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
=============================================================================
SPY    SPDR S&P 50  SPY US 11/20/10 P124      56.4  16.0   4.97  -13.4    920
QQQQ   POWERSH-QQQ  QQQQ US 11/20/10 P55      26.0  19.6   2.46  -19.6    306
SWIR   SIERRA WIRE  SWIR US 12/18/10 P12.5    24.7  63.2   1.10  -12.0   1020
IWM    ISHARES-RUS  IWM US 11/20/10 P74       22.9  26.4   3.86  -14.8    397
RRGB   RED ROBIN G  RRGB US 11/20/10 P20      21.6  65.0   1.20   60.0   3061
TOT    TOTAL SA-SP  TOT US  1/21/12 P55       21.6  27.7   8.20   -1.2    708
SPY    SPDR S&P 50  SPY US 11/20/10 P123      20.0  16.5   4.20  -14.1   4983
IWM    ISHARES-RUS  IWM US 11/20/10 P73       18.8  27.2   3.12  -16.6   1551
BIOD   BIODEL INC   BIOD US 12/18/10 C2       18.3 111.2   0.25  -28.6    652
TLCR   TALECRIS BI  TLCR US 11/20/10 P22.5    15.9  41.6   0.50  100.0    340
XOM    EXXON MOBIL  XOM US 11/20/10 C65       15.8  19.1   2.99   41.0    801
VNR    VANGUARD NA  VNR US 12/18/10 C25       15.6  20.7   1.05    0.0    280
BMC    BMC SOFTWAR  BMC US 11/20/10 C44       14.3  40.8   2.50    8.7    483
IWM    ISHARES-RUS  IWM US 11/20/10 P72       13.8  28.2   2.50  -16.7   1813
CRUS   CIRRUS LOGI  CRUS US 11/20/10 C13      13.7  56.4   0.60   71.4    831
TLCR   TALECRIS BI  TLCR US 12/18/10 P22.5    13.6  55.9   1.40   55.6   1160
LEN    LENNAR CORP  LEN US 11/20/10 C15       13.3  41.9   0.68  119.3   4532
SPY    SPDR S&P 50  SPY US 11/20/10 P122      12.9  17.2   3.46  -13.5   6944
THC    TENET HEALT  THC US 12/18/10 C4        12.6  52.5   0.40  -27.3   1180
QQQQ   POWERSH-QQQ  QQQQ US 11/20/10 P54      12.5  20.2   1.71  -18.2   2203
RAX    RACKSPACE H  RAX US 12/18/10 C28       11.7  54.8   1.90  134.6    789
HMA    HEALTH MGMT  HMA US 11/20/10 P7.5      11.4  41.6   0.20   33.3    200
NTRS   NORTHERN TR  NTRS US 11/20/10 C50      11.1  33.5   1.60   68.4   1010
RAX    RACKSPACE H  RAX US 11/20/10 P26       11.0  74.8   1.15  -36.1   1252
XCO    EXCO RESOUR  XCO US  1/22/11 P19       10.9  29.8   0.95   58.3    213
UUP    POWERSHARES  UUP US 11/20/10 C23       10.8  17.8   0.10  -16.7   1022
SHLD   SEARS HOLDI  SHLD US 11/20/10 C75      10.5  52.7   2.25   63.0    318
RAX    RACKSPACE H  RAX US 11/20/10 C28       10.5  68.0   1.50  226.1   1098
MF     MF GLOBAL H  MF US 11/20/10 P8         10.4  44.2   0.30  -21.1    440
TLCR   TALECRIS BI  TLCR US 12/18/10 C22.5    10.4  56.5   2.30  -19.3   2734
ISLN   ISILON SYST  ISLN US 11/20/10 C30      10.2  70.7   1.35   50.0   1059
RAX    RACKSPACE H  RAX US 11/20/10 C27       10.1  68.8   1.96  184.1    253

