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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
=============================================================================
ITMN   INTERMUNE I  ITMN US 01/22/11 C15      51.0 153.9  17.40 1091.8    481
MDVN   MEDIVATION   MDVN US 01/22/11 C12.5    45.7  64.2   2.25   38.0    328
ITMN   INTERMUNE I  ITMN US 01/22/11 P12.5    42.9 146.6   0.05  -95.0    268
LULU   LULULEMON A  LULU US 01/22/11 C50      38.8  55.4  21.00   12.9    624
BWA    BORGWARNER   BWA US 01/22/11 C60       38.7  41.4  11.10    4.7    264
C      CITIGROUP I  C US 06/18/11 C2.5        35.4  52.6   2.18    3.8   1250
MELA   MELA SCIENC  MELA US 01/22/11 C2.5     32.0  94.4   0.75    5.6    450
HP     HELMERICH &  HP US 06/18/11 C37.5      30.5  38.3  11.97    0.0    222
HOTT   HOT TOPIC I  HOTT US 01/22/11 C6       28.6  44.0   0.65   62.5    225
ITMN   INTERMUNE I  ITMN US 01/22/11 C16      27.4 137.2  14.40 1052.0    216
C      CITIGROUP I  C US 01/22/11 C4          22.4  37.9   0.67    9.8   1378
AA     ALCOA INC    AA US 01/22/11 C10        21.0  62.0   4.49    0.9    562
AMLN   AMYLIN PHAR  AMLN US 01/22/11 P10      20.2  78.6   0.08  100.0    402
F      FORD MOTOR   F US 01/22/11 C12.5       20.1  48.6   4.25    0.0    248
GOOG   GOOGLE INC-  GOOG US 01/22/11 C150     19.5 186.8 439.05   -0.6    284
BMO    BANK OF MON  BMO US 01/22/11 C60       18.8  20.1   0.50  -78.7    310
SOA    SOLUTIA INC  SOA US 03/19/11 C20       17.7  46.0   3.90    2.6   1350
JOE    ST JOE CO    JOE US 01/22/11 P21       17.4  51.6   1.28  -26.9    227
SNV    SYNOVUS FIN  SNV US 01/21/12 P1.5      17.3  77.1   0.20   33.3    310
CLB    CORE LABS N  CLB US 01/22/11 C85       17.2  21.2   5.80    8.2    500
REE    RARE ELEMEN  REE US 01/22/11 C7.5      17.1  58.0   2.00  -14.9   1260
VOD    VODAFONE GR  VOD US 01/21/12 C20       16.8  27.4   6.85   -0.7    500
THC    TENET HEALT  THC US 01/22/11 C6        16.8  49.7   0.80    6.7    360
AES    AES CORP     AES US 01/22/11 C10       16.7  33.4   1.49    7.2   1010
LEA    LEAR CORP    LEA US 01/22/11 C90       16.7  33.6   9.80   37.1    515
MNKD   MANNKIND CO  MNKD US 01/22/11 C1       16.5 317.2   7.30   -1.4   1008
JOE    ST JOE CO    JOE US 01/22/11 C21       16.4  51.7   1.42   86.8    900
C      CITIGROUP I  C US 03/19/11 C3.5        15.5  44.5   1.19    6.2    435
MI     MARSHALL &I  MI US 01/22/11 P6         14.9  48.2   0.10  -81.8   1486
LEA    LEAR CORP    LEA US 01/22/11 C100      14.9  29.0   2.80   75.0   1100
TLCR   TALECRIS BI  TLCR US 01/22/11 P22.5    13.7  36.1   1.08  -10.0   2000
EXPR   EXPRESS INC  EXPR US 01/22/11 C16.94   13.5  41.2   0.85   21.4    498
