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
=============================================================================
MSM    MSC INDL DI  MSM US 10/16/10 P55       42.2  36.3   2.85   -8.1    286
DF     DEAN FOODS   DF US 10/16/10 C10        33.5  49.0   0.45  125.0   2995
RIG    TRANSOCEAN   RIG US 10/16/10 P65       32.9  28.4   2.60  -27.8    541
EGLE   EAGLE BULK   EGLE US 10/16/10 P5       18.4  31.3   0.05  -50.0    700
EGLE   EAGLE BULK   EGLE US 10/16/10 C5       18.1  31.1   0.25   25.0    799
TSLA   TESLA MOTOR  TSLA US 10/16/10 C21      17.8  50.6   1.00   66.7    271
INFY   INFOSYS TEC  INFY US 10/16/10 P70      16.4  31.0   4.19   -2.6    295
QLGC   QLOGIC CORP  QLGC US 10/16/10 C17.5    13.9  43.6   0.60   20.0    976
AVP    AVON PRODUC  AVP US 10/16/10 C32       13.7  27.0   0.75   -6.2   1086
NR     NEWPARK RES  NR US 11/20/10 C7.5       13.1 427.3   1.00    0.0    250
AVP    AVON PRODUC  AVP US 10/16/10 C31       12.8  29.3   1.45    0.0    520
BKC    BURGER KING  BKC US  1/22/11 C25       12.7   8.6   0.10  100.0    500
TCB    TCF FINL CO  TCB US 10/16/10 C15       12.6  50.2   1.15   27.8    845
RIG    TRANSOCEAN   RIG US 10/16/10 P62.5     12.3  31.6   1.41  -29.9    770
HIG    HARTFORD FI  HIG US 10/16/10 C23       12.2  45.6   1.00   58.7   2200
HIG    HARTFORD FI  HIG US 11/20/10 C24       11.3  46.5   1.25   42.0   2127
CTXS   CITRIX SYST  CTXS US 10/16/10 P67.5    11.3  40.7   1.30    9.2    337
HIG    HARTFORD FI  HIG US 10/16/10 C24       10.8  44.9   0.53   76.7   4686
NLY    ANNALY CAPI  NLY US 10/16/10 C18       10.3  18.0   0.45   -4.3    589
AIG    AMERICAN IN  AIG US 10/16/10 C37       10.1  38.8   1.10   -8.3    413

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= ACF AMERICREDIT ACF US 5/21/11 P24 -52.5 2.2 0.05 -75.0 1560 ACF AMERICREDIT ACF US 2/19/11 P24 -49.2 2.7 0.05 -75.0 221 ACF AMERICREDIT ACF US 1/22/11 P24 -37.6 3.7 0.05 -75.0 433 WAG WALGREEN CO WAG US 10/16/10 C35 -33.8 24.5 0.22 266.7 3369 AGNC AMERICAN CA AGNC US 10/16/10 P26 -33.1 20.5 0.20 33.3 1374 JBL JABIL CIRCU JBL US 10/16/10 P13 -32.5 45.0 0.46 2.2 511 ACF AMERICREDIT ACF US 11/20/10 P24 -29.9 5.4 0.05 -66.7 208 WAG WALGREEN CO WAG US 10/16/10 C34 -26.6 24.8 0.57 612.5 1742 PAYX PAYCHEX INC PAYX US 10/16/10 C27 -26.3 20.9 0.40 -38.5 786 ABV AMBEV-PRF A ABV US 10/16/10 C120 -24.5 17.3 2.10 -28.8 208 PAYX PAYCHEX INC PAYX US 10/16/10 P28 -23.4 19.2 1.20 -4.0 202 WAG WALGREEN CO WAG US 10/16/10 C33 -20.8 25.2 1.05 707.7 1948 CUTR CUTERA INC CUTR US 11/20/10 P7.5 -18.9 33.7 0.35 0.0 302 PAYX PAYCHEX INC PAYX US 10/16/10 C26 -18.4 23.4 1.05 -19.2 420 AGNC AMERICAN CA AGNC US 10/16/10 P27 -17.8 22.1 0.65 160.0 567 THQI THQ INC THQI US 11/20/10 P4 -17.6 58.5 0.35 0.0 333 JBL JABIL CIRCU JBL US 10/16/10 C13 -16.6 50.3 0.65 -50.0 535 MCRL MICREL INC MCRL US 11/20/10 P10 -16.2 36.9 0.83 18.6 300 WAG WALGREEN CO WAG US 10/16/10 P33 -15.7 25.3 0.50 -80.5 4613 APWR A-POWER ENE APWR US 10/16/10 C7 -15.3 71.1 0.60 -20.0 1192 CCE COCA-COLA E CCE US 10/16/10 C30 -15.0 17.3 0.92 -8.0 201 RINO RINO INTERN RINO US 10/16/10 C14 -14.7 44.8 0.60 -25.0 222 LLNW LIMELIGHT N LLNW US 3/19/11 P5 -14.5 52.8 0.70 -22.2 200 WAG WALGREEN CO WAG US 10/16/10 P32 -14.1 26.7 0.25 -86.7 1879 WAG WALGREEN CO WAG US 10/16/10 C32 -13.9 26.5 1.84 557.1 2148 AGNC AMERICAN CA AGNC US 11/20/10 P26 -13.4 23.3 0.65 62.5 219 EGLE EAGLE BULK EGLE US 11/20/10 C5 -13.1 30.7 0.35 0.0 247 PFE PFIZER INC PFE US 10/16/10 C18 -13.1 19.1 0.05 -28.6 502 DRN DIREXION-R DRN US 10/16/10 C47 -12.3 65.2 2.40 -22.6 527 POT POTASH CORP POT US 10/16/10 P145 -11.7 22.0 2.41 -10.7 360 DYN DYNEGY INC DYN US 10/16/10 C5 -11.4 37.3 0.10 -33.3 379 VALE VALE SA-SP VALE US 10/16/10 P30 -11.2 31.6 0.59 -9.2 342 DTG DOLLAR THRI DTG US 10/16/10 P50 -10.8 20.5 0.70 7.7 592 WGO WINNEBAGO I WGO US 10/16/10 C10 -10.8 65.4 0.55 -35.3 350 SINA SINA CORP SINA US 10/16/10 C52.5 -10.6 41.3 1.80 -16.3 981 AGNC AMERICAN CA AGNC US 10/16/10 C27 -10.4 22.5 0.30 -73.9 967 MCHP MICROCHIP T MCHP US 10/16/10 C32 -10.1 24.9 0.35 16.7 548


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


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-0- Sep/28/2010 15:30 GMT

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