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

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
=============================================================================
MNTA   MOMENTA PHA  MNTA US  9/18/10 C20      29.5 107.8   2.15  760.0    866
PTV    PACTIV CORP  PTV US  8/21/10 C30       26.0  47.0   2.35  135.0   2958
PTV    PACTIV CORP  PTV US  8/21/10 P30       25.6  46.8   1.05  -47.8    715
TEVA   TEVA PHARM-  TEVA US  8/21/10 C50      22.5  32.9   1.25  -70.9   7666
GENZ   GENZYME COR  GENZ US  8/21/10 C65      19.3  54.7   3.50 1196.3   8122
AJG    ARTHUR J GA  AJG US  9/18/10 C25       17.6  23.8   1.30    0.0   2862
TEVA   TEVA PHARM-  TEVA US  9/18/10 C50      16.9  31.7   1.90  -59.1   2748
CCE    COCA-COLA E  CCE US  8/21/10 P27.5     16.1  23.7   0.40  -20.0    673
TEVA   TEVA PHARM-  TEVA US  8/21/10 P50      15.6  31.1   2.40  566.7   7917
TEVA   TEVA PHARM-  TEVA US  9/18/10 P50      15.3  30.3   3.00  284.6   1745
DTG    DOLLAR THRI  DTG US  8/21/10 C50       15.2  28.7   0.69   38.0    583
CCE    COCA-COLA E  CCE US  8/21/10 C29       15.0  20.1   0.30   50.0    753
KG     KING PHARMA  KG US  8/21/10 C9         14.6  59.1   0.45   50.0    803
QQQQ   POWERSH-QQQ  QQQQ US  8/21/10 C44      14.3  25.6   2.53   11.4   6864
PFE    PFIZER INC   PFE US  8/21/10 C15       13.4  27.9   0.22  -15.4  68744
PFE    PFIZER INC   PFE US  8/21/10 P15       13.3  27.4   0.78   21.9   1167
ROP    ROPER INDS   ROP US  8/21/10 C65       12.6  24.8   0.45  125.0    701
IPI    INTREPID PO  IPI US  8/21/10 C24       12.6  44.5   0.95   72.7   1047
GENZ   GENZYME COR  GENZ US 10/16/10 C65      12.3  42.3   4.30  357.4   2172
APOL   APOLLO GROU  APOL US  8/21/10 C47      11.8  52.4   3.85   89.7    870
DV     DEVRY INC    DV US  8/21/10 C60        11.1  43.3   2.15  760.0    802
ORLY   O'REILLY AU  ORLY US  8/21/10 C50      11.1  31.6   1.25   78.6   2522
COV    COVIDIEN PL  COV US  8/21/10 C37.5     11.1  34.5   2.00  -11.1   5208
TEVA   TEVA PHARM-  TEVA US 12/18/10 C50      11.1  29.4   3.06  -46.3    776
VZ     VERIZON COM  VZ1 US 10/16/10 C29       11.1  34.4   1.35   82.4    745
APOL   APOLLO GROU  APOL US  8/21/10 C49      11.0  50.8   2.54   84.1   1244
GAP    GREAT ATLA   GAP US  2/19/11 P2.5      10.9 101.5   0.75  150.0    744
PFE    PFIZER INC   PFE US  9/18/10 C15       10.9  28.3   0.41    0.0  54371
APOL   APOLLO GROU  APOL US  8/21/10 P48      10.8  51.5   2.45  -23.4   1189
APOL   APOLLO GROU  APOL US  8/21/10 C50      10.5  50.0   2.06  108.1   1277
APOL   APOLLO GROU  APOL US  8/21/10 P50      10.3  49.6   3.80  -15.6    741
XHB    SPDR S&P HO  XHB US  9/18/10 C16       10.2  36.5   0.51   34.2  20016
TEVA   TEVA PHARM-  TEVA US  9/18/10 C47.5    10.1  33.4   3.25  -49.2   3393
QQQQ   POWERSH-QQQ  QQQQ US  8/21/10 C45      10.1  23.9   1.79   14.7  16357