MPEL   MELCO CROWN  MPEL US 01/22/11 C5       13.4  67.3   1.25    8.7    220
VPRT   VISTAPRINT   VPRT US 01/22/11 P42.5    13.4  35.9   1.20  -29.4    354
SLV    ISHARES SIL  SLV US 01/22/11 C20       13.3  55.2   8.17   -1.6    484
SNV    SYNOVUS FIN  SNV US 01/22/11 C2.5      13.1  57.9   0.25   66.7    700
ORCL   ORACLE CORP  ORCL US 01/22/11 P22.5    12.5  49.6   0.01  -66.7    344
C      CITIGROUP I  C US 06/18/11 C3          11.8  45.9   1.69    2.4    485
IDT    IDT CORP-CL  IDT US 03/19/11 C25       11.8  71.8   4.70  -27.7    230
DEPO   DEPOMED INC  DEPO US 01/22/11 P5       11.7  94.8   0.30   30.4    208
BMO    BANK OF MON  BMO US 03/19/11 C60       10.6  23.1   1.30  -63.9    405
SNV    SYNOVUS FIN  SNV US 01/21/12 C2.5      10.3  67.1   0.70   16.7    820
PG     PROCTER & G  PG US 01/22/11 C60        10.2  18.1   5.00    8.7    208
ALXN   ALEXION PHA  ALXN US 01/22/11 C85      10.2  27.1   2.05  141.2    418
AMKR   AMKOR TECH   AMKR US 01/22/11 C6       10.1  53.6   1.61    3.2    510
VZ     VERIZON COM  VZ US 01/22/11 C33        10.0  16.3   1.57  -14.2    264

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= ITMN INTERMUNE I ITMN US 01/22/11 P35 -59.5 73.5 3.75 0.0 1106 ITMN INTERMUNE I ITMN US 01/22/11 C35 -48.0 73.1 2.34 2500.0 9094 XLP SPDR-CONS S XLP US 01/22/11 P29 -47.7 10.7 0.27 -10.0 2126 MI MARSHALL &I MI US 03/19/11 C7 -46.7 29.1 0.35 40.0 932 ITMN INTERMUNE I ITMN US 01/22/11 C30 -45.3 77.0 4.90 9700.0 2135 MI MARSHALL &I MI US 06/18/11 C7 -44.8 27.0 0.40 -20.0 366 XLP SPDR-CONS S XLP US 01/22/11 C27 -42.6 17.4 2.34 -5.7 258 ITMN INTERMUNE I ITMN US 01/22/11 P30 -41.3 79.7 1.60 -90.1 5825 ITMN INTERMUNE I ITMN US 04/16/11 P15 -37.9 100.9 0.48 -92.0 1763 ITMN INTERMUNE I ITMN US 04/16/11 P30 -36.3 86.6 4.65 -73.7 1030 ITMN INTERMUNE I ITMN US 04/16/11 P13 -36.2 104.4 0.40 -90.6 760 ITMN INTERMUNE I ITMN US 01/22/11 P25 -35.8 87.8 0.55 -94.9 3031 ITMN INTERMUNE I ITMN US 01/22/11 C25 -35.0 82.9 9.10 2933.3 2903 ITMN INTERMUNE I ITMN US 04/16/11 P17.5 -34.7 103.8 1.09 -85.2 1728 MI MARSHALL &I MI US 03/19/11 C6 -34.4 36.4 1.05 110.0 412 ITMN INTERMUNE I ITMN US 04/16/11 C30 -33.8 85.2 8.30 597.5 4287 ITMN INTERMUNE I ITMN US 04/16/11 P16 -33.6 107.1 0.66 0.0 540 TBT PROSHARES U TBT US 01/22/11 C30 -31.5 30.0 9.05 -8.1 920 ITMN INTERMUNE I ITMN US 04/16/11 C20 -30.9 106.9 15.25 348.5 3052 SPY SPDR S&P 50 SPY US 01/22/11 C103 -29.7 30.1 21.16 -2.9 584 ITMN INTERMUNE I ITMN US 04/16/11 P10 -29.1 118.3 0.20 -92.6 234 XLF SPDR-FINL S XLF US 01/22/11 C13 -28.6 30.3 2.48 -3.5 440 ORCL ORACLE CORP ORCL US 01/22/11 C27 -28.5 22.8 5.00 44.9 304 ITMN INTERMUNE I ITMN US 01/22/11 C20 -28.3 92.4 