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
=============================================================================
JNJ    JOHNSON&JOH  JNJ US 11/20/10 P65      152.2  14.1   1.83   -6.6    554
JNJ    JOHNSON&JOH  JNJ US 11/20/10 P62.5     20.2  15.5   0.66   -9.6    317
SPY    SPDR S&P 50  SPY US 12/18/10 P122      19.2  20.0   6.27   -1.3    557
RMTI   ROCKWELL ME  RMTI US  5/21/11 C7.5     19.0  54.5   1.30    8.3    400
XLP    SPDR-CONS S  XLP US 12/18/10 P28       17.4  16.2   0.44  -21.4   2339
EXM    EXCEL MARIT  EXM US 11/20/10 C6        17.4  39.3   0.20   33.3    895
SPY    SPDR S&P 50  SPY US 12/18/10 P121      16.4  20.1   5.62   -3.6    566
ABK    AMBAC FINL   ABK US  1/22/11 C1        16.0 159.6   0.33   10.0    437
STX    SEAGATE TEC  STX US 11/20/10 C16       14.7  51.5   0.86   38.7   8450
SPY    SPDR S&P 50  SPY US 12/18/10 P120      14.6  20.4   5.06   -3.6    703
STX    SEAGATE TEC  STX US 12/18/10 C16       14.3  48.6   1.15   21.1   4495
XLU    SPDR-UTIL S  XLU US 12/18/10 P31       13.8  18.4   0.49  -23.4   1020
IBM    IBM          IBM US 11/20/10 P145      13.7  22.4   6.00   -3.2    447
XRX    XEROX CORP   XRX US 11/20/10 C11       13.3  42.9   0.62   12.7  10393
DPZ    DOMINO'S PI  DPZ US 11/20/10 C14       13.0  43.3   1.25   25.0    645
IBM    IBM          IBM US 11/20/10 C145      12.9  22.2   2.28   38.2   4390
IBM    IBM          IBM US 11/20/10 P140      12.7  23.0   3.24   -1.8   3629
GOOG   GOOGLE INC-  GOOG US 12/18/10 C630     12.4  28.3  20.00   46.0    290
SPY    SPDR S&P 50  SPY US 12/18/10 P119      12.3  20.6   4.52   -4.0    681
GOOG   GOOGLE INC-  GOOG US 12/18/10 C640     12.1  28.2  16.32   49.7    234
GOOG   GOOGLE INC-  GOOG US 12/18/10 C600     12.0  28.6  35.25   34.0    258
KWK    QUICKSILVER  KWK US 11/20/10 C15       11.9  47.6   0.70 1300.0   2430
SPY    SPDR S&P 50  SPY US 12/18/10 P118      11.7  21.0   3.96   -3.4   1222
GOOG   GOOGLE INC-  GOOG US 12/18/10 C610     11.5  28.3  27.95   29.4    460
ODP    OFFICE DEPO  ODP US 11/20/10 C5        11.3  67.8   0.35    0.0   6544
SPY    SPDR S&P 50  SPY US 11/20/10 P122      11.1  15.9   4.85   -4.7   2289
FNF    FIDELITY NA  FNF US 11/20/10 C15       10.9  36.8   0.40  -11.1    685
DIA    SPDR DJIA T  DIA US 11/20/10 P112      10.9  16.2   2.69   -8.5    371
HAO    GUGGENHEIM   HAO US 11/20/10 C32       10.8  24.9   0.75   50.0    233
GOOG   GOOGLE INC-  GOOG US 12/18/10 C620     10.8  28.0  24.02   39.6    302
PCYC   PHARMACYCLI  PCYC US 11/20/10 C7.5     10.7  50.3   0.30  -25.0    335
GOOG   GOOGLE INC-  GOOG US  1/22/11 C620     10.7  28.3  31.00   28.1   1592
GOOG   GOOGLE INC-  GOOG US 11/20/10 C590     10.6  28.3  31.83   27.3    661
IBM    IBM          IBM US 11/20/10 C140      10.5  22.6   4.65   22.7   2818
EWM    ISHARES-MAL  EWM US 11/20/10 C14       10.4  23.5   0.40    0.0    220
GOOG   GOOGLE INC-  GOOG US 11/20/10 C630     10.2  27.9  12.20   52.5   3647
GOOG   GOOGLE INC-  GOOG US 11/20/10 C620     10.1  27.9  16.10   46.4   3174