EBIX   EBIX INC     EBIX US 12/18/10 P17.5    10.1  45.4   2.30   -6.1   1600
LOGI   LOGITECH IN  LOGI US  8/21/10 P15      10.0  40.6   0.80  -30.4    530
ENER   ENERGY CONV  ENER US  8/21/10 C5       10.0  56.2   0.30  100.0   1141

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= MSFT MICROSOFT C MSFT US 8/21/10 C25 -26.0 24.1 0.98 -29.0 11577 MSFT MICROSOFT C MSFT US 8/21/10 C26 -25.9 22.6 0.44 -45.7 29224 CMG CHIPOTLE ME CMG US 8/21/10 C150 -25.1 31.8 3.02 108.3 1714 MNTA MOMENTA PHA MNTA US 8/21/10 P20 -25.1 108.2 2.90 0.0 594 MSFT MICROSOFT C MSFT US 8/21/10 P25 -24.9 23.9 0.47 -19.0 5999 MSFT MICROSOFT C MSFT US 8/21/10 P26 -24.4 22.4 0.94 -6.0 4236 DECK DECKERS OUT DECK US 8/21/10 C48.33 -22.9 41.7 2.65 1.9 522 CMG CHIPOTLE ME CMG US 8/21/10 C145 -22.1 34.2 5.27 102.7 1281 SNDK SANDISK COR SNDK US 8/21/10 P40 -22.1 46.5 1.52 2.0 2505 AMZN AMAZON.COM AMZN US 8/21/10 P120 -21.9 36.2 5.90 -3.3 6207 SNDK SANDISK COR SNDK US 8/21/10 C40 -21.6 46.6 2.80 -40.4 2501 AMZN AMAZON.COM AMZN US 8/21/10 C120 -21.5 36.3 3.83 -39.2 9924 AMZN AMAZON.COM AMZN US 8/21/10 C115 -21.4 38.0 6.58 -28.5 7028 CMG CHIPOTLE ME CMG US 8/21/10 C140 -21.1 36.0 8.41 100.2 610 SNDK SANDISK COR SNDK US 8/21/10 P41 -21.1 46.1 1.96 8.9 689 SNDK SANDISK COR SNDK US 8/21/10 C41 -20.7 46.5 2.20 -45.0 1303 KMB KIMBERLY-CL KMB US 8/21/10 C65 -20.7 13.2 0.45 -10.0 1296 VZ VERIZON COM VZ US 8/21/10 P29 -20.6 13.5 1.06 -48.3 1287 SNDK SANDISK COR SNDK US 8/21/10 C42 -20.4 45.9 1.77 -47.5 1626 ERIC ERICSSON LM ERIC US 8/21/10 P11 -20.4 37.3 0.33 32.0 2234 SNDK SANDISK COR SNDK US 8/21/10 C43 -19.7 45.7 1.34 -52.5 3498 CYOU CHANGYOU.CO CYOU US 8/21/10 C26 -19.2 35.6 1.05 -34.0 606 AMZN AMAZON.COM AMZN US 8/21/10 P115 -19.0 38.2 3.50 -14.6 7175 QQQQ POWERSH-QQQ QQQQ US 8/21/10 P48 -18.9 19.5 2.29 -13.6 1719 ETFC E*TRADE FIN ETFC US 8/21/10 C15 -18.6 37.0 0.38 153.3 967 F FORD MOTOR F US 8/21/10 P13 -17.6 34.3 0.70 -38.0 11629 MCD MCDONALDS C MCD US 8/21/10 P67.5 -17.6 17.9 0.47 14.6 1348 COF CAPITAL ONE COF US 8/21/10 C41 -17.1 36.6 1.42 -46.0 623 F FORD MOTOR F US 8/21/10 C13 -16.9 34.5 0.33 37.5 18953 MCD MCDONALDS C MCD US 8/21/10 P72.5 -16.7 14.5 2.78 35.6 543 VZ VERIZON COM VZ US 8/21/10 C29 -16.4 13.3 0.11 266.7 2249 MOS MOSAIC CO/T MOS US 8/21/10 C49 -15.9 37.7 1.05 28.1 686 AMZN AMAZON.COM AMZN US 9/18/10 C120 -15.5 35.6 5.35 -33.5 3189 MSFT MICROSOFT C MSFT US 9/18/10 C25 -15.5 25.2 1.24 -23.0 6484 AMZN AMAZON.COM AMZN US 9/18/10 C115 -15.5 36.9 7.56 -30.5 786 RRI RRI ENERGY RRI US 8/21/10 C4 -15.3 37.5 0.35 16.7 1008 MCD MCDONALDS C MCD US 8/21/10 C67.5 -15.3 18.2 2.96 -31.2 641 MSFT MICROSOFT C MSFT US 9/18/10 C26 -14.9 23.9 0.74 -27.4 10188 SWKS SKYWORKS SO SWKS US 8/21/10 C19 -14.8 33.9 0.55 10.0 802 MCD MCDONALDS C MCD US 8/21/10 C70 -14.8 16.0 1.25 -45.6 2933 MOS MOSAIC CO/T MOS US 8/21/10 P46 -14.7 40.6 1.72 -49.4 795 MOS MOSAIC CO/T MOS US 8/21/10 