13.20 1785.7 316 ITMN INTERMUNE I ITMN US 01/22/11 P22.5 -25.9 96.6 0.25 -97.3 525 ORCL ORACLE CORP ORCL US 01/22/11 C28 -25.2 22.5 4.00 56.9 1272 MI MARSHALL &I MI US 01/21/12 P5 -24.6 37.5 0.25 -66.7 246 V VISA INC-CL V US 03/19/11 P42.5 -24.5 49.0 0.15 0.0 220 TBT PROSHARES U TBT US 01/22/11 C31 -24.4 26.5 8.20 -8.4 760 ZSL PRSH-ULTSH ZSL US 05/21/11 C9 -24.2 46.2 2.90 -3.3 200 RIMM RESEARCH IN RIMM US 01/22/11 P62.5 -23.1 34.8 3.35 -37.0 2178 ITMN INTERMUNE I ITMN US 04/16/11 C12 -23.1 123.7 22.30 291.2 460 RIMM RESEARCH IN RIMM US 01/22/11 C62.5 -22.8 35.5 2.15 1.4 11792 XLB SPDR-MATERI XLB US 01/22/11 C30 -22.5 35.6 7.37 -1.1 218 TTWO TAKE-TWO IN TTWO US 01/22/11 C14 -22.5 40.6 0.50 100.0 1406 TTWO TAKE-TWO IN TTWO US 01/22/11 C12.5 -22.4 42.6 1.30 116.7 2390 ITMN INTERMUNE I ITMN US 01/22/11 C22.5 -22.1 97.5 11.50 2638.1 5932 ORCL ORACLE CORP ORCL US 01/22/11 C31 -22.0 22.1 1.41 88.0 8936 RIMM RESEARCH IN RIMM US 01/22/11 P60 -21.8 35.6 2.09 -45.7 7808 TTWO TAKE-TWO IN TTWO US 01/22/11 C10 -21.8 43.7 3.60 63.6 262 ORCL ORACLE CORP ORCL US 01/22/11 C32 -21.6 21.8 0.82 90.7 7018 DGW DUOYUAN GLO DGW US 01/22/11 P12.5 -21.6 40.6 0.60 9.1 300 XLE SPDR-ENERGY XLE US 01/22/11 C55 -21.1 30.2 10.80 -0.9 592 RIMM RESEARCH IN RIMM US 01/22/11 P57.5 -20.9 36.5 1.22 -52.9 4628 RIMM RESEARCH IN RIMM US 01/22/11 C57.5 -20.9 36.7 5.00 13.6 946 RIMM RESEARCH IN RIMM US 01/22/11 C60 -20.9 36.1 3.40 10.0 11734 SMOD SMART MODUL SMOD US 01/22/11 P5 -20.8 58.5 0.20 100.0 528 ORCL ORACLE CORP ORCL US 01/22/11 C29 -20.7 23.0 3.05 69.4 2412 QQQQ POWERSH-QQQ QQQQ US 06/18/11 C36 -20.6 28.9 18.54 0.8 1644 ORCL ORACLE CORP ORCL US 01/22/11 C30 -20.1 22.9 2.16 77.0 22460 RIMM RESEARCH IN RIMM US 01/22/11 C55 -20.1 38.0 6.85 15.1 1836 ORCL ORACLE CORP ORCL US 01/22/11 P32 -19.9 22.1 0.93 -57.3 1590 SPY SPDR S&P 50 SPY US 12/17/11 C70 -19.4 31.3 54.33 -0.5 1550 QQQQ POWERSH-QQQ QQQQ US 03/19/11 C40 -19.3 28.6 14.55 0.6 706 ORCL ORACLE CORP ORCL US 01/22/11 P33 -19.1 22.1 1.54 -46.5 396 TTWO TAKE-TWO IN TTWO US 01/22/11 C11 -19.0 47.3 2.60 85.7 1436 ORCL ORACLE CORP ORCL US 01/22/11 P31 -19.0 22.6 0.51 -65.5 2598 SPY SPDR S&P 50 SPY US 01/22/11 C110 -18.6 25.4 14.34 -3.1 260 QQQQ POWERSH-QQQ QQQQ US 03/19/11 C41 -18.6 26.5 13.60 14.8 302 RIMM RESEARCH IN RIMM US 01/22/11 P55 -18.6 37.8 0.65 -60.6 3352 CIM CHIMERA INV CIM US 06/18/11 C4 -18.5 22.0 0.20 33.3 208 ORCL ORACLE CORP ORCL US 01/22/11 C26 -18.2 27.4 6.05 37.5 524 AZN ASTRAZENECA AZN US 01/22/11 P45 -18.1 23.3 0.90 157.1 436 QQQQ POWERSH-QQQ QQQQ US 06/18/11 C35 -17.8 29.9 19.55 10.5 1068 ITMN INTERMUNE I ITMN US 04/16/11 P8 -17.5 131.7 0.22 -86.7 280 ORCL ORACLE CORP ORCL US 01/22/11 P29 -17.4 