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= NTRI NUTRISYSTEM NTRI US 11/20/10 C21 -33.8 41.7 0.45 50.0 596 WFR MEMC ELEC M WFR US 11/20/10 C12 -32.9 43.9 0.51 -52.8 1644 WFR MEMC ELEC M WFR US 11/20/10 P12 -32.3 43.9 0.46 7.0 660 HLF HERBALIFE L HLF US 11/20/10 C60 -31.6 35.5 3.31 -45.7 652 HLF HERBALIFE L HLF US 11/20/10 C65 -28.8 35.6 0.80 -72.9 567 CFN CAREFUSION CFN US 11/20/10 C22.5 -28.1 28.9 1.00 -53.5 906 HLF HERBALIFE L HLF US 11/20/10 P60 -27.7 40.0 1.20 -4.0 1345 NTRI NUTRISYSTEM NTRI US 11/20/10 C20 -27.6 45.4 0.95 72.7 928 ADM ARCHER-DANI ADM US 11/20/10 C30 -26.8 30.2 1.18 -69.0 228 CNP CENTERPOINT CNP US 12/18/10 C17.5 -26.4 16.6 0.15 50.0 3452 ENR ENERGIZER H ENR US 11/20/10 P65 -25.9 33.2 1.75 483.3 215 CGNX COGNEX CORP CGNX US 11/20/10 C30 -25.4 32.5 0.55 175.0 310 ADM ARCHER-DANI ADM US 11/20/10 P30 -24.4 30.7 0.53 253.3 514 SANM SANMINA-SCI SANM US 11/20/10 C12 -24.1 56.1 0.55 -66.7 250 ADM ARCHER-DANI ADM US 11/20/10 P31 -23.5 29.1 1.02 240.0 1359 ADM ARCHER-DANI ADM US 11/20/10 C31 -22.3 29.2 0.61 -76.7 1681 ADM ARCHER-DANI ADM US 11/20/10 P32 -21.4 28.0 1.55 187.0 797 K KELLOGG CO K US 11/20/10 P50 -20.9 16.9 0.80 14.3 569 SANM SANMINA-SCI SANM US 11/20/10 P12 -20.9 57.0 0.60 50.0 890 MPEL MELCO CROWN MPEL US 11/20/10 C7 -20.3 56.2 0.25 25.0 603 CAM CAMERON INT CAM US 11/20/10 C42.5 -20.2 38.7 1.60 -38.5 310 THC TENET HEALT THC US 11/20/10 P4 -20.2 40.9 0.10 0.0 351 CAM CAMERON INT CAM US 11/20/10 C45 -19.4 36.8 0.60 -53.9 935 MA MASTERCARD MA US 11/20/10 C250 -19.0 30.1 4.75 30.1 1237 CAM CAMERON INT CAM US 11/20/10 C44 -18.7 37.6 0.90 -48.6 320 MHS MEDCO HEALT MHS US 11/20/10 C55 -18.5 29.2 2.15 211.6 692 DTG DOLLAR THRI DTG US 11/20/10 C47 -18.5 21.5 0.55 -15.4 1017 MA MASTERCARD MA US 11/20/10 P240 -18.0 30.9 3.90 -55.2 384 EWJ ISHARES-JAP EWJ US 11/20/10 P10 -17.7 17.9 0.16 -27.3 7180 BP BP PLC-ADR BP US 11/20/10 C43 -17.6 26.2 0.35 -2.8 890 BP BP PLC-ADR BP US 11/20/10 C42 -17.6 26.4 0.66 3.1 1688 TLM TALISMAN EN TLM US 11/20/10 P18 -17.5 30.9 0.28 -49.1 2000 NTRI NUTRISYSTEM NTRI US 12/18/10 C21 -17.3 38.1 0.95 131.7 253 MA MASTERCARD MA US 11/20/10 C240 -16.9 31.1 10.00 33.3 607 AVNR AVANIR PHAR AVNR US 11/20/10 C4.5 -16.9 92.6 0.30 -53.9 716 BP BP PLC-ADR BP US 11/20/10 P42 -16.4 26.3 1.34 -30.9 465 ADM ARCHER-DANI ADM US 12/18/10 P30 -16.2 28.4 0.88 114.6 884 NYX NYSE EURONE NYX US 11/20/10 C31 -16.2 25.7 0.25 -56.9 480 ADM ARCHER-DANI ADM US 12/18/10 C30 -15.8 28.7 1.50 -61.3 1197 PFE PFIZER INC PFE US 11/20/10 P18 -15.6 21.1 0.89 14.1 851 CTV COMMSCOPE I CTV US 11/20/10 P31 -15.3 9.9 0.10 -33.3 260 TEVA TEVA PHARM- TEVA US 11/20/10 P52.5 -15.3 21.2 2.50 19.6 272 PFE PFIZER INC PFE US 11/20/10 C17 -15.3 23.4 0.47 -31.9 1963 CAB CABELA'S IN CAB US 12/18/10 C22.5 -15.2 37.9 0.70 0.0 289 COCO CORINTHIAN COCO US 11/20/10 C5 -15.1 108.2 0.35 -46.1 2331 ENDP ENDO PHARMA ENDP US 11/20/10 P35 -15.1 26.4 0.60 -40.0 394 WFR MEMC ELEC M WFR US 1/22/11 P12.5 -15.1 40.4 1.17 11.4 488 PFE PFIZER INC PFE US 11/20/10 P17 -14.9 22.5 0.24 0.0 5020 KDN KAYDON CORP KDN US 11/20/10 P35 -14.7 33.9 1.05 -22.2 527 RDN RADIAN GROU RDN US 12/18/10 