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
=============================================================================
AIG    AMERICAN IN  AIG US 01/22/11 P46       67.4  38.5   3.21    1.3    316
PBR    PETROBRAS S  PBR US 01/22/11 P33       50.7  31.6   1.33   -3.6    453
GDXJ   MARKET VECT  GDXJ US 02/19/11 P38      49.4  58.3   1.66   10.7   5000
EK     EASTMAN KOD  EK US 01/22/11 C4         45.6  85.1   1.38   76.9    359
AIG    AMERICAN IN  AIG US 01/22/11 P45       44.0  38.5   2.35  -38.2    900
EK     EASTMAN KOD  EK US 01/22/11 P4.5       43.8  82.0   0.23  -20.7    422
EK     EASTMAN KOD  EK US 01/22/11 C4.5       40.8  82.5   1.11  117.7    328
EK     EASTMAN KOD  EK US 01/22/11 C5         39.7  80.2   0.71  144.8   3729
EK     EASTMAN KOD  EK US 01/22/11 P5         39.3  80.5   0.43  -20.4    219
EK     EASTMAN KOD  EK US 01/22/11 C5.5       38.7  79.0   0.47  213.3   1203
PBR    PETROBRAS S  PBR US 01/22/11 P32       34.9  31.9   0.92    1.1    425
AIG    AMERICAN IN  AIG US 01/22/11 P41       31.3  40.0   0.87  -38.7    478
AGNC   AMERICAN CA  AGNC US 01/22/11 C30      30.3  25.7   0.25  -37.5    477
AIG    AMERICAN IN  AIG US 02/19/11 P45       30.3  39.1   3.25  -18.8    254
DYN    DYNEGY INC   DYN US 03/19/11 C4        30.2  47.6   1.70    9.7    235
AIG    AMERICAN IN  AIG US 01/22/11 P42       28.2  39.1   1.16  -39.0    295
AIG    AMERICAN IN  AIG US 01/22/11 P40       27.5  40.7   0.72  -35.7   1030
AIG    AMERICAN IN  AIG US 01/22/11 C42       27.0  34.7   4.00  101.0    244
AGNC   AMERICAN CA  AGNC US 01/22/11 C27      26.5  26.9   1.85  -27.4    824
INFN   INFINERA CO  INFN US 01/22/11 P7.5     25.3  78.0   0.15   50.0    203
GORO   GOLD RESOUR  GORO US 01/22/11 C22.5    23.7  55.7   4.10    0.0    415
C      CITIGROUP I  C US 03/19/11 C2          23.6  84.0   2.67    1.1    250
GAP    GREAT ATLA   GAP US 01/22/11 P2.5      22.5 142.6   0.30   20.0    767
AIG    AMERICAN IN  AIG US 02/19/11 C42       21.2  34.1   4.00   53.3    206
EK     EASTMAN KOD  EK US 04/16/11 C5         21.1  65.9   0.93   82.3    777
AIG    AMERICAN IN  AIG US 01/22/11 C44       20.7  34.1   2.50  117.4    207
EK     EASTMAN KOD  EK US 04/16/11 C5.5       20.6  64.8   0.67  109.4    769
AGNC   AMERICAN CA  AGNC US 03/19/11 C27      20.3  25.5   1.95  -27.8    301
GAP    GREAT ATLA   GAP US 01/22/11 P1        20.1 304.2   0.10  100.0    875
AIG    AMERICAN IN  AIG US 02/19/11 C41       19.5  33.5   5.00   35.1    254
AIG    AMERICAN IN  AIG US 01/22/11 C45       18.6  34.2   2.25  158.6    656
AGNC   AMERICAN CA  AGNC US 01/22/11 C28      17.6  25.7   1.00  -39.4    808
EK     EASTMAN KOD  EK US 04/16/11 P5         17.5  64.3   0.58  -30.1    409
C      CITIGROUP I  C US 01/22/11 C3.5        17.1  46.0   1.18    4.4   1271
ASML   ASML HOLDIN  ASML US 01/22/11 P35      16.4  41.5   1.05  -36.4    438
AIG    AMERICAN IN  AIG US 01/22/11 C47       16.1  34.3   1.35  181.2    360
LAMR   LAMAR ADVER  LAMR US 01/22/11 C30      15.9  54.7   8.80   10.0    300
AGNC   AMERICAN CA  AGNC US 03/19/11 C29      15.6  23.4   0.75  -25.0    309
AGNC   AMERICAN CA  AGNC US 01/22/11 C29      14.7  24.2   0.50  -41.2   1551
C      CITIGROUP I  C US 02/19/11 C2.5        14.6  70.1   2.17    2.8    485
AIG    AMERICAN IN  AIG US 05/21/11 P30       14.3  51.6   0.68   -5.6    202
GAP    GREAT ATLA   GAP US 01/22/11 P0.5      14.0 418.2   0.05    0.0   1399
C      CITIGROUP I  C US 01/22/11 C4          13.8  38.0   0.69    4.5  21452
GIGM   GIGAMEDIA L  GIGM US 04/16/11 C1.5     13.6  76.9   0.30   50.0    200
AIG    AMERICAN IN  AIG US 01/22/11 P43       12.5  38.8   1.60  -33.6    316
SEE    SEALED AIR   SEE US 01/22/11 P22.5     12.2  27.1   0.25  -16.7    307
MIPS   MIPS TECH I  MIPS US 01/22/11 C12.5    11.8  54.5   2.50   66.7    216
TEVA   TEVA PHARM-  TEVA US 01/22/11 P47.5    11.7  26.0   0.30  -65.5    744
ZQK    QUIKSILVER   ZQK US 01/22/11 C5        11.6  58.7   0.50  150.0    456
AGNC   AMERICAN CA  AGNC US 03/19/11 P29      11.4  23.1   2.30   31.4    305
OREX   OREXIGEN TH  OREX US 07/16/11 P8       11.0 146.0   3.20  -37.2   1000
AGNC   AMERICAN CA  AGNC US 01/22/11 P30      10.4  23.9   3.20   52.4    212
ASML   ASML HOLDIN  ASML US 01/22/11 C35      10.3  40.1   3.40   88.9   3446
AIG    AMERICAN IN  AIG US 05/21/11 P35       10.2  46.2   1.41   -6.0    268
SAI    SAIC INC     SAI US 02/19/11 C15       10.1  22.3   0.65  -40.9    406
FIG    FORTRESS IN  FIG US 01/22/11 C5        10.1  46.7   0.60   50.0    349
KWK    QUICKSILVER  KWK US 06/18/11 P15       10.0  39.7   1.80    0.0    500

