Bloomberg News

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

January 17, 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
=============================================================================
BAM    BROOKFIELD   BAM US 03/16/13 C35       24.6  31.0   2.65   10.4   1685
IAG    IAMGOLD COR  IAG US 02/16/13 P11       23.8  50.6   0.65   18.2    283
VOD    VODAFONE GR  VOD US 02/16/13 C26       23.2  23.8   0.50   35.1   8002
KMI    KINDER MORG  KMI US 02/16/13 P37.5     21.7  16.4   1.10  -18.5    229
NXY    NEXEN INC    NXY US 02/16/13 P20       21.7  69.4   0.10  100.0    643
CYMI   CYMER INC    CYMI US 05/18/13 C95      20.6  29.3   5.90   84.4    253
CIM    CHIMERA INV  CIM US 03/16/13 C3        20.5  34.9   0.10  100.0    418
BID    SOTHEBY'S    BID US 07/20/13 P15       18.9  65.5   0.05    0.0    750
VOD    VODAFONE GR  VOD US 02/16/13 C25       17.0  23.5   1.00   11.1  10277
VICL   VICAL INC    VICL US 03/16/13 P2.5     16.9  84.0   0.05    0.0    213
XLE    SPDR-ENERGY  XLE US 02/16/13 C71       16.5  17.4   4.00   10.8    295
VOD    VODAFONE GR  VOD US 02/16/13 P26       16.4  22.8   0.85    6.2    813
PDLI   PDL BIOPHAR  PDLI US 08/17/13 P7       16.4  29.4   0.65    8.3    250
CYMI   CYMER INC    CYMI US 05/18/13 C100     15.8  26.8   3.50  233.3    680
SRPT   SAREPTA THE  SRPT US 02/16/13 C22.5    15.7  84.8   3.20    0.0    231
VMED   VIRGIN MEDI  VMED US 02/16/13 P35      15.7  32.4   0.30    0.0   3880
VOD    VODAFONE GR  VOD US 02/16/13 P25       15.2  22.3   0.37   23.3    327
GNK    GENCO SHIPP  GNK US 01/18/14 P1        14.9 123.8   0.10  100.0   5000
IAG    IAMGOLD COR  IAG US 02/16/13 C11       14.3  48.6   0.57    3.6    665
APL    ATLAS PIPEL  APL US 02/16/13 C31       14.0  15.2   2.30   12.2    265
NXY    NEXEN INC    NXY US 02/16/13 P21       13.3  60.1   0.10  100.0    869
CYMI   CYMER INC    CYMI US 05/18/13 P85      12.9  32.8   2.95  -18.1    970
KLAC   KLA-TENCOR   KLAC US 02/16/13 C47      12.8  30.3   4.72  100.8    286
KO     COCA-COLA C  KO US 02/16/13 P32.5      12.6  26.9   0.03  200.0   1016
NRG    NRG ENERGY   NRG US 02/16/13 P22       11.5  30.3   0.20  -33.3   2500
WU     WESTERN UNI  WU US 05/18/13 P10        11.4  39.2   0.10    0.0    269
MOS    MOSAIC CO/T  MOS US 02/16/13 P60       11.3  22.6   2.14    2.9    222
NTES   NETEASE INC  NTES US 06/22/13 P20      11.1  60.4   0.05    0.0    841
KLAC   KLA-TENCOR   KLAC US 02/16/13 P49      11.1  28.3   0.85  -59.5    267
AMD    ADV MICRO D  AMD US 02/16/13 P2.5      10.3  73.2   0.12    9.1   6284

