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
=============================================================================
DYN    DYNEGY INC   DYN US 06/18/11 C5        78.9  41.1   0.55   37.5    453
DYN    DYNEGY INC   DYN US 01/22/11 C5        61.5  55.0   0.40    0.0  35215
TOT    TOTAL SA-SP  TOT US 12/18/10 C50       51.0  31.2   2.15  -26.6    209
DYN    DYNEGY INC   DYN US 03/19/11 C5        49.6  45.7   0.45   12.5    304
DYN    DYNEGY INC   DYN US 06/18/11 P5        46.6  40.2   0.70  100.0    333
DYN    DYNEGY INC   DYN US 03/19/11 P5        46.0  46.5   0.60  500.0    314
CMC    COMMERCIAL   CMC US 01/22/11 C16       37.3  49.9   0.85  142.9   8015
CMC    COMMERCIAL   CMC US 12/18/10 C16       32.0  45.1   0.40  300.0   2141
DYN    DYNEGY INC   DYN US 12/18/10 C5        32.0  50.6   0.20  -20.0  48555
CMC    COMMERCIAL   CMC US 12/18/10 C15       26.3  46.2   0.81   65.3   1133
MELA   MELA SCIENC  MELA US 01/22/11 C4       24.6  93.2   0.55  -26.7    613
SYY    SYSCO CORP   SYY US 12/18/10 C30       23.9  15.1   0.19  280.0    650
FRO    FRONTLINE L  FRO US 12/18/10 C27       22.4  40.7   1.10  -38.9    315
EWY    ISHARES-S K  EWY US 12/18/10 C55       21.3  34.4   1.30  -48.6    206
EWM    ISHARES-MAL  EWM US 12/18/10 C14       19.9  24.5   0.25  -34.2    201
NUAN   NUANCE COMM  NUAN US 12/18/10 C18      19.1  45.9   0.85  142.9    917
XLY    SPDR-CONS D  XLY US 12/18/10 C36       18.8  19.1   0.63  -13.7    200
NUAN   NUANCE COMM  NUAN US 12/18/10 P18      18.3  47.9   0.75  -42.3    743
EWY    ISHARES-S K  EWY US 12/18/10 P53       17.6  36.6   1.75  212.5    903
REGN   REGENERON P  REGN US 12/18/10 C31      17.3  47.3   0.90   63.6    501
SPY    SPDR S&P 50  SPY US 12/18/10 P122      17.1  15.9   4.77   46.8   8516
GENZ   GENZYME COR  GENZ US 12/18/10 P70      15.4  28.2   1.55   40.9   1517
SDS    PROSHARES U  SDS US 12/18/10 C26       15.4  35.1   1.71   55.5   1722
EWY    ISHARES-S K  EWY US 12/18/10 P52       15.1  37.5   1.32  207.0    587
SSO    PROSHARES U  SSO US 12/18/10 C44       15.0  32.4   0.71  -33.6   2429
UUP    POWERSHARES  UUP US 12/18/10 C22       15.0  11.7   1.00   29.9    776
GENZ   GENZYME COR  GENZ US 12/18/10 C70      14.8  27.9   2.69    7.6    500
GOOG   GOOGLE INC-  GOOG US 12/18/10 C580     14.5  27.7  17.69  -15.4    210
SDS    PROSHARES U  SDS US 12/18/10 P26       14.5  34.9   0.46  -24.6    335
GOOG   GOOGLE INC-  GOOG US 12/18/10 C600     14.4  27.0   9.20  -14.0    822
IBM    IBM          IBM US 12/18/10 C150      12.9  16.8   0.42  -38.2    770
TOL    TOLL BROTHE  TOL US 12/18/10 C18       12.9  33.6   0.55   22.2  11400
GOOG   GOOGLE INC-  GOOG US 12/18/10 P590     12.9  26.6  20.10   43.6    464
SPY    SPDR S&P 50  SPY US 12/18/10 P119      12.9  17.8   2.82   62.1  16361
GOOG   GOOGLE INC-  GOOG US 12/18/10 P570     12.8  27.4  11.00   66.7    558
