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
=============================================================================
PBH    PRESTIGE BR  PBH US 11/20/10 C10       62.4  40.1   0.60    0.0    221
SPY    SPDR S&P 50  SPY US 10/16/10 P120      52.4  16.5   6.15    8.8    469
OREX   OREXIGEN TH  OREX US 10/16/10 C6       26.5  68.6   0.25  150.0    687
GIGM   GIGAMEDIA L  GIGM US 10/16/10 C2       25.4  27.8   0.10    0.0   1375
SPY    SPDR S&P 50  SPY US 10/16/10 P119      24.0  17.3   5.25    8.9   2892
QQQQ   POWERSH-QQQ  QQQQ US 10/16/10 P51      22.9  19.3   2.27   18.9   3387
APWR   A-POWER ENE  APWR US 10/16/10 C8       20.8  72.3   0.55  129.2    429
CIM    CHIMERA INV  CIM US 12/18/10 C4        18.7  25.6   0.15    0.0    293
SPY    SPDR S&P 50  SPY US 10/16/10 P118      18.2  18.0   4.43   11.6  17706
SOL    RENESOLA LT  SOL US 10/16/10 C12       17.5  65.2   0.60  -11.8    791
CSIQ   CANADIAN SO  CSIQ US 10/16/10 P15      17.4  65.1   0.65  -35.0    221
CY     CYPRESS SEM  CY US 10/16/10 P13        16.5  42.8   0.65   85.7   1957
HUN    HUNTSMAN CO  HUN US 11/20/10 C11       15.7  49.5   1.10    4.8   3702
TWX    TIME WARNER  TWX US 10/16/10 C30       15.5  32.4   1.32   16.8  10121
NVS    NOVARTIS AG  NVS US 10/16/10 C60       14.9  25.3   0.40   33.3   4687
CSIQ   CANADIAN SO  CSIQ US 10/16/10 C15      14.9  63.3   1.05  133.3   2094
XLF    SPDR-FINL S  XLF US 10/16/10 P15       14.6  25.5   0.72    1.4   3403
TWX    TIME WARNER  TWX US 10/16/10 P30       14.2  32.0   0.55   27.9    283
SPY    SPDR S&P 50  SPY US 10/16/10 P117      13.5  18.6   3.69   11.5  32177
NLY    ANNALY CAPI  NLY US 11/20/10 C18       13.2  19.0   0.35  -14.6    803
CIGX   STAR SCIENT  CIGX US  1/22/11 C2       13.1 102.5   0.45   12.5    250
CAR    AVIS BUDGET  CAR US 10/16/10 C12       12.5  63.3   0.40   14.3    568
TWX    TIME WARNER  TWX US 10/16/10 C31       12.5  29.6   0.57    5.6    245
DTG    DOLLAR THRI  DTG US 11/20/10 C50       12.1  20.1   1.75   40.0    637
CSIQ   CANADIAN SO  CSIQ US 10/16/10 C16      11.2  62.7   0.55  120.0   2721
SPY    SPDR S&P 50  SPY US 10/16/10 P116      11.2  19.2   3.04   17.4  31372
SDRL   SEADRILL LT  SDRL US 11/20/10 P30      11.0  32.3   2.10   -2.3    593
PAY    VERIFONE SY  PAY US 10/16/10 C32       11.0  39.1   0.50  233.3    218
FE     FIRSTENERGY  FE US 10/16/10 C39        10.9  16.8   0.35    0.0    287
CSIQ   CANADIAN SO  CSIQ US 11/20/10 C16      10.7  61.6   1.17   80.0    234
SPY    SPDR S&P 50  SPY US 10/16/10 P115      10.4  20.0   2.45   19.5  45072
CRUS   CIRRUS LOGI  CRUS US 10/16/10 P18      10.1  62.8   1.16  132.0    466

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= NLY ANNALY CAPI NLY US 10/16/10 C17 -54.8 23.5 0.76 -45.3 656 IVR INVESCO MOR IVR US 11/20/10 C22.5 -31.9 15.7 0.25 -44.4 1363 XRTX XYRATEX LTD XRTX US 10/16/10 C15 -29.1 60.7 0.77 -71.5 560 NZ NETEZZA COR NZ US 11/20/10 C27.5 -27.0 8.4 0.10 -60.0 1860 XRTX XYRATEX LTD XRTX US 10/16/10 P15 -23.9 63.5 0.90 157.1 1453 ERF ENERPLUS RE ERF US 10/16/10 C26 -23.8 17.7 0.15 0.0 320 NLY ANNALY CAPI NLY US 10/16/10 C18 -20.4 17.0 0.11 -72.5 3931 CCE COCA-COLA E CCE US 10/16/10 P31 -17.8 15.4 0.25 -39.0 220 LUFK LUFKIN INDS LUFK US 10/16/10 C45 -15.2 38.0 0.70 -54.8 1160 NLY ANNALY CAPI NLY US 10/16/10 P18 -15.0 17.4 0.46 0.0 1106 QCOR QUESTCOR PH QCOR US 4/16/11 C10 -13.8 56.5 1.70 -15.0 288 NLY ANNALY CAPI NLY US 10/16/10 P17 -13.5 23.6 0.10 -23.1 1182 LUV SOUTHWEST A LUV US 10/16/10 P13 -12.5 30.3 0.30 15.4 801 CCE COCA-COLA E CCE US 10/16/10 C31 -12.0 15.9 0.55 41.0 200 PFE PFIZER INC PFE US 10/16/10 P18 -11.3 16.5 0.69 0.0 339 THOR THORATEC CO THOR US 10/16/10 C35 -11.2 38.6 2.05 -55.4 540 ACOR ACORDA THER ACOR US 10/16/10 P34 -11.0 34.8 1.20 4.3 200 CLNE CLEAN ENERG CLNE US 10/16/10 C15 -10.8 47.4 0.35 -30.0 294 XRTX XYRATEX LTD XRTX US 12/18/10 C15 -10.7 61.2 1.80 -47.1 367 XRTX XYRATEX LTD XRTX US 11/20/10 P15 -10.2 62.9 1.40 75.0 240 NLY ANNALY CAPI NLY US 1/22/11 C17.5 -10.2 20.1 0.77 -14.4 853


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


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

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