24.5 0.11 -81.0 2760 ORCL ORACLE CORP ORCL US 01/22/11 P30 -16.4 23.6 0.24 -75.5 5818 RIMM RESEARCH IN RIMM US 01/22/11 P52.5 -16.4 39.4 0.35 -63.9 3120 MI MARSHALL &I MI US 01/22/11 C6 -16.1 45.0 0.90 200.0 2338 IRE BANK IRELAN IRE US 01/22/11 C2.5 -15.9 110.2 0.40 -27.3 273 CRK COMSTOCK RE CRK US 01/22/11 C22.5 -15.8 37.3 1.00 -16.7 500 RIMM RESEARCH IN RIMM US 01/22/11 C50 -15.7 41.2 11.45 16.5 936 RIMM RESEARCH IN RIMM US 01/22/11 C52.5 -15.6 40.2 8.80 12.8 212 QQQQ POWERSH-QQQ QQQQ US 09/17/11 C32 -15.5 29.4 22.60 -0.4 300 IVZ INVESCO LTD IVZ US 01/22/11 C20 -15.0 29.2 2.84 -11.2 398 ORCL ORACLE CORP ORCL US 01/22/11 P28 -14.6 26.4 0.05 -86.1 606 ORCL ORACLE CORP ORCL US 01/22/11 C25 -14.6 32.2 6.90 26.6 538 SPPI SPECTRUM PH SPPI US 01/22/11 P4 -14.3 113.4 0.05 -50.0 328 AZN ASTRAZENECA AZN US 01/22/11 C45 -14.0 23.8 2.05 -54.4 873 PSEC PROSPECT CA PSEC US 02/19/11 P10 -13.6 19.2 0.25 -16.7 634 ACN ACCENTURE P ACN US 01/22/11 C47.5 -13.6 21.2 3.53 253.0 406 EUO PROSH-UL/SH EUO US 01/22/11 C21 -13.4 25.8 0.67 8.1 699 RIMM RESEARCH IN RIMM US 01/22/11 P50 -13.2 41.6 0.17 -67.3 3532 SPY SPDR S&P 50 SPY US 01/22/11 C112 -13.1 24.2 12.35 -3.1 534 SMOD SMART MODUL SMOD US 04/16/11 P5 -12.9 58.9 0.50 42.9 404 XLP SPDR-CONS S XLP US 01/22/11 P28 -12.5 13.5 0.10 -9.1 342 AMAT APPLIED MAT AMAT US 01/22/11 C11 -12.4 32.5 2.61 13.0 1219 VECO VEECO INSTR VECO US 01/22/11 C38 -12.3 51.7 4.50 9.8 744 RIMM RESEARCH IN RIMM US 02/19/11 C62.5 -12.3 37.2 3.20 10.3 1364 RIMM RESEARCH IN RIMM US 02/19/11 P62.5 -12.1 36.8 4.50 -25.0 216 QQQQ POWERSH-QQQ QQQQ US 01/22/11 C48 -11.9 23.3 6.61 0.3 524 NLST NETLIST INC NLST US 05/21/11 C2.5 -11.9 105.0 0.70 0.0 200 RIMM RESEARCH IN RIMM US 02/19/11 C60 -11.8 37.7 4.43 13.3 820 SRZ SUNRISE SEN SRZ US 07/16/11 C5 -11.8 59.4 1.35 -6.9 2990 M MACY'S INC M US 01/22/11 C21 -11.7 38.4 5.05 16.1 200 TBL TIMBERLAND TBL US 01/22/11 C25 -11.4 34.9 1.40 -3.5 308 NRGY INERGY LP NRGY US 01/22/11 P35 -11.1 24.3 0.20 -42.9 328 UUP POWERSHARES UUP US 01/22/11 C22 -10.9 9.8 1.28 11.3 374 XLY SPDR-CONS D XLY US 01/22/11 P38 -10.9 16.1 1.22 0.0 260 RIMM RESEARCH IN RIMM US 02/19/11 P57.5 -10.9 38.1 2.16 -35.5 228 TNDM NEUTRAL TAN TNDM US 01/22/11 C15 -10.8 33.6 0.65 -14.5 322 RIMM RESEARCH IN RIMM US 02/19/11 P55 -10.5 39.2 1.55 -35.7 812 CSCO CISCO SYSTE CSCO US 01/22/11 C17.5 -10.5 28.1 2.15 -7.3 556 RIMM RESEARCH IN RIMM US 02/19/11 P52.5 -10.3 40.2 0.91 -45.2 338 SU SUNCOR ENER SU US 01/22/11 C25 -10.2 57.0 11.20 -0.9 1040


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


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-0- Dec/17/2010 16:30 GMT

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