500
JRCC   JAMES RIVER  JRCC US 02/16/13 P3       13.2  76.9   0.30  -14.3    201
CBS    CBS CORP-B   CBS US 02/16/13 C39       12.0  30.3   1.15   27.8    606
F      FORD MOTOR   F US 03/16/13 C11         11.6  35.0   2.81   11.5    552
R      RYDER SYSTE  R US 02/16/13 C55         11.5  27.6   1.10  100.0    328
HLSS   HOME LOAN S  HLSS US 02/16/13 C20      11.5  30.4   0.65    8.3    514
RGR    STURM RUGER  RGR US 02/16/13 P40       11.4  59.4   0.70   55.6   1582
PAA    PLAINS ALL   PAA US 02/16/13 C50       10.8  14.9   0.75  114.3    464
ZNGA   ZYNGA INC-   ZNGA US 03/16/13 C2       10.3  74.8   0.59   13.5    255
ADT    ADT CORP/TH  ADT US 02/16/13 C47       10.1  27.2   1.10  -42.1    818

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SVU    SUPERVALU I  SVU US 02/16/13 C3.5     -57.4  47.0   0.15  -40.0    253
SVU    SUPERVALU I  SVU US 02/16/13 C3       -53.3  52.6   0.45   12.5   1185
SVU    SUPERVALU I  SVU US 02/16/13 P3.5     -47.9  59.3   0.32  -57.3    816
SVU    SUPERVALU I  SVU US 02/16/13 P3       -47.4  52.7   0.10  -77.8    252
SVU    SUPERVALU I  SVU US 04/20/13 C3.5     -37.4  45.1   0.25  -16.7    278
SVU    SUPERVALU I  SVU US 04/20/13 C3       -37.1  50.7   0.50   11.1   1778
SVU    SUPERVALU I  SVU US 01/18/14 P2.5     -29.5  40.5   0.30  -45.5   2251
GRPN   GROUPON INC  GRPN US 02/16/13 P5      -27.5  66.1   0.36  -33.3    365
RT     RUBY TUESDA  RT US 02/16/13 P7.5      -27.0  34.1   0.20    0.0    358
SVU    SUPERVALU I  SVU US 02/16/13 P2.5     -26.9  83.8   0.05  -75.0    893
GRPN   GROUPON INC  GRPN US 02/16/13 C5      -25.6  67.5   0.50  -19.4   1237
WPZ    WILLIAMS PA  WPZ US 02/16/13 P50      -25.4  15.7   1.50  -11.8    200
SVU    SUPERVALU I  SVU US 07/20/13 P3       -23.8  48.6   0.30  -53.9    206
GLF    GULFMARK OF  GLF US 02/16/13 C35      -23.0  27.3   1.50   25.0    274
SVU    SUPERVALU I  SVU US 04/20/13 P3.5     -22.6  61.1   0.55  -31.2    567
SVU    SUPERVALU I  SVU US 01/18/14 C3       -22.2  45.6   0.60    9.1    395
PACB   PACIFIC BIO  PACB US 06/22/13 C2.5    -21.8  89.5   0.55   -3.5    206
ARO    AEROPOSTALE  ARO US 02/16/13 P12      -20.2  46.1   0.50   25.0    568
CLWR   CLEARWIRE -  CLWR US 02/16/13 C3      -19.6  27.2   0.20    0.0   1038
TIF    TIFFANY & C  TIF US 02/16/13 C60      -14.6  27.0   2.55  -40.0    534
TIF    TIFFANY & C  TIF US 02/16/13 P60      -14.2  27.2   1.64   37.8   1130
TIF    TIFFANY & C  TIF US 02/16/13 P62.5    -14.0  26.1   2.97   42.1    463
TIF    TIFFANY & C  TIF US 02/16/13 P55      -13.6  29.8   0.39   14.7    879
TIF    TIFFANY & C  TIF US 02/16/13 P57.5    -13.6  28.4   0.82   26.1    312
NOK    NOKIA CORP-  NOK US 02/16/13 C3       -13.5  58.4   1.45   83.5    389
EXEL   EXELIXIS IN  EXEL US 01/17/15 C5      -13.2  56.8   1.50    0.0    200
AEO    AMER EAGLE   AEO US 02/16/13 P19.5    -12.0  34.2   0.80   45.5    573
NGLS   TARGA RESOU  NGLS US 03/16/13 C36     -11.5  20.2   2.65   76.7    389
NOK    NOKIA CORP-  NOK US 02/16/13 C4.5     -11.1  64.0   0.30  150.0   4848
VVUS   VIVUS INC    VVUS US 02/16/13 P13     -11.0  61.3   0.59   -9.2    619
NOK    NOKIA CORP-  NOK US 02/16/13 P4.5     -10.8  69.6   0.43  -53.3   1784
SWHC   SMITH & WES  SWHC US 02/16/13 P7      -10.2  59.6   0.20   53.9    512

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

-- Bloomberg News

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


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