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
=============================================================================
MNKD   MANNKIND CO  MNKD US 10/16/10 C6       69.7  51.0   0.40  122.2   1945
GMCR   GREEN MOUNT  GMCR US 10/16/10 C32      41.1  66.2   1.20  -77.8   4156
LVLT   LEVEL 3 COM  LVLT US 10/16/10 P1       37.8  75.1   0.05  -50.0   2000
CLX    CLOROX CO    CLX US 11/20/10 C70       32.0  18.3   0.55  120.0   1276
NLY    ANNALY CAPI  NLY US 10/16/10 C18       26.5  17.9   0.30    0.0    563
CLX    CLOROX CO    CLX US 10/16/10 C70       26.3  19.8   0.21  162.5   1345
GMCR   GREEN MOUNT  GMCR US 10/16/10 P32      24.7  65.8   2.44 1642.9    578
JASO   JA SOLAR HO  JASO US 11/20/10 P9       23.3  70.0   0.95    0.0    425
GMCR   GREEN MOUNT  GMCR US 10/16/10 C31      21.1  66.4   1.60  -74.8   1196
GMCR   GREEN MOUNT  GMCR US 10/16/10 C30      19.7  67.1   2.10  -72.7    726
GMCR   GREEN MOUNT  GMCR US 10/16/10 P31      19.4  66.5   1.81 1106.7   2218
DTG    DOLLAR THRI  DTG US 10/16/10 P49       17.2  22.3   0.48   37.1    338
RIG    TRANSOCEAN   RIG US 10/16/10 P65       14.7  26.7   2.24  -24.3    738
BCSI   BLUE COAT S  BCSI US 10/16/10 C25      14.3  52.5   0.70  133.3   1997
PAL    NORTH AMER   PAL US 10/16/10 C4        14.1  43.0   0.15    0.0    285
YGE    YINGLI GREE  YGE US 10/16/10 C13       14.0  46.4   0.50  233.3   2402
GMCR   GREEN MOUNT  GMCR US 11/20/10 C31      13.9  64.2   2.86  -61.4   1997
EL     ESTEE LAUDE  EL US 10/16/10 C65        13.8  23.2   0.90  260.0    340
XLF    SPDR-FINL S  XLF US 10/16/10 C15       13.3  24.5   0.09    0.0   1901
QEP    QEP RESOURC  QEP US 10/16/10 C30       13.2  29.9   0.90   50.0    215
LFC    CHINA LIFE-  LFC US 10/16/10 P62.5     13.2  25.0   3.00   15.4    620
NETL   NETLOGIC MI  NETL US 10/16/10 P27.5    13.1  47.5   0.90    5.9    563
DTG    DOLLAR THRI  DTG US 10/16/10 P48       12.9  24.8   0.30    3.5    263
CHKP   CHECK POINT  CHKP US 10/16/10 C36      12.6  30.1   1.00  122.2    282
VGZ    VISTA GOLD   VGZ US 12/18/10 C2.5      12.6  95.5   0.45   12.5    270
BP     BP PLC-ADR   BP US 10/16/10 P39        12.4  31.7   0.70  -15.7   1274
GMCR   GREEN MOUNT  GMCR US 11/20/10 C32      12.3  62.2   2.31    0.0   1220
AIG    AMERICAN IN  AIG US 10/16/10 C39       12.2  44.4   1.15   82.5   2085
BCSI   BLUE COAT S  BCSI US 11/20/10 C25      11.9  51.3   1.45   31.8    588
CLX    CLOROX CO    CLX US  1/22/11 C70       11.9  16.3   1.10   37.5    786
SMH    SEMICONDUCT  SMH US 10/16/10 C27       11.8  27.4   1.13   -1.7    497
TSM    TAIWAN SEMI  TSM US 10/16/10 C10       11.7  22.7   0.30   20.0    294
AIG    AMERICAN IN  AIG US 10/16/10 C37       11.5  43.7   2.20   56.0   1305
ALU    ALCATEL-LUC  ALU US  3/19/11 C3.5      11.5  43.9   0.30  -14.3   3541
AIG    AMERICAN IN  AIG US 10/16/10 C38       11.2  43.8   1.67   79.6   1594
BP     BP PLC-ADR   BP US 10/16/10 P40        11.1  31.0   1.18  -13.2    603
BCSI   BLUE COAT S  BCSI US 10/16/10 C24      11.0  51.1   1.35  125.0    845
TSRA   TESSERA TEC  TSRA US 10/16/10 P18      10.8  37.9   0.30   11.1    300
WHR    WHIRLPOOL C  WHR US 10/16/10 P80       10.8  46.1   3.15   -6.0    956
AIG    AMERICAN IN  AIG US 10/16/10 C40       10.8  45.9   0.85   97.7   2306
CRUS   CIRRUS LOGI  CRUS US 10/16/10 C18      10.7  54.9   1.10  144.4    850
GMCR   GREEN MOUNT  GMCR US 11/20/10 P31      10.4  64.3   3.14  248.9    851

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= FDO FAMILY DOLL FDO US 10/16/10 P45 -35.6 27.1 1.30 -42.7 377 FDO FAMILY DOLL FDO US 10/16/10 C45 -33.4 27.4 0.85 -5.6 2359 FDO FAMILY DOLL FDO US 10/16/10 C46 -32.7 27.2 0.45 -30.8 466 SAY SATYAM COMP SAY US 10/16/10 P4 -32.1 78.5 0.25 25.0 597 FDO FAMILY DOLL FDO US 10/16/10 P44 -29.9 28.7 0.75 -59.7 752 FDO FAMILY DOLL FDO US 10/16/10 C44 -29.6 29.5 1.45 11.5 1057 FDO FAMILY DOLL FDO US 10/16/10 P43 -29.2 29.8 0.50 -64.0 599 ATU ACTUANT COR ATU US 10/16/10 C22.5 -26.1 37.4 0.65 -31.6 290 FDO FAMILY DOLL FDO US 10/16/10 C43 -24.6 31.7 2.10 19.3 3258 PWE PENN WEST E PWE US 10/16/10 C20 -19.1 16.0 0.30 100.0 485 FDO FAMILY DOLL FDO US 11/20/10 C45 -18.4 24.6 1.45 7.4 263 FDO FAMILY DOLL FDO US 11/20/10 P45 -17.5 24.8 1.90 -28.3 342 FDO FAMILY DOLL FDO US 11/20/10 C46 -16.7 24.2 1.00 5.3 267 ABT ABBOTT LABS ABT US 10/16/10 C50 -16.3 17.7 2.38 -4.8 374 XLU SPDR-UTIL S XLU US 10/16/10 C31 -15.3 14.2 0.59 -10.6 887 C CITIGROUP I C US 10/16/10 P4 -13.7 25.6 0.12 -25.0 3390 SAY SATYAM COMP SAY US 1/22/11 P4 -13.6 60.3 0.50 0.0 1736 LVLT LEVEL 3 COM LVLT US 12/18/10 P1 -13.4 71.1 0.15 0.0 1010 BSX BOSTON SCIE BSX US 10/16/10 C6 -13.0 37.3 0.20 -37.5 3596


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


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-0- Sep/29/2010 15:30 GMT

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