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
=============================================================================
TTM    TATA MOTORS  TTM US 01/22/11 P35       26.1  82.9   4.20   -6.7   1607
MFE    MCAFEE INC   MFE US 06/18/11 C48       15.1   3.0   0.10    0.0    270
SLE    SARA LEE CO  SLE US 12/18/10 C16       11.9  31.1   0.15   50.0   2069
STD    BANCO SANTA  STD US 06/18/11 P10       11.8  44.7   1.35    8.0    298
MELA   MELA SCIENC  MELA US 01/22/11 C4       11.3  97.7   0.52  -18.8    327
SLE    SARA LEE CO  SLE US 04/16/11 P15       11.1  27.8   1.00   11.1    420
LNG    CHENIERE EN  LNG US 12/18/10 C6        11.1  93.1   0.65   18.2    207
DISH   DISH NETWOR  DISH US 12/18/10 P19      11.0  35.9   0.70   -6.7    859
DF     DEAN FOODS   DF US 12/18/10 C7.5       10.8  41.1   0.25    0.0    279
BBVA   BANCO BILBA  BBVA US 01/22/11 P11      10.7  59.0   1.25    0.0   1011
AAN    AARON'S INC  AAN US 12/18/10 C20       10.2  27.1   0.75   66.7    253

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= TPC TUTOR PERIN TPC US 12/18/10 C20 -40.6 38.9 0.55 -26.7 335 XHB SPDR S&P HO XHB US 12/18/10 P16 -29.7 19.1 0.60 -26.8 737 VRGY VERIGY LTD VRGY US 12/18/10 C9 -29.2 33.2 0.20 -20.0 445 SPY SPDR S&P 50 SPY US 12/18/10 P125 -28.8 12.5 5.92 -19.2 948 SPY SPDR S&P 50 SPY US 12/18/10 P124 -25.2 12.9 5.05 -22.1 3969 BUCY BUCYRUS INT BUCY US 12/18/10 P90 -23.9 2.4 0.85 -21.3 1000 TIF TIFFANY & C TIF US 12/18/10 C60 -23.4 32.5 2.60 49.4 1855 GES GUESS? INC GES US 12/18/10 C50 -22.8 36.8 1.25 98.4 1412 TTM TATA MOTORS TTM US 01/22/11 C35 -20.0 33.8 2.30 109.1 1361 TTM TATA MOTORS TTM US 01/22/11 C36 -19.8 33.5 2.00 100.0 810 SPY SPDR S&P 50 SPY US 12/18/10 P123 -19.4 13.5 4.15 -24.8 7134 DE DEERE & CO DE US 12/18/10 C80 -19.0 25.3 0.69 -36.1 3156 TTM TATA MOTORS TTM US 12/18/10 C36 -18.6 42.6 1.30 136.4 419 DE DEERE & CO DE US 12/18/10 C75 -17.8 26.1 2.85 -8.1 5316 DE DEERE & CO DE US 12/18/10 P75 -17.0 26.2 1.37 -26.3 1164 SPY SPDR S&P 50 SPY US 12/18/10 P122 -15.8 14.1 3.49 -26.2 5947 PGH PENGROWTH E PGH US 01/22/11 C12.5 -15.7 23.3 0.70 16.7 246 NRGY INERGY LP NRGY US 12/18/10 P40 -14.6 21.4 1.18 -19.2 508 EWA ISHARES-AUS EWA US 12/18/10 C25 -14.2 23.5 0.30 50.0 372 TTM TATA MOTORS TTM US 12/18/10 C37 -14.1 43.6 1.10 340.0 505 GOOG GOOGLE INC- GOOG US 12/18/10 C620 -13.6 22.1 4.40 18.9 1126 NRGY INERGY LP NRGY US 12/18/10 C40 -13.3 20.5 0.57 -12.3 555 SPY SPDR S&P 50 SPY US 12/18/10 P121 -13.3 14.7 2.85 -27.3 9485 DTG DOLLAR THRI DTG US 12/18/10 C48 -13.2 17.8 0.25 0.0 312 GXDX GENOPTIX IN GXDX US 12/18/10 C17.5 -12.9 34.6 0.50 25.0 262 SPY SPDR S&P 50 SPY US 01/22/11 P125 -12.4 14.2 6.50 -17.5 481 SPY SPDR S&P 50 SPY US 12/31/10 P122 -11.9 14.5 4.25 -16.8 293 GOOG GOOGLE INC- GOOG US 12/18/10 C610 -11.8 22.6 7.30 25.9 589 TTM TATA MOTORS TTM US 12/18/10 C35 -11.7 43.7 1.91 247.3 202 DTG DOLLAR THRI DTG US 12/18/10 C46 -11.5 14.3 0.95 26.7 422 SMH SEMICONDUCT SMH US 12/18/10 C33 -11.4 19.1 0.17 54.5 1649 STD BANCO SANTA STD US 12/18/10 C10 -11.3 53.4 0.80 -5.9 200 MELA MELA SCIENC MELA US 12/18/10 P4 -11.3 117.0 0.60 9.1 374 DE DEERE & CO DE US 01/22/11 C80 -11.2 25.4 1.64 -16.8 252 SPY SPDR S&P 50 SPY US 12/18/10 P120 -11.0 15.5 2.31 -31.7 23881 AWI ARMSTRONG W AWI US 06/18/11 C50 -10.8 34.3 4.10 -8.9 916 SSO PROSHARES U SSO US 12/18/10 C45 -10.8 28.1 0.57 26.7 366 JRCC JAMES RIVER JRCC US 12/18/10 C20 -10.6 41.0 0.80 0.0 247 TIF TIFFANY & C TIF US 01/22/11 C60 -10.6 32.7 3.75 48.2 2004 JCG J CREW GROU JCG US 01/22/11 P42.5 -10.5 11.2 0.35 16.7 338 NLY ANNALY CAPI NLY US 12/18/10 C18 -10.5 12.9 0.23 9.5 1552 STX SEAGATE TEC STX US 12/18/10 C14 -10.4 49.5 0.76 8.6 3739 TQNT TRIQUINT SE TQNT US 12/18/10 C12 -10.4 33.1 0.40 60.0 1692 PMTI PALOMAR MED PMTI US 12/18/10 C12.5 -10.3 38.5 0.70 -6.7 470 FAS FINL BULL 3 FAS US 12/18/10 P22 -10.2 59.4 1.36 -26.5 345 DIA SPDR DJIA T DIA US 12/18/10 C117 -10.2 11.5 0.09 50.0 236 SPY SPDR S&P 50 SPY US 01/22/11 P124 -10.0 14.6 5.79 -18.4 1364


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


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-0- Nov/24/2010 16:30 GMT

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