C8 -14.6 69.2 0.90 38.5 1036 BP BP PLC-ADR BP US 11/20/10 C40 -14.5 28.0 1.85 19.4 359 VMC VULCAN MATE VMC US 11/20/10 P38 -14.4 32.8 1.70 -37.0 813 NYX NYSE EURONE NYX US 11/20/10 P30 -14.3 27.4 0.72 4.3 294 ADM ARCHER-DANI ADM US 12/18/10 P31 -14.3 27.6 1.37 158.5 348 BP BP PLC-ADR BP US 11/20/10 P40 -14.3 27.7 0.42 -50.6 776 ENDP ENDO PHARMA ENDP US 11/20/10 C35 -14.3 25.9 1.08 20.0 285 WFR MEMC ELEC M WFR US 1/22/11 C12.5 -14.2 40.9 0.73 -36.5 1244 TEVA TEVA PHARM- TEVA US 11/20/10 P50 -14.0 24.2 1.08 30.1 1120 MRO MARATHON OI MRO US 11/20/10 P33 -13.9 26.7 0.53 120.8 663 ADM ARCHER-DANI ADM US 12/18/10 C31 -13.6 27.5 1.00 -67.7 400 K KELLOGG CO K US 1/22/11 P50 -13.3 17.2 1.80 1.1 2015 BPI BRIDGEPOINT BPI US 11/20/10 P15 -13.0 82.8 0.90 -50.0 415 VMC VULCAN MATE VMC US 11/20/10 C38 -12.9 32.6 1.00 122.2 395 EMR EMERSON ELE EMR US 11/20/10 P55 -12.9 27.6 1.90 46.1 331 JOE ST JOE CO JOE US 11/20/10 C19 -12.7 43.1 0.65 -40.9 216 OSG OVERSEAS SH OSG US 11/20/10 P34 -12.7 38.5 0.80 -55.6 205 SIX SIX FLAGS E SIX US 11/20/10 P50 -12.6 49.0 1.30 -25.7 340 MT ARCELORMITT MT US 11/20/10 P34 -11.9 37.9 1.25 -42.4 1226 VZ VERIZON COM VZ US 11/20/10 P34 -11.8 16.6 1.33 -7.0 224 MHS MEDCO HEALT MHS US 12/18/10 C57.5 -11.8 25.4 1.50 172.7 374 ADM ARCHER-DANI ADM US 12/18/10 C32 -11.8 27.0 0.61 -73.7 818 APC ANADARKO PE APC US 11/20/10 C62.5 -11.7 40.8 2.80 6.1 506 NUS NU SKIN ENT NUS US 11/20/10 C30 -11.7 37.5 1.60 18.5 240 LSTZA LIBERTY STA LSTZA US 11/20/10 C65 -11.7 26.5 1.35 -25.0 506 APC ANADARKO PE APC US 11/20/10 C65 -11.5 39.6 1.48 -12.4 372 MRO MARATHON OI MRO US 11/20/10 P35 -11.4 25.1 1.65 103.7 1501 ADM ARCHER-DANI ADM US 1/22/11 P30 -11.4 28.6 1.30 103.1 3304 DIA SPDR DJIA T DIA US 11/20/10 P113 -11.4 16.1 2.39 -14.6 654 MRO MARATHON OI MRO US 11/20/10 C33 -11.4 26.5 1.19 -61.7 207 PFE PFIZER INC PFE US 11/20/10 C18 -11.3 23.0 0.09 -50.0 1706 PWER POWER-ONE I PWER US 1/22/11 C10 -11.1 60.5 1.05 5.0 607 ARNA ARENA PHARM ARNA US 11/20/10 P1.5 -11.1 64.5 0.10 0.0 510 S SPRINT NEXT S US 11/20/10 C4 -11.1 38.5 0.19 -20.8 448 PWER POWER-ONE I PWER US 12/18/10 C10 -10.8 60.8 0.80 14.3 221 SNDK SANDISK COR SNDK US 11/20/10 P38 -10.8 40.5 1.69 -10.1 915 VRTX VERTEX PHAR VRTX US 11/20/10 C38 -10.7 31.9 0.72 -34.5 1478 SNDK SANDISK COR SNDK US 11/20/10 C38 -10.6 40.9 1.09 -10.7 1788 SNDK SANDISK COR SNDK US 11/20/10 C39 -10.4 40.8 0.69 -17.9 1725 NRGY INERGY LP NRGY US 11/20/10 P40 -10.3 19.3 0.78 -32.2 400 JOE ST JOE CO JOE US 12/18/10 C19 -10.2 39.9 1.05 -30.0 338 TLT ISHARES BAR TLT US 11/20/10 C99 -10.2 18.5 2.53 21.1 224 OREX OREXIGEN TH OREX US 11/20/10 P5 -10.0 85.7 0.30 0.0 217 VMC VULCAN MATE VMC US 11/20/10 P37 -10.0 35.1 0.90 -52.6 599


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


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-0- Nov/02/2010 15:30 GMT

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