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
=============================================================================
IMAX   IMAX CORP    IMAX US 01/22/11 C30      66.5  70.4   1.95 1200.0   1600
IMAX   IMAX CORP    IMAX US 01/22/11 C29      62.7  68.7   2.25  462.5    245
IMAX   IMAX CORP    IMAX US 01/22/11 C27      59.0  66.4   3.50  250.0    347
OSTK   OVERSTOCK.C  OSTK US 01/22/11 C10      58.4 139.9   6.80    7.3    200
MEA    METALICO IN  MEA US 01/22/11 C5        55.7  42.6   0.80    6.7    248
IMAX   IMAX CORP    IMAX US 01/22/11 C28      52.9  64.5   3.00  361.5    243
IMAX   IMAX CORP    IMAX US 01/22/11 P27      51.1  64.6   0.60  -50.0    297
IMAX   IMAX CORP    IMAX US 01/22/11 C31      47.5  71.7   1.50  650.0    481
IMAX   IMAX CORP    IMAX US 01/22/11 C25      42.5  61.8   4.90  145.0    417
IMAX   IMAX CORP    IMAX US 02/19/11 C31      39.4  62.5   2.10  452.6    893
IMAX   IMAX CORP    IMAX US 03/19/11 C30      37.6  60.3   3.20  220.0    308
IMAX   IMAX CORP    IMAX US 01/22/11 P25      35.8  62.0   0.20  -66.7    253
IMAX   IMAX CORP    IMAX US 01/22/11 C24      34.3  56.9   5.80  123.1    224
IMAX   IMAX CORP    IMAX US 02/19/11 C30      33.6  59.8   2.65  657.1    288
REE    RARE ELEMEN  REE US 04/16/11 C10       32.9  72.9   6.40    3.2    268
SCOK   SINOCOKING   SCOK US 01/22/11 P7.5     28.9 129.1   0.05  -75.0    350
MCF    CONTANGO OI  MCF US 04/16/11 C45       28.3  47.7  14.50   -5.2    200
IMAX   IMAX CORP    IMAX US 01/22/11 P29      27.4  67.3   1.55  -61.2    545
PNNT   PENNANTPARK  PNNT US 03/19/11 P12.5    26.5  28.8   0.70   40.0   1326
SCOK   SINOCOKING   SCOK US 03/19/11 P7.5     26.5  82.7   0.25  -37.5    398
IMAX   IMAX CORP    IMAX US 01/22/11 P28      25.5  63.5   1.00  -66.6    397
C      CITIGROUP I  C US 01/22/11 C4          23.7  46.5   0.75   -2.6   5742
SCOK   SINOCOKING   SCOK US 01/22/11 P10      20.6  80.1   0.30  -45.5    506
SQM    QUIMICA Y-S  SQM US 01/22/11 C55       20.6  32.3   4.40  104.7    478
UUP    POWERSHARES  UUP US 01/22/11 C23       20.3  11.5   0.13  -27.8   2522
IMAX   IMAX CORP    IMAX US 01/22/11 P30      20.2  69.2   2.10    0.0    874
IMAX   IMAX CORP    IMAX US 02/19/11 C25      19.9  57.2   5.20  108.0    317
Q      QWEST COMMU  Q US 01/22/11 C7.5        19.9  18.7   0.20    0.0    740
MPEL   MELCO CROWN  MPEL US 01/22/11 C6       19.1  53.2   0.50   11.1    402
COCO   CORINTHIAN   COCO US 01/22/11 P4.5     18.2  75.0   0.14   40.0    213
UUP    POWERSHARES  UUP US 01/22/11 P23       17.9  10.9   0.42   61.5   1830
EXAS   EXACT SCIEN  EXAS US 01/22/11 P6       17.8  54.7   0.25    0.0    499
DRYS   DRYSHIPS IN  DRYS US 02/19/11 C3.5     17.2  96.8   2.09    9.4    411
VAL    VALSPAR COR  VAL US 01/22/11 C35       17.0  22.1   0.45   12.5    200
LVLT   LEVEL 3 COM  LVLT US 03/19/11 C0.5     16.9 155.4   0.50   -9.1    240
SQM    QUIMICA Y-S  SQM US 01/22/11 C60       16.4  27.0   1.15  475.0    368
MNKD   MANNKIND CO  MNKD US 01/22/11 C2.5     16.4 280.3   5.60    1.8    860
QQQQ   POWERSH-QQQ  QQQQ US 01/22/11 C50      16.2  24.6   4.45   -6.1    314
PPL    PPL CORPORA  PPL US 01/22/11 C26       15.9  15.1   0.55   10.0   1440
APC    ANADARKO PE  APC US 01/22/11 P65       15.7  46.8   0.27   35.0   1078
PBR    PETROBRAS S  PBR US 01/22/11 P31       15.5  42.7   0.04  100.0    200
NRG    NRG ENERGY   NRG US 01/22/11 C20       15.5  22.8   0.18   20.0   3290
THC    TENET HEALT  THC US 01/22/11 P5        15.0 101.4   0.05    0.0    966
MEE    MASSEY ENER  MEE US 01/22/11 C40       15.0  60.8  14.00    1.8   2008
SD     SANDRIDGE E  SD US 01/22/11 P7.5       14.7  48.0   0.45   15.4    296
UUP    POWERSHARES  UUP US 01/22/11 P22       14.6  11.2   0.02    0.0    500
C      CITIGROUP I  C US 03/19/11 C3          14.2  58.2   1.75   -1.7   1570
STD    BANCO SANTA  STD US 01/22/11 C11       14.2  38.0   0.20   33.3    310
REE    RARE ELEMEN  REE US 02/19/11 C10       14.1  62.8   6.50    0.0    348
VALE   VALE SA-SP   VALE US 01/22/11 P36      14.1  24.4   1.86  -21.5    364
SCOK   SINOCOKING   SCOK US 01/22/11 C10      13.8  68.5   1.55  138.5    900
UXG    US GOLD COR  UXG US 02/19/11 P5        13.4  83.4   0.05    0.0   1106
SJM    JM SMUCKER   SJM US 02/19/11 P65       12.7  22.0   1.90   11.8   1330
SIRI   SIRIUS XM R  SIRI US 01/22/11 C1.5     12.3  64.0   0.17    0.0    576
CECO   CAREER EDUC  CECO US 01/22/11 C20      12.2  44.5   1.20   -4.0    331
ABT    ABBOTT LABS  ABT US 01/22/11 C47       12.1  16.8   1.15   18.6    294
XLE    SPDR-ENERGY  XLE US 01/22/11 P58       12.1  34.0   0.05   25.0    222
RF     REGIONS FIN  RF US 01/22/11 C6         12.0  61.3   1.10   14.6    274
QQQQ   POWERSH-QQQ  QQQQ US 01/22/11 C49      12.0  26.8   5.42   -5.1    516
SCO    PRSH-U/S CR  SCO US 02/19/11 P10       11.9  53.0   0.55   -8.3    500
ABT    ABBOTT LABS  ABT US 01/22/11 P48       11.9  16.0   1.06   -7.8    728
GDX    MKT VECT-GO  GDX US 01/22/11 C55       11.8  33.5   6.75   12.5   1003
VALE   VALE SA-SP   VALE US 01/22/11 P35      11.6  26.5   1.29   -5.2    276
LVLT   LEVEL 3 COM  LVLT US 01/22/11 P1       10.7  67.6   0.05  -50.0    200
USB    US BANCORP   USB US 01/22/11 C21       10.6  59.8   6.02    0.3    238
WM     WASTE MANAG  WM US 04/16/11 C36        10.6  19.1   1.70   -2.9   3698
XLF    SPDR-FINL S  XLF US 01/22/11 C16       10.4  21.4   0.30    7.1   3238
POT    POTASH CORP  POT US 01/22/11 C120      10.4  54.3  33.30    1.4    330
PUDA   PUDA COAL I  PUDA US 01/22/11 C12.5    10.3  60.8   1.95   25.8   1096
PWER   POWER-ONE I  PWER US 01/22/11 C10      10.3  42.9   0.50   -9.1    200
USB    US BANCORP   USB US 01/22/11 C20       10.2  69.6   7.05    1.0    226

