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
=============================================================================
CYOU   CHANGYOU.CO  CYOU US 10/16/10 C30      21.2  41.0   0.90  157.1   1323
MJN    MEAD JOHNSO  MJN US 10/16/10 P55       20.8  36.1   0.96  -20.0    540
MJN    MEAD JOHNSO  MJN US 10/16/10 C55       19.7  36.7   3.33   41.7    321
QQQQ   POWERSH-QQQ  QQQQ US 10/16/10 P52      19.5  17.0   2.55  -28.2   1083
HNZ    HJ HEINZ CO  HNZ US 10/16/10 C49       16.6  18.7   0.35   20.7    319
ARMH   ARM HOLDING  ARMH US 10/16/10 C19      16.4  44.7   1.20  140.0    470
MHLD   MAIDEN HOLD  MHLD US  2/19/11 C7.5     16.1  27.8   0.50    0.0   1015
HUN    HUNTSMAN CO  HUN US 10/16/10 C11       16.1  44.6   0.65   44.4    614
VIA/B  VIACOM INC-  VIAB US 10/16/10 P35      13.5  31.2   0.65  -27.8    227
SPY    SPDR S&P 50  SPY US 10/16/10 P119      13.3  15.3   4.78  -28.1    304
BRK/B  BERKSHIRE H  BRKB US 10/16/10 P85      13.3  19.7   2.00  -52.4   4057
MJN    MEAD JOHNSO  MJN US 10/16/10 C60       12.7  39.2   1.09   78.7   1673
GIS    GENERAL MIL  GIS US 10/16/10 P37.5     12.6  28.6   1.35  -22.4   1524
CIM    CHIMERA INV  CIM US  3/19/11 C4        12.4  28.2   0.25   25.0    987
SCCO   SOUTHERN CO  SCCO US 10/16/10 C36      11.9  28.1   0.45   50.0    376
AMZN   AMAZON.COM   AMZN US 10/16/10 P155     10.9  37.4   3.90  -38.0   1926
BRK/B  BERKSHIRE H  BRKB US 10/16/10 C85      10.7  18.9   1.12  330.8   3777
HNZ    HJ HEINZ CO  HNZ US 10/16/10 C50       10.6  21.0   0.20  100.0    381
AMLN   AMYLIN PHAR  AMLN US 10/16/10 C22.5    10.3  46.3   0.57   50.0   2498
VZ     VERIZON COM  VZ1 US 10/16/10 C34       10.2  45.7   0.72   14.3    234