IWM    ISHARES-RUS  IWM US 12/18/10 P75       12.7  23.0   3.62   22.3    562
GOOG   GOOGLE INC-  GOOG US 12/18/10 C590     12.7  27.2  12.90  -16.2    526
GOOG   GOOGLE INC-  GOOG US 12/18/10 C610     12.6  26.7   6.21  -14.9    367
JNJ    JOHNSON&JOH  JNJ US 12/18/10 C62.5     12.6  14.0   0.90  -30.8    290
GOOG   GOOGLE INC-  GOOG US 12/18/10 P560     12.6  28.0   7.60   72.7    544
DIA    SPDR DJIA T  DIA US 12/18/10 C114      12.5  14.0   0.36  -40.0    200
XLB    SPDR-MATERI  XLB US 12/18/10 C36       12.5  22.1   0.30  -42.3   1640
FAZ    FINANCIAL B  FAZ US 12/18/10 P12       12.2  67.4   0.58  -14.7    839
DIA    SPDR DJIA T  DIA US 12/18/10 C115      12.1  13.3   0.20  -42.9    238
IWM    ISHARES-RUS  IWM US 12/18/10 P74       12.0  24.0   3.04   31.6   1137
CTXS   CITRIX SYST  CTXS US 12/18/10 C67.5    11.9  37.1   1.81  -29.3    367
QCOM   QUALCOMM IN  QCOM US 12/18/10 P47      11.8  24.4   1.24   33.3    360
SNCR   SYNCHRONOSS  SNCR US 12/18/10 C25      11.8  44.6   1.80   38.5    629
FAZ    FINANCIAL B  FAZ US 12/18/10 C13       11.6  67.0   0.70   55.6   4125
VXX    IPATH-S&P S  VXX US 12/18/10 P44       11.6  61.4   2.15  -30.4    683
XLV    SPDR-HEALTH  XLV US 12/18/10 C31       11.5  14.5   0.31  -13.9   2506
FAZ    FINANCIAL B  FAZ US 12/18/10 C12       11.4  65.8   1.17   41.0   1434
SPY    SPDR S&P 50  SPY US 12/18/10 P118      11.2  18.5   2.34   68.3  28497
CTXS   CITRIX SYST  CTXS US 12/18/10 P67.5    11.2  36.4   3.00   46.3    503
MAC    MACERICH CO  MAC US 12/18/10 P45       11.0  34.4   1.65   26.9    330
SSO    PROSHARES U  SSO US 12/18/10 C43       11.0  33.7   1.13  -29.4    595
MSFT   MICROSOFT C  MSFT US 12/18/10 C26      11.0  21.8   0.27  -32.5   4330
XOM    EXXON MOBIL  XOM US 12/18/10 C70       10.9  17.6   0.63  -50.8   4050
SDS    PROSHARES U  SDS US 12/18/10 C27       10.9  37.6   1.20   66.7  13876
GOOG   GOOGLE INC-  GOOG US 12/18/10 P580     10.8  26.5  15.00   54.6    887
CTXS   CITRIX SYST  CTXS US 12/18/10 P65      10.7  38.1   2.00   66.7    376
EMC    EMC CORP/MA  EMC US 12/18/10 C22       10.7  27.8   0.42   -4.5   1558
SPY    SPDR S&P 50  SPY US 12/18/10 C124      10.6  14.8   0.24  -41.5   3781
XLE    SPDR-ENERGY  XLE US 12/18/10 C64       10.6  21.3   0.61  -39.6    481
PMTI   PALOMAR MED  PMTI US 12/18/10 C12.5    10.6  50.0   0.70  100.0    230
SPY    SPDR S&P 50  SPY US 12/18/10 C123      10.3  15.1   0.39  -41.8   3425
YGE    YINGLI GREE  YGE US 12/18/10 P11       10.3  55.3   0.85    6.2    450
QQQQ   POWERSH-QQQ  QQQQ US 12/31/10 P53      10.2  18.9   1.88   32.4    205
GE     GENERAL ELE  GE US 12/18/10 C16        10.2  25.9   0.31  -22.5  14790
GE     GENERAL ELE  GE US 12/18/10 P16        10.2  26.1   0.55   41.0   9868
EUO    PROSH-UL/SH  EUO US 12/18/10 C21       10.2  33.0   0.40  100.0    321