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= AGAM AGA MEDICAL AGAM US 11/20/10 P20 -82.2 10.8 0.05 0.0 556 AGAM AGA MEDICAL AGAM US 4/16/11 P20 -73.9 11.4 0.35 0.0 487 CIGX STAR SCIENT CIGX US 11/20/10 C2 -34.7 45.6 0.10 0.0 232 ISTA ISTA PHARMA ISTA US 11/20/10 P5 -34.0 106.0 0.45 -60.9 210 ISTA ISTA PHARMA ISTA US 11/20/10 C5 -28.3 114.4 0.60 -7.7 669 MMR MCMORAN EXP MMR US 11/20/10 P17 -27.9 60.2 0.99 -18.9 748 MMR MCMORAN EXP MMR US 11/20/10 C17 -24.7 61.6 1.85 -27.4 454 MMR MCMORAN EXP MMR US 11/20/10 C18 -22.6 63.7 1.10 -47.6 2032 BPOP POPULAR INC BPOP US 11/20/10 C3 -18.0 38.7 0.09 0.0 260 C CITIGROUP I C US 11/20/10 P4 -17.7 28.8 0.11 -42.1 41263 NIHD NII HOLDING NIHD US 11/20/10 C39 -17.4 44.5 1.35 -34.1 2831 C CITIGROUP I C US 11/20/10 C4 -16.8 30.7 0.18 20.0 86342 NIHD NII HOLDING NIHD US 11/20/10 C38 -16.3 46.2 1.80 -28.0 2269 ENER ENERGY CONV ENER US 11/20/10 C5 -15.3 56.6 0.35 -10.3 993 ELN ELAN CORP-A ELN US 11/20/10 C6 -14.9 49.5 0.40 -11.1 286 C CITIGROUP I C US 12/18/10 P4 -13.8 30.3 0.17 -34.6 6276 NOVL NOVELL INC NOVL US 11/20/10 P6 -13.3 36.7 0.25 0.0 237 C CITIGROUP I C US 12/18/10 C4 -13.2 31.7 0.25 13.6 17392 LOW LOWE'S COS LOW US 11/20/10 P21 -11.7 26.8 0.67 15.5 343 PKD PARKER DRIL PKD US 4/16/11 P5 -11.6 47.1 0.65 -27.8 650 PSEC PROSPECT CA PSEC US 11/20/10 C10 -11.6 18.3 0.10 0.0 286 DB DEUTSCHE BA DB US 11/20/10 C60 -11.5 33.2 1.55 55.0 315 COCO CORINTHIAN COCO US 11/20/10 C5 -11.3 82.5 0.40 -11.1 534 JPM JPMORGAN CH JPM US 11/20/10 C39 -11.2 27.8 0.76 8.6 4163 XLU SPDR-UTIL S XLU US 11/20/10 C32 -11.2 13.1 0.52 6.1 684 HAL HALLIBURTON HAL US 11/20/10 C35 -11.0 32.9 0.84 -57.8 1035 HERO HERCULES OF HERO US 1/21/12 P2.5 -10.8 60.0 0.55 -21.4 400 HAL HALLIBURTON HAL US 11/20/10 P33 -10.7 34.7 0.97 64.4 691 NZ NETEZZA COR NZ US 11/20/10 C27.5 -10.7 7.3 0.05 -50.0 200 VLY VALLEY NATL VLY US 11/20/10 C13 -10.5 22.3 0.25 0.0 368 HAL HALLIBURTON HAL US 11/20/10 P34 -10.4 33.4 1.41 62.1 1253 C CITIGROUP I C US 1/22/11 C4 -10.3 35.0 0.34 13.3 17851 KBE SPDR KBW BA KBE US 11/20/10 C24 -10.2 28.3 0.30 -25.0 1007 SKF PROSHARES U SKF US 11/20/10 C19 -10.1 47.8 1.15 -28.6 253 IOC INTEROIL CO IOC US 11/20/10 C70 -10.1 51.0 3.55 -19.3 380 JPM JPMORGAN CH JPM US 11/20/10 C37 -10.1 30.1 1.78 14.1 2946 BCS BARCLAYS PL BCS US 11/20/10 C19 -10.0 37.7 0.55 -8.3 265


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


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-0- Oct/18/2010 15:30 GMT

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