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= AGNC AMERICAN CA AGNC US 10/16/10 C27 -47.1 26.4 1.28 -43.1 382 EDU NEW ORIENTA EDU US 10/16/10 C100 -31.7 35.6 2.75 -76.1 336 XLP SPDR-CONS S XLP US 10/16/10 C29 -31.5 9.6 0.04 0.0 5000 NOVL NOVELL INC NOVL US 10/16/10 C6 -28.8 32.3 0.35 0.0 732 VALE VALE SA-SP VALE US 10/16/10 P31 -23.6 31.0 1.67 -20.1 415 MIR MIRANT CORP MIR US 10/16/10 C10 -23.4 31.5 0.35 40.0 370 CLDX CELLDEX THE CLDX US 10/16/10 C4 -21.4 60.2 0.30 -14.3 300 IRM IRON MOUNTA IRM US 10/16/10 C22.5 -19.7 24.5 0.20 0.0 1201 DTG DOLLAR THRI DTG US 10/16/10 C50 -19.6 20.2 1.50 -47.4 1450 DTG DOLLAR THRI DTG US 10/16/10 P50 -19.1 20.0 0.60 71.4 1554 PBR PETROBRAS S PBR US 10/16/10 P37 -18.9 34.7 2.11 -2.8 348 C CITIGROUP I C US 10/16/10 C4 -18.6 25.4 0.05 0.0 53130 VALE VALE SA-SP VALE US 10/16/10 P30 -17.6 31.3 1.08 -33.7 1019 TEN TENNECO INC TEN US 10/16/10 C29 -17.6 44.4 0.85 6.2 2536 NKE NIKE INC -C NKE US 10/16/10 C80 -17.5 22.0 2.22 101.8 5830 PBR PETROBRAS S PBR US 10/16/10 P36 -16.9 34.8 1.34 -18.3 4602 NKE NIKE INC -C NKE US 10/16/10 P80 -16.4 22.3 1.34 -61.2 1854 LYG LLOYDS BANK LYG US 10/16/10 C5 -15.7 38.8 0.10 100.0 559 PBR PETROBRAS S PBR US 10/16/10 C36 -15.0 35.0 0.94 -27.1 3772 PBR PETROBRAS S PBR US 10/16/10 C37 -14.4 35.3 0.60 -33.3 1270 NLC NALCO HLDG NLC US 11/20/10 C26 -14.2 27.7 0.80 6.7 668 PBR PETROBRAS S PBR US 10/16/10 C34 -13.8 35.8 2.03 -12.5 3176 PBR PETROBRAS S PBR US 10/16/10 P35 -13.8 35.2 0.93 -14.7 3393 OEF ISHARES-SP1 OEF US 10/16/10 C50 -13.7 19.9 2.25 40.6 2149 NUVA NUVASIVE IN NUVA US 10/16/10 C35 -13.7 36.0 0.49 -18.3 248 KBH KB HOME KBH US 10/16/10 P12 -13.6 48.8 0.48 -40.7 2077 PFE PFIZER INC PFE US 10/16/10 C18 -13.3 18.6 0.10 25.0 291 BAC BANK OF AME BAC US 10/16/10 P14 -13.3 31.9 0.76 -24.0 1412 ADBE ADOBE SYS I ADBE US 10/16/10 P27 -13.2 32.3 0.92 -29.2 339 HTS HATTERAS FI HTS US 10/16/10 C29 -13.2 13.2 0.70 40.0 332 PBR PETROBRAS S PBR US 10/16/10 P34 -13.2 35.2 0.55 -19.1 1543 TIBX TIBCO SOFTW TIBX US 11/20/10 C17.5 -13.2 41.6 1.40 64.7 297 AVB AVALONBAY C AVB US 10/16/10 P110 -13.2 27.1 6.00 -16.7 320 NLY ANNALY CAPI NLY US 10/16/10 C19 -13.1 17.5 0.02 -33.3 561 LVLT LEVEL 3 COM LVLT US 12/18/10 C1 -13.1 74.1 0.10 0.0 203 KBH KB HOME KBH US 10/16/10 C12 -13.0 49.2 0.66 20.0 414 ADBE ADOBE SYS I ADBE US 10/16/10 C28 -12.9 33.5 0.41 -2.4 1647 PBR PETROBRAS S PBR US 10/16/10 C35 -12.8 35.4 1.43 -20.6 3242 ADBE ADOBE SYS I ADBE US 10/16/10 C27 -12.7 32.9 0.76 5.6 2040 XLF SPDR-FINL S XLF US 10/16/10 P15 -12.4 24.3 0.61 -31.5 863 DTG DOLLAR THRI DTG US 10/16/10 P49 -12.4 21.2 0.34 36.0 4253 SDS PROSHARES U SDS US 10/16/10 C28 -12.3 34.1 1.73 -37.5 1267 VALE VALE SA-SP VALE US 10/16/10 P29 -12.3 32.6 0.63 -39.4 430 SDS PROSHARES U SDS US 10/16/10 P28 -11.4 33.3 0.39 56.0 685 AMX AMERICA MO- AMX US 10/16/10 P55 -11.3 20.7 2.10 -27.6 630 ADBE ADOBE SYS I ADBE US 10/16/10 P26 -11.0 32.6 0.48 -37.7 877 TBT PROSHARES U TBT US 10/16/10 C33 -10.5 31.0 0.64 16.4 1018 DIA SPDR DJIA T DIA US 10/16/10 C113 -10.2 12.9 0.15 87.5 537


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


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-0- Sep/24/2010 15:30 GMT

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