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
=============================================================================
AVP    AVON PRODUC  AVP US 12/18/10 C34       27.7  46.3   1.79   27.9    386
AVP    AVON PRODUC  AVP US 11/20/10 C33       27.2  54.0   1.85   60.9    924
AVP    AVON PRODUC  AVP US 11/20/10 C34       26.8  55.5   1.30   30.0   2182
AVP    AVON PRODUC  AVP US 11/20/10 P33       21.4  52.3   1.80   11.8    538
KMP    KINDER MORG  KMP US 11/20/10 C70       21.1  12.2   0.46  -42.5    360
AEP    AMERICAN EL  AEP US 11/20/10 C35       18.8  18.7   1.75    6.1    506
DTG    DOLLAR THRI  DTG US 11/20/10 C48       17.7  12.2   0.70    7.7    252
AMLN   AMYLIN PHAR  AMLN US 11/20/10 C12.5    16.2  61.1   1.06  140.9   1233
MWE    MARKWEST EN  MWE US 11/20/10 C37.5     15.4  23.1   0.75   31.6    216
CIGX   STAR SCIENT  CIGX US 11/20/10 C2       14.3  78.8   0.15  -25.0    250
BRCD   BROCADE COM  BRCD US 12/18/10 C6       14.1  48.6   0.53   51.4   2744
PLD    PROLOGIS     PLD US 11/20/10 C13       14.1  38.7   0.65  225.0    303
MSFT   MICROSOFT C  MSFT US 11/20/10 P27      14.1  28.9   1.60    8.1    602
MON    MONSANTO CO  MON US 11/20/10 C60       13.4  40.4   2.14   27.4   6257
XLB    SPDR-MATERI  XLB US 11/20/10 C35       13.3  25.5   0.59  -19.2   1182
AMLN   AMYLIN PHAR  AMLN US 12/18/10 C13      13.0  57.8   1.04   76.3    499
AMLN   AMYLIN PHAR  AMLN US 11/20/10 P12.5    12.8  59.4   0.52  -44.7    322
C      CITIGROUP I  C US 11/20/10 C4          12.4  32.5   0.21   -8.7   6105
AVP    AVON PRODUC  AVP US  1/22/11 C34       12.3  40.9   2.10   20.0    660
IDCC   INTERDIGITA  IDCC US 11/20/10 C32      11.9  38.0   0.61    1.7    543
CB     CHUBB CORP   CB US 11/20/10 C60        11.8  17.3   0.33    6.5   1260
MON    MONSANTO CO  MON US 11/20/10 C62.5     11.6  40.0   1.15   30.7   1744
CIT    CIT GROUP I  CIT US 11/20/10 C44       11.6  26.7   0.69    3.0    647
ESRX   EXPRESS SCR  ESRX US 11/20/10 P50      11.5  33.2   2.18   14.1    390
MON    MONSANTO CO  MON US 11/20/10 C57.5     11.4  40.7   3.40   14.1    264
GLD    SPDR GOLD T  GLD US 11/20/10 P133      11.3  19.5   5.05   36.5    266
DIA    SPDR DJIA T  DIA US 11/20/10 P113      11.2  16.0   3.40   27.3    618
XLB    SPDR-MATERI  XLB US 11/20/10 P34       11.1  27.9   0.84   55.6  31007
ESRX   EXPRESS SCR  ESRX US 11/20/10 C50      11.0  33.2   1.18   -7.8   1087
SPY    SPDR S&P 50  SPY US 11/20/10 P123      10.9  17.1   6.01   23.7   1064
MON    MONSANTO CO  MON US 11/20/10 P60       10.4  39.3   2.74    1.5    589
UNH    UNITEDHEALT  UNH US 11/20/10 C37       10.4  30.3   0.64  -45.3    458
MON    MONSANTO CO  MON US 11/20/10 P57.5     10.4  39.6   1.55    5.4   1001
AA     ALCOA INC    AA US 11/20/10 C13        10.3  34.6   0.25  -26.5   4266
IYR    ISHARES-DJ   IYR US 11/20/10 C55       10.3  24.9   1.38  -20.7   5263
HOS    HORNBECK OF  HOS US 11/20/10 C22       10.3  51.2   1.00   17.6    247
DGX    QUEST DIAGN  DGX US 12/18/10 C50       10.2  25.6   1.60    6.7   2878