ANF    ABERCROMBIE  ANF US 12/18/10 P49       10.1  46.8   2.25  -23.5    290
ANF    ABERCROMBIE  ANF US 12/18/10 P49       10.1  46.8   2.25  -23.5    290
EWZ    ISHARES-BRA  EWZ US 12/18/10 C77       10.0  30.1   1.20  -36.8   2118
SDS    PROSHARES U  SDS US 12/18/10 P27       10.0  37.3   0.93  -24.4    522

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= JCG J CREW GROU JCG US 12/18/10 P42.5 -83.2 11.7 0.10 0.0 1447 JCG J CREW GROU JCG US 01/22/11 P42.5 -80.7 10.2 0.25 0.0 502 JCG J CREW GROU JCG US 12/18/10 C42.5 -78.1 12.1 1.40 100.0 1340 JCG J CREW GROU JCG US 12/18/10 C45 -77.5 12.0 0.11 -63.3 3363 JCG J CREW GROU JCG US 01/22/11 C42.5 -75.5 11.1 1.51 37.3 1430 JCG J CREW GROU JCG US 01/22/11 C45 -70.5 13.0 0.40 -33.3 956 BRCD BROCADE COM BRCD US 12/18/10 C5 -30.7 42.4 0.36 -54.4 1086 BRCD BROCADE COM BRCD US 12/18/10 P5 -30.6 40.7 0.12 20.0 660 ADI ANALOG DEVI ADI US 12/18/10 C36 -21.4 25.9 0.65 -43.5 335 HPQ HEWLETT-PAC HPQ US 12/18/10 P44 -20.8 25.6 1.59 -16.3 1343 HPQ HEWLETT-PAC HPQ US 12/18/10 P43 -20.4 26.2 1.05 -24.5 6228 HPQ HEWLETT-PAC HPQ US 12/18/10 C43 -20.0 26.4 1.32 -16.5 9673 HPQ HEWLETT-PAC HPQ US 12/18/10 C42 -19.7 27.2 1.93 -12.3 3025 HPQ HEWLETT-PAC HPQ US 12/18/10 P42 -18.5 27.4 0.67 -32.3 5125 HPQ HEWLETT-PAC HPQ US 12/18/10 P45 -18.4 25.3 2.26 -10.7 395 HPQ HEWLETT-PAC HPQ US 12/18/10 C44 -17.6 26.1 0.81 -24.3 6252 EZCH EZCHIP SEMI EZCH US 01/22/11 P22.5 -15.6 43.2 1.00 -16.7 200 HPQ HEWLETT-PAC HPQ US 12/18/10 C45 -15.6 26.2 0.47 -34.7 5914 SPY SPDR S&P 50 SPY US 12/18/10 P124 -14.9 15.6 6.44 37.0 971 AIB ALLIED IRIS AIB US 12/18/10 P1 -14.6 174.6 0.20 33.3 1672 DSW DSW INC-CL DSW US 12/18/10 C40 -14.3 41.2 2.15 10.3 255 MDT MEDTRONIC I MDT US 12/18/10 P34 -13.8 24.7 0.90 23.3 847 ADI ANALOG DEVI ADI US 12/18/10 C35 -13.7 27.9 1.10 -33.3 1196 ADI ANALOG DEVI ADI US 12/18/10 P34 -13.6 28.3 0.40 -27.3 274 CIM CHIMERA INV CIM US 03/19/11 P4 -13.6 15.6 0.25 0.0 200 MDT MEDTRONIC I MDT US 12/18/10 C35 -12.9 24.2 0.40 -53.5 1053 BRCD BROCADE COM BRCD US 01/22/11 C5 -12.6 44.3 0.50 -43.8 4749 IFF INTL FLVR & IFF US 12/18/10 P50 -12.5 20.0 0.55 10.0 1700 UUP POWERSHARES UUP US 01/22/11 C22 -12.2 9.7 1.05 23.5 810 MEE MASSEY ENER MEE US 12/18/10 C48 -12.1 47.8 3.15 -24.1 1542 MEE MASSEY ENER MEE US 12/18/10 C50 -11.7 46.6 1.95 -35.0 2713 MEE MASSEY ENER MEE US 12/18/10 P47 -11.4 47.9 1.48 10.4 207 MEE MASSEY ENER MEE US 12/18/10 P48 -11.3 47.0 1.86 13.4 3315 SPY SPDR S&P 50 SPY US 12/18/10 P123 -10.9 15.6 5.58 38.1 2970 MEE MASSEY ENER MEE US 12/18/10 C49 -10.8 47.3 2.43 -30.6 646 MEE MASSEY ENER MEE US 12/18/10 P50 -10.5 45.8 2.77 10.8 204


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


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-0- Nov/23/2010 16:30 GMT

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