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
=============================================================================
CHD    CHURCH & DW  CHD US  1/22/11 C70       46.0  22.8   1.75  169.2    453
SLE    SARA LEE CO  SLE US  1/22/11 C15       33.1  27.5   0.65  333.3    517
LSCC   LATTICE SEM  LSCC US 11/20/10 C5       14.9  57.2   0.40   60.0    235
SPY    SPDR S&P 50  SPY US 12/18/10 P119      13.1  22.3   7.77    8.8   1290
ERTS   ELECTRONIC   ERTS US 11/20/10 P17      13.0  43.5   1.04   -7.1    260
PRU    PRUDENTL FI  PRU US 11/20/10 P52.5     12.7  41.4   2.81   -3.1    857
ERTS   ELECTRONIC   ERTS US 11/20/10 C16      12.5  44.9   1.60   35.6   2258
ERTS   ELECTRONIC   ERTS US 11/20/10 C17      12.4  43.8   0.95   28.4    228
SPY    SPDR S&P 50  SPY US 12/18/10 P118      10.9  22.4   7.14    9.3    800
NCR    NCR CORP     NCR US 11/20/10 C14       10.9  43.5   0.80   14.3    800
SPY    SPDR S&P 50  SPY US 12/18/10 P117      10.4  22.8   6.55   10.3    236
ERTS   ELECTRONIC   ERTS US 12/18/10 C17      10.2  41.3   1.23   30.9    446
UAL    UNITED CONT  UAL US  1/22/11 C25       10.1  48.8   2.50    9.7    644
ERTS   ELECTRONIC   ERTS US 12/18/10 C16      10.1  42.4   1.66   18.6    202

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= GENZ GENZYME COR GENZ US 11/20/10 C72.5 -35.4 13.0 0.82 -40.1 743 GENZ GENZYME COR GENZ US 11/20/10 P70 -33.8 15.3 0.99 -50.5 374 GENZ GENZYME COR GENZ US 11/20/10 C70 -33.3 15.8 2.35 -21.7 2517 AAI AIRTRAN HOL AAI US 1/22/11 C7.5 -20.7 11.9 0.15 0.0 644 Q QWEST COMMU Q US 11/20/10 C6 -14.1 21.0 0.40 -11.1 501 TNK TEEKAY TANK TNK US 11/20/10 C12.5 -10.1 34.4 0.35 -12.5 242 EXH EXTERRAN HO EXH US 11/20/10 P22.5 -10.0 37.9 0.95 -20.8 300


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


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-0- Oct/04/2010 15:30 GMT

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