P45 -14.6 41.7 1.32 -48.2 590 JCI JOHNSON CON JCI US 8/21/10 C30 -14.5 32.1 0.70 -48.1 683 AXP AMERICAN EX AXP US 8/21/10 C44 -14.4 31.6 2.02 41.3 1860 MOS MOSAIC CO/T MOS US 8/21/10 C47 -14.3 40.4 1.95 25.0 2434 SPY SPDR S&P 50 SPY US 9/18/10 P114 -14.1 19.7 5.90 -13.4 4653 AMZN AMAZON.COM AMZN US 9/18/10 P115 -13.9 37.2 5.40 -6.1 503 MOS MOSAIC CO/T MOS US 8/21/10 C46 -13.8 41.5 2.56 29.3 1338 AXP AMERICAN EX AXP US 8/21/10 C46 -13.7 29.1 0.95 39.7 1040 MCD MCDONALDS C MCD US 8/21/10 C72.5 -13.7 14.7 0.30 -67.0 2534 MOS MOSAIC CO/T MOS US 8/21/10 C45 -13.5 42.6 3.15 31.8 972 DIA SPDR DJIA T DIA US 8/21/10 P105 -13.2 17.4 2.55 -26.1 748 AMZN AMAZON.COM AMZN US 10/16/10 C120 -13.0 35.4 6.85 -27.7 801 AXP AMERICAN EX AXP US 8/21/10 C43 -13.0 32.9 2.54 27.0 1067 HBAN HUNTINGTON HBAN US 8/21/10 C6 -13.0 38.3 0.25 25.0 673 IWM ISHARES-RUS IWM US 8/21/10 P67 -12.9 26.7 3.18 -28.5 521 SLB SCHLUMBERGE SLB US 8/21/10 P57.5 -12.8 36.2 1.71 36.8 1510 GS GOLDMAN SAC GS US 8/21/10 P150 -12.8 26.1 5.45 -22.1 948 QQQQ POWERSH-QQQ QQQQ US 8/21/10 P47 -12.7 20.9 1.62 -16.1 7933 SPY SPDR S&P 50 SPY US 9/18/10 P113 -12.7 20.1 5.30 -11.8 3257 JCI JOHNSON CON JCI US 8/21/10 C29 -12.6 34.1 1.25 -41.9 703 MSFT MICROSOFT C MSFT US 9/18/10 P26 -12.5 23.9 1.25 0.0 1440 SPY SPDR S&P 50 SPY US 9/18/10 P112 -12.4 20.9 4.73 -11.9 2767 C CITIGROUP I C US 8/21/10 P4 -12.4 30.1 0.11 -8.3 11788 EBIX EBIX INC EBIX US 12/18/10 C17.5 -12.2 34.1 1.20 4.3 1509 AMZN AMAZON.COM AMZN US 10/16/10 C115 -12.2 36.7 9.70 -20.6 590 SNDK SANDISK COR SNDK US 9/18/10 C42 -12.1 47.4 2.75 -34.5 583 COF CAPITAL ONE COF US 9/18/10 P39 -11.8 39.5 1.69 3.7 1045 AXP AMERICAN EX AXP US 8/21/10 P43 -11.6 33.2 0.84 -51.2 941 AXP AMERICAN EX AXP US 8/21/10 P44 -11.6 31.8 1.18 -46.1 3564 AMZN AMAZON.COM AMZN US 10/16/10 P115 -11.5 37.2 7.10 -1.4 659 DIA SPDR DJIA T DIA US 8/21/10 P104 -11.5 18.3 2.16 -22.9 1692 VZ VERIZON COM VZ US 8/21/10 P28 -11.4 15.0 0.42 -64.4 1538 SNDK SANDISK COR SNDK US 9/18/10 C43 -11.3 46.9 2.30 -37.0 743 MCD MCDONALDS C MCD US 9/18/10 P70 -11.2 16.7 2.10 25.0 1246 MCD MCDONALDS C MCD US 9/18/10 P67.5 -11.2 18.4 1.14 8.6 804 TBT PROSHARES U TBT US 8/21/10 C35 -11.0 24.7 1.89 31.2 874 COF CAPITAL ONE COF US 9/18/10 C40 -11.0 38.3 2.72 -32.0 1120 GS GOLDMAN SAC GS US 8/21/10 P145 -10.9 28.2 3.25 -26.1 2213 RVBD RIVERBED TE RVBD US 8/21/10 C35 -10.6 43.2 1.90 216.7 572 NVDA NVIDIA CORP NVDA US 9/18/10 C10 -10.6 40.0 0.85 -18.3 7239 IR INGERSOLL-R IR US 8/21/10 C37.5 -10.6 28.8 0.90 -10.0 962 DIA SPDR DJIA T DIA US 8/21/10 P103 -10.5 19.0 1.73 -26.4 2957 T AT&T INC T US 8/21/10 C25 -10.2 15.7 0.83 3.8 4863 VZ VERIZON COM VZ US 9/18/10 P29 -10.2 15.2 1.25 -37.8 571 SPY SPDR S&P 50 SPY US 9/18/10 P109 -10.2 22.6 3.44 -14.2 8978


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* - Ex-earnings.

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