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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 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
=============================================================================
TMX    TELEF MEXI-  TMX US 11/20/10 P15       26.9  22.8   0.60  -14.3   1013
AES    AES CORP     AES US 10/16/10 C11       26.6  32.5   0.65   30.0   1065
HTS    HATTERAS FI  HTS US 10/16/10 C29       25.9  22.2   0.31  -82.3    297
ALU    ALCATEL-LUC  ALU US 10/16/10 C3        24.0  45.1   0.15    0.0    250
RWT    REDWOOD TRU  RWT US 10/16/10 C15       23.3  24.4   0.25    0.0    278
MPEL   MELCO CROWN  MPEL US 10/16/10 C5       21.8  57.2   0.25    0.0   1692
BPOP   POPULAR INC  BPOP US 10/16/10 C3       19.7  43.9   0.10   25.0    661
HCBK   HUDSON CITY  HCBK US 10/16/10 C12.5    18.6  22.0   0.20   33.3   1007
NLY    ANNALY CAPI  NLY US 10/16/10 C18       18.6  15.4   0.17  -15.0    738
IVR    INVESCO MOR  IVR US 10/16/10 C22.5     18.4  21.8   0.45  200.0    249
IYR    ISHARES-DJ   IYR US 10/16/10 C52       17.8  24.8   2.84   -3.1    356
HNP    HUANENG POW  HNP US 11/20/10 C25       17.1  27.6   1.30   30.0    740
CNO    CNO FINANCI  CNO US 10/16/10 C6        14.8  45.6   0.15  275.0    269
ELN    ELAN CORP-A  ELN US 10/16/10 C5        13.8  59.9   0.40   81.8    229
PHM    PULTE GROUP  PHM US 10/16/10 C9        12.8  44.0   0.26   18.2    866
C      CITIGROUP I  C US 10/16/10 P4          12.8  25.6   0.11   10.0   9538
ATML   ATMEL CORP   ATML US 11/20/10 C7.5     12.5  47.0   0.45   12.5    219
PHM    PULTE GROUP  PHM US 10/16/10 P9        12.4  43.8   0.56  -13.8   1500
SSO    PROSHARES U  SSO US 10/16/10 C41       12.0  35.0   0.69    0.0    755
GENZ   GENZYME COR  GENZ US 11/20/10 C70      11.6  24.5   3.15    0.0   1035
SSO    PROSHARES U  SSO US 10/16/10 C40       11.6  36.9   1.12   -0.9   1191
EXPR   EXPRESS INC  EXPR US 11/20/10 C15      11.4  45.0   1.30    0.0   2000
EW     EDWARDS LIF  EW US 10/16/10 C60        11.3  59.7   3.20  166.7    651
SSO    PROSHARES U  SSO US 10/16/10 C39       11.2  39.0   1.65   -4.1    995
C      CITIGROUP I  C US 10/16/10 C4          11.1  27.9   0.11   22.2  34480
QQQQ   POWERSH-QQQ  QQQQ US 10/16/10 C47      11.0  22.5   2.19   -0.5    864
BKE    THE BUCKLE   BKE US 10/16/10 C27.5     10.8  45.9   0.85  -61.7    433
HIG    HARTFORD FI  HIG US 10/16/10 P23       10.7  43.4   0.82  -15.5   2716
SSO    PROSHARES U  SSO US 10/16/10 C38       10.4  41.4   2.30   -6.5    542
MAS    MASCO CORP   MAS US 10/16/10 C11       10.4  43.4   0.65   18.2    206

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= CAG CONAGRA FOO CAG US 10/16/10 P21 -33.3 16.6 0.30 200.0 17543 VVUS VIVUS INC VVUS US 10/16/10 C7 -32.5 71.0 0.52 40.5 9689 VVUS VIVUS INC VVUS US 10/16/10 P7 -30.9 74.6 0.51 -61.6 705 CYTK CYTOKINETIC CYTK US 10/16/10 C2.5 -30.1 52.8 0.20 0.0 342 CAG CONAGRA FOO CAG US 10/16/10 C22 -24.0 17.2 0.10 -86.7 1184 GIGM GIGAMEDIA L GIGM US 10/16/10 C2 -20.8 51.4 0.10 0.0 2064 AZO AUTOZONE IN AZO US 10/16/10 P210 -19.6 22.2 1.94 -19.2 1049 AZO AUTOZONE IN AZO US 10/16/10 P220 -18.4 21.2 6.50 6.6 201 EGLE EAGLE BULK EGLE US 11/20/10 C5 -18.1 33.4 0.35 0.0 302 EW EDWARDS LIF EW US 11/20/10 C57.5 -17.9 46.0 5.00 122.2 591 AZO AUTOZONE IN AZO US 10/16/10 C220 -17.3 21.7 3.80 -39.7 426 CIM CHIMERA INV CIM US 3/19/11 C4 -15.4 24.4 0.15 -25.0 270 VIP VIMPELCOM L VIP US 10/16/10 P15 -15.4 30.6 0.65 -31.6 610 CGA CHINA GREEN CGA US 10/16/10 C9 -14.8 45.6 0.40 14.3 260 VVUS VIVUS INC VVUS US 11/20/10 C7 -14.3 119.7 1.35 29.8 313 POT POTASH CORP POT US 10/16/10 P150 -14.0 23.3 4.91 -4.7 976 POT POTASH CORP POT US 10/16/10 P155 -13.8 25.7 8.90 2.9 2681 AMTD TD AMERITRA AMTD US 10/16/10 P17 -13.7 24.0 0.85 0.0 501 POT POTASH CORP POT US 10/16/10 P145 -13.2 23.5 2.48 -10.8 4193 CBLI CLEVELAND B CBLI US 10/16/10 C5 -12.5 59.2 0.50 25.0 400 POT POTASH CORP POT US 10/16/10 C150 -12.3 23.9 2.56 -26.9 2686 POT POTASH CORP POT US 10/16/10 C155 -12.0 26.3 1.38 -36.4 2183 NVS NOVARTIS AG NVS US 10/16/10 C55 -11.7 21.5 2.00 -16.7 234 POT POTASH CORP POT US 10/16/10 C145 -10.8 24.4 5.05 -16.5 368 GIS GENERAL MIL GIS US 10/16/10 C36.25 -10.3 23.8 0.52 -41.6 215


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


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-0- Sep/21/2010 15:30 GMT

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