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= CML COMPELLENT CML US 07/16/11 P25 -55.6 25.6 0.65 -67.5 252 CML COMPELLENT CML US 07/16/11 P30 -55.0 24.5 2.50 -34.2 325 CML COMPELLENT CML US 07/16/11 P20 -54.0 28.5 0.20 -84.0 200 CML COMPELLENT CML US 04/16/11 P25 -50.0 30.5 0.55 -56.0 624 CML COMPELLENT CML US 04/16/11 C30 -49.5 29.5 1.80 -72.3 426 CML COMPELLENT CML US 01/22/11 P25 -41.8 40.7 0.35 -22.2 375 CML COMPELLENT CML US 01/22/11 P30 -38.5 41.6 2.05 36.7 1451 CML COMPELLENT CML US 01/22/11 C30 -37.0 42.4 1.40 -72.5 4562 CML COMPELLENT CML US 01/22/11 P22.5 -36.2 48.6 0.15 -40.0 239 CML COMPELLENT CML US 01/22/11 C25 -32.4 45.8 4.60 -48.9 2215 MNKD MANNKIND CO MNKD US 01/22/11 C4 -31.6 81.9 3.00 7.1 278 GDXJ MARKET VECT GDXJ US 02/19/11 C41 -31.3 26.5 2.70 -10.0 5053 GDXJ MARKET VECT GDXJ US 02/19/11 C40 -31.1 25.8 2.94 -18.3 338 LULU LULULEMON A LULU US 01/22/11 C55 -28.4 33.6 10.40 160.0 2619 GDXJ MARKET VECT GDXJ US 01/22/11 C43 -28.4 26.4 1.10 -24.1 385 DIS WALT DISNEY DIS US 01/22/11 C30 -27.5 33.3 6.90 -1.4 217 MCHP MICROCHIP T MCHP US 01/22/11 C30 -26.5 32.8 5.70 -9.5 201 PBR PETROBRAS S PBR US 01/22/11 C32 -24.0 30.6 1.96 -7.5 244 IRE BANK IRELAN IRE US 01/22/11 C2.5 -22.3 110.8 0.70 7.7 361 PBR PETROBRAS S PBR US 01/22/11 C34 -20.3 30.6 1.00 -9.9 691 LULU LULULEMON A LULU US 01/22/11 P65 -20.3 45.3 3.90 -63.2 896 CRXL CRUCELL-ADR CRXL US 01/22/11 P25 -19.6 37.0 0.10 0.0 416 MNKD MANNKIND CO MNKD US 02/19/11 C4 -18.9 99.2 2.85 -6.6 365 AIB ALLIED IRIS AIB US 02/19/11 C1 -17.5 125.8 0.45 0.0 375 LULU LULULEMON A LULU US 01/22/11 P60 -16.9 44.0 1.80 -74.7 453 XRT SPDR S&P RE XRT US 01/22/11 P28 -14.9 63.6 0.02 -50.0 200 PCYC PHARMACYCLI PCYC US 01/22/11 P5 -14.8 58.5 0.20 -33.3 459 LINE LINN ENERGY LINE US 01/22/11 C35 -14.8 22.8 1.85 -36.2 385 IRE BANK IRELAN IRE US 01/22/11 C3 -14.6 113.5 0.50 11.1 713 UUP POWERSHARES UUP US 01/22/11 C23 -14.1 9.9 0.44 4.8 920 ZSL PRSH-ULTSH ZSL US 05/21/11 C11 -13.3 54.1 2.10 -2.3 1042 LULU LULULEMON A LULU US 01/22/11 C60 -12.9 38.6 6.30 231.6 1459 LULU LULULEMON A LULU US 01/22/11 P55 -12.7 45.0 0.65 -82.4 240 LULU LULULEMON A LULU US 01/22/11 C65 -12.6 39.4 3.60 350.0 1200 LINE LINN ENERGY LINE US 01/22/11 C36 -12.0 22.5 1.25 -40.5 326 ZSL PRSH-ULTSH ZSL US 05/21/11 C12 -11.7 60.2 1.70 -8.1 2082 ANAD ANADIGICS I ANAD US 01/22/11 C5 -11.5 69.8 2.50 -7.4 440 LINE LINN ENERGY LINE US 01/22/11 P35 -11.3 22.1 0.55 37.5 297 CPB CAMPBELL SO CPB US 01/22/11 P35 -11.2 13.4 1.15 -32.4 3075 OKS ONEOK PARTN OKS US 01/22/11 C80 -10.7 11.1 1.25 0.0 200 BPOP POPULAR INC BPOP US 01/22/11 C3 -10.5 37.6 0.15 7.1 897 CIEN CIENA CORP CIEN US 01/22/11 C17.5 -10.0 35.1 1.00 222.6 920


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


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-0- Dec/09/2010 16:30 GMT

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