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= UCO PRSH-ULT CR UCO US 01/19/13 P7 -63.8 61.9 2.00 33.3 202 UAM UNIVERSAL A UAM US 07/16/11 P17.5 -48.4 20.7 0.15 -96.2 1546 MMC MARSH & MCL MMC US 01/22/11 C24 -35.9 23.9 3.30 0.0 400 UAM UNIVERSAL A UAM US 02/19/11 P17.5 -24.2 28.7 0.10 0.0 540 PAAS PAN AMER SI PAAS US 01/22/11 C35 -20.2 34.6 6.35 -5.2 400 REE RARE ELEMEN REE US 01/22/11 C11 -19.2 71.8 5.60 1.8 1140 BUCY BUCYRUS INT BUCY US 01/22/11 C90 -17.1 3.5 0.10 -44.4 497 BAC BANK OF AME BAC US 01/22/11 C10 -16.8 59.0 3.35 1.5 579 ROVI ROVI CORP ROVI US 01/22/11 C55 -16.2 28.2 7.30 4.3 270 DCTH DELCATH SYS DCTH US 01/19/13 P7.5 -15.6 102.7 3.00 -16.7 300 LVS LAS VEGAS S LVS US 01/22/11 C10 -15.3 209.3 35.65 1.6 380 SLW SILVER WHEA SLW US 03/19/11 C21 -15.1 61.9 17.35 2.1 4000 MIPS MIPS TECH I MIPS US 01/22/11 C12.5 -14.9 49.2 2.90 -6.5 360 TSYS TELE SYSTEM TSYS US 06/18/11 C2.5 -14.6 83.0 2.35 -6.0 1506 FTK FLOTEK INDS FTK US 01/22/11 C5 -13.8 93.5 0.60 71.4 309 SLV ISHARES SIL SLV US 01/22/11 C25 -12.6 37.1 5.19 8.1 290 DBA POWERSHARES DBA US 01/22/11 C30 -12.4 17.8 2.15 10.3 305 VXX IPATH-S&P S VXX US 01/22/11 P30 -12.1 51.5 0.05 25.0 1260 FAS FINL BULL 3 FAS US 04/16/11 C15 -12.0 65.9 12.95 0.0 200 GIS GENERAL MIL GIS US 01/22/11 C37.5 -11.3 18.0 0.07 -30.0 731 FO FORTUNE BRA FO US 01/22/11 C60 -10.9 20.7 1.25 -26.5 2235 ORCL ORACLE CORP ORCL US 01/22/11 C25 -10.7 39.9 6.10 -3.9 230 SPY SPDR S&P 50 SPY US 03/19/11 P130 -10.4 15.3 6.54 -0.1 874 SLW SILVER WHEA SLW US 03/19/11 C20 -10.3 70.2 19.10 7.6 2000


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


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-0- Dec/31/2010 16:30 GMT

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