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= CTV COMMSCOPE I CTV US 11/20/10 C30 -67.5 12.8 1.30 -7.1 5511 CTV COMMSCOPE I CTV US 11/20/10 P30 -62.7 15.2 0.05 -95.7 240 CTV COMMSCOPE I CTV US 1/21/12 P30 -54.0 5.9 0.20 -88.6 833 ILMN ILLUMINA IN ILMN US 11/20/10 C55 -37.6 32.0 2.04 45.7 563 PNRA PANERA BREA PNRA US 11/20/10 C95 -34.7 28.3 0.96 -76.2 416 BWLD BUFFALO WIL BWLD US 11/20/10 P46 -33.5 37.5 2.00 25.0 346 BWLD BUFFALO WIL BWLD US 11/20/10 C45 -32.9 37.4 2.10 -56.2 508 BWLD BUFFALO WIL BWLD US 11/20/10 C47 -32.8 37.2 1.05 -70.8 305 PNRA PANERA BREA PNRA US 11/20/10 P90 -32.6 29.0 2.30 1.3 302 ILMN ILLUMINA IN ILMN US 11/20/10 P55 -32.5 35.1 1.65 -65.6 552 BWLD BUFFALO WIL BWLD US 11/20/10 P45 -31.9 38.6 1.45 12.4 689 PNRA PANERA BREA PNRA US 11/20/10 P95 -30.7 29.4 5.90 34.1 316 CHRW CH ROBINSON CHRW US 11/20/10 C72.5 -25.9 21.3 1.11 -40.0 1006 CHRW CH ROBINSON CHRW US 11/20/10 P70 -24.7 23.2 0.94 -35.2 514 NTGR NETGEAR INC NTGR US 11/20/10 C30 -24.1 40.3 1.50 76.5 214 MOLX MOLEX INC MOLX US 11/20/10 P20 -21.1 34.4 0.40 100.0 659 FFIV F5 NETWORKS FFIV US 11/20/10 C115 -20.6 42.8 4.80 174.3 3858 LIFE LIFE TECHNO LIFE US 11/20/10 C50 -20.4 25.9 1.60 113.3 1192 FFIV F5 NETWORKS FFIV US 11/20/10 C110 -20.2 43.4 7.60 157.6 2794 RICK RICKS CABAR RICK US 11/20/10 C7.5 -20.1 41.1 0.45 -10.0 886 FFIV F5 NETWORKS FFIV US 11/20/10 P110 -19.0 43.2 2.72 -74.1 1022 PG PROCTER & G PG US 11/20/10 C65 -18.9 12.9 0.18 -37.9 2082 CYB WISDOMTR CH CYB US 4/16/11 C25 -18.7 7.4 0.75 -16.7 586 FFIV F5 NETWORKS FFIV US 11/20/10 P115 -18.6 43.4 5.00 -68.3 1358 MCK MCKESSON CO MCK US 11/20/10 C62.5 -18.3 25.0 3.40 106.1 1208 JDAS JDA SOFTWAR JDAS US 11/20/10 C25 -17.5 37.2 1.10 266.7 261 NVLS NOVELLUS SY NVLS US 11/20/10 P28 -17.4 30.7 0.80 -40.7 262 AMTD TD AMERITRA AMTD US 11/20/10 P16 -17.4 21.5 0.10 -50.0 207 NTGR NETGEAR INC NTGR US 11/20/10 C32 -17.2 42.2 0.80 128.6 208 PG PROCTER & G PG US 11/20/10 C62.5 -17.1 14.2 1.14 -10.9 415 MYL MYLAN INC MYL US 11/20/10 C20 -17.0 29.4 0.44 -20.0 1719 MYL MYLAN INC MYL US 11/20/10 P19 -16.9 32.1 0.39 -22.0 1309 PG PROCTER & G PG US 11/20/10 P62.5 -16.5 14.2 0.71 -25.3 826 NVLS NOVELLUS SY NVLS US 11/20/10 P27 -16.1 32.4 0.55 -38.2 1225 PXD PIONEER NAT PXD US 11/20/10 P70 -15.7 31.8 2.40 30.4 553 MCK MCKESSON CO MCK US 11/20/10 C65 -15.2 24.8 1.65 120.0 814 NVLS NOVELLUS SY NVLS US 11/20/10 C27 -15.0 32.3 1.60 24.0 203 WLT WALTER ENER WLT US 11/20/10 C85 -14.6 42.5 3.55 -33.0 321 SVVS SAVVIS INC SVVS US 11/20/10 C25 -14.6 47.7 0.75 25.0 311 PG PROCTER & G PG US 11/20/10 P60 -14.2 17.1 0.20 -33.3 10127 SAP SAP AG-SPON SAP US 11/20/10 P52.5 -14.1 26.1 2.00 110.5 998 LIFE LIFE TECHNO LIFE US 1/22/11 P50 -14.0 26.4 2.35 -45.4 358 WLT WALTER ENER WLT US 11/20/10 P85 -13.7 42.4 3.50 -1.7 307 BRCM BROADCOM CO BRCM US 11/20/10 C42 -13.3 30.1 0.50 257.1 5463 WHR WHIRLPOOL C WHR US 11/20/10 P80 -13.2 38.9 3.14 53.2 309 KMP KINDER MORG KMP US 11/20/10 P70 -12.4 13.2 1.47 21.5 300 CIM CHIMERA INV CIM US 3/19/11 P4 -12.3 18.5 0.30 20.0 220 CBI CHICAGO BRI CBI US 11/20/10 C25 -12.2 34.9 1.05 -12.5 227 OC OWENS CORNI OC US 11/20/10 P27.5 -11.9 38.4 1.55 55.0 236 IP INTL PAPER IP US 11/20/10 C25 -11.7 37.3 0.93 66.1 436 BRCM BROADCOM CO BRCM US 11/20/10 C40 -11.5 31.2 1.44 269.2 3012 BRCM BROADCOM CO BRCM US 11/20/10 C41 -11.3 30.7 0.90 309.1 3292 BRCM BROADCOM CO BRCM US 11/20/10 C39 -11.3 32.3 2.03 198.5 1222 OC OWENS CORNI OC US 11/20/10 P26 -11.2 40.2 0.85 88.9 235 IP INTL PAPER IP US 11/20/10 C24 -11.1 38.7 1.55 61.5 293 AGNC AMERICAN CA AGNC US 12/18/10 P29 -11.0 16.9 1.25 -21.9 202 ZSL PRSH-ULTSH ZSL US 2/19/11 C19 -10.8 54.8 2.10 7.7 229 EQIX EQUINIX INC EQIX US 11/20/10 C80 -10.5 38.5 3.60 71.4 724 BRCM BROADCOM CO BRCM US 11/20/10 P40 -10.3 31.0 1.08 -66.8 3805 NVO NOVO-NORDIS NVO US 11/20/10 C105 -10.1 25.5 1.00 -16.7 252


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


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-0- Oct/27/2010 15:30 GMT

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