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
EBAY   EBAY INC     EBAY US 02/16/13 C55     -30.8  24.7   1.28   -5.2   4979
EBAY   EBAY INC     EBAY US 02/16/13 P55     -30.7  24.5   1.80  -46.8   1028
EBAY   EBAY INC     EBAY US 02/16/13 P52.5   -29.4  25.9   0.77  -61.1   1829
EBAY   EBAY INC     EBAY US 02/16/13 C52.5   -29.3  26.3   2.80   13.8   2115
EBAY   EBAY INC     EBAY US 02/16/13 C50     -26.3  28.6   4.60   13.6    279
EBAY   EBAY INC     EBAY US 02/16/13 P50     -25.2  28.1   0.29  -72.6   4925
WEN    WENDY'S CO/  WEN US 02/16/13 C5       -23.6  17.7   0.15  -25.0    441
HBAN   HUNTINGTON   HBAN US 02/16/13 C7      -22.9  17.3   0.10   66.7    922
WSM    WILLIAMS-SO  WSM US 02/16/13 C45      -21.2  25.5   0.93  -68.5    214
NTCT   NETSCOUT SY  NTCT US 02/16/13 C25     -20.9  40.7   1.70  -43.3    203
S      SPRINT NEXT  S US 01/18/14 C5         -20.3  46.4   0.78   -2.5    237
WSM    WILLIAMS-SO  WSM US 02/16/13 P42      -20.2  28.5   0.60   76.5    214
S      SPRINT NEXT  S US 02/16/13 P5.5       -17.8  18.5   0.08  -42.9    751
CRR    CARBO CERAM  CRR US 02/16/13 C70      -17.5  44.7  10.70    0.0    200
HLF    HERBALIFE L  HLF US 02/16/13 C40      -16.6  59.8   5.21  -19.9    219
BAC    BANK OF AME  BAC US 02/16/13 C11      -16.3  29.9   0.62  -34.0   5197
UNH    UNITEDHEALT  UNH US 02/16/13 C55      -15.9  18.2   0.68   -9.3    471
EBAY   EBAY INC     EBAY US 02/16/13 P45     -15.2  34.0   0.04  -81.0    824
PWER   POWER-ONE I  PWER US 02/16/13 P4      -14.7  56.6   0.27   80.0    273
HTZ    HERTZ GLOBA  HTZ US 02/16/13 P18      -14.6  23.6   0.60  -40.0    422
BAC    BANK OF AME  BAC US 02/08/13 P11.5    -14.4  29.8   0.38   31.0    328
HLF    HERBALIFE L  HLF US 02/16/13 C45      -14.4  59.3   2.60  -27.8    913
PNC    PNC FINANCI  PNC US 02/16/13 C62.5    -14.4  16.1   0.74   80.5    430
BAC    BANK OF AME  BAC US 02/08/13 C11      -14.2  30.0   0.60  -32.6    325
C      CITIGROUP I  C US 02/16/13 C43        -14.2  24.9   0.52  -55.9    889
HLF    HERBALIFE L  HLF US 02/16/13 P40      -14.1  67.3   1.60  -15.8    636
AVEO   AVEO PHARMA  AVEO US 02/16/13 P7.5    -14.1  65.7   0.45   28.6   2080
C      CITIGROUP I  C US 02/16/13 C42        -14.1  25.4   0.88  -50.0   2503
HLF    HERBALIFE L  HLF US 02/16/13 C42.5    -14.1  61.5   3.80  -24.0    519
C      CITIGROUP I  C US 02/16/13 P42        -14.0  25.1   1.55   34.8    688
SPY    SPDR S&P 50  SPY US 02/16/13 P153     -14.0   9.8   5.42   -8.9    349
C      CITIGROUP I  C US 02/16/13 C40        -13.9  26.7   2.00  -34.4   1245
C      CITIGROUP I  C US 02/16/13 C41        -13.9  26.1   1.37  -42.2   2027
C      CITIGROUP I  C US 02/16/13 P43        -13.8  24.6   2.23   37.6    320
BAC    BANK OF AME  BAC US 02/08/13 C11.5    -13.7  29.3   0.29  -46.3    801
BAC    BANK OF AME  BAC US 02/16/13 C10      -13.7  33.7   1.46  -19.8   1126
CIM    CHIMERA INV  CIM US 06/22/13 P2.5     -13.4  32.6   0.14   40.0    750
C      CITIGROUP I  C US 02/16/13 P41        -13.2  26.0   1.06   37.7   2064
UNH    UNITEDHEALT  UNH US 02/16/13 P52.5    -13.2  20.1   0.60  -33.3    291
WTSLA  WET SEAL IN  WTSLA US 02/16/13 C2.5   -12.4 622.6   0.30    0.0   1000
SVU    SUPERVALU I  SVU US 04/20/13 C2.5     -12.4  44.2   1.04    4.0    270
ERF    ENERPLUS CO  ERF US 02/16/13 C14      -12.4  24.4   0.15   50.0    205
JRCC   JAMES RIVER  JRCC US 02/16/13 C3      -12.3  72.6   0.15    0.0    344
HLF    HERBALIFE L  HLF US 02/16/13 P37.5    -12.3  71.1   0.92  -16.4   1203
HLF    HERBALIFE L  HLF US 02/16/13 P45      -12.3  65.0   3.82   -2.0    363
ASML   ASML HOLDIN  ASML US 02/16/13 P70     -12.1  26.0   3.18    0.0    856
C      CITIGROUP I  C US 02/16/13 P40        -11.9  27.0   0.69   40.8    789
FITB   FIFTH THIRD  FITB US 02/16/13 P16     -11.9  19.5   0.20  -70.2    553
SONS   SONUS NETWO  SONS US 04/20/13 C2      -11.6  52.9   0.40  -11.1    524
DECK   DECKERS OUT  DECK US 02/16/13 C37.5   -11.1  54.4   2.50  -21.9    331
NTI    NORTHERN TI  NTI US 02/16/13 C25      -10.9  32.3   1.00  -20.0    340
C      CITIGROUP I  C US 02/16/13 P39        -10.7  27.9   0.45   50.0   1439
RGR    STURM RUGER  RGR US 02/16/13 C50      -10.6  27.0   2.70   34.3    401
BAC    BANK OF AME  BAC US 02/16/13 P11      -10.6  30.6   0.21   23.5  22691
C      CITIGROUP I  C US 02/16/13 C39        -10.6  27.9   2.72  -31.1    322
HLF    HERBALIFE L  HLF US 02/16/13 P42.5    -10.5  67.1   2.56   -5.2   3470
HTZ    HERTZ GLOBA  HTZ US 02/16/13 C18      -10.3  24.0   0.40   33.3    680
EPB    EL PASO PIP  EPB US 03/16/13 C37.5    -10.2  16.5   2.10   13.5    500
SLM    SLM CORP     SLM US 04/20/13 P16      -10.1  25.2   0.44   -2.2    421
EGO    ELDORADO GO  EGO US 02/16/13 C13      -10.1  33.7   0.40  -20.0   1021
S      SPRINT NEXT  S US 08/17/13 C5         -10.1  51.9   0.66   -5.7    300

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

-- Bloomberg News

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