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
=============================================================================
SRX    SRA INTL IN  SRX US 02/19/11 C22.5     39.9  48.2   2.45   19.5    500
SRX    SRA INTL IN  SRX US 03/19/11 C22.5     34.1  45.4   2.55   10.9    200
PWAV   POWERWAVE T  PWAV US 02/19/11 C2.5     32.9 106.5   0.75    0.0    265
CVE    CENOVUS ENE  CVE US 03/19/11 C22.5     24.6  42.2   9.90    3.1    500
SCS    STEELCASE I  SCS US 02/19/11 P10       22.9  43.5   0.45  -10.0    800
C      CITIGROUP I  C US 04/16/11 C3          19.7  65.4   1.93   -2.0    200
AFFY   AFFYMAX INC  AFFY US 02/19/11 C7       18.5  78.2   0.63   -3.1    510
SVU    SUPERVALU I  SVU US 02/19/11 P8        18.3  59.7   0.35   75.0   8220
LVLT   LEVEL 3 COM  LVLT US 02/19/11 C1       18.0  78.0   0.16  -20.0    200
THRX   THERAVANCE   THRX US 03/19/11 P20      16.0  70.0   0.95   35.7   2664
LVS    LAS VEGAS S  LVS US 02/19/11 C35       14.8  67.4  14.00    7.7    200
DOLE   DOLE FOOD C  DOLE US 04/16/11 C7.5     14.0  62.0   6.10   48.8    300
GENZ   GENZYME COR  GENZ US 02/19/11 C70      13.8  25.2   3.35   24.1    250
FAS    FINL BULL 3  FAS US 02/19/11 C30       13.3  67.1   1.99  -13.8    635
SVU    SUPERVALU I  SVU US 01/21/12 P5        13.1  63.4   0.45   28.6    286
SVU    SUPERVALU I  SVU US 01/19/13 P5        12.8  58.0   0.85   30.8    304
GT     GOODYEAR TI  GT US 04/16/11 C10        12.6  57.6   3.30   22.2    271
TMRK   TERREMARK W  TMRK US 02/19/11 C12.5    12.3  54.0   1.85    2.8    210
FAS    FINL BULL 3  FAS US 02/19/11 C29       12.2  67.6   2.42  -14.5   1476
FAS    FINL BULL 3  FAS US 02/19/11 P30       12.2  68.7   3.50   32.6    289
JPM    JPMORGAN CH  JPM US 02/19/11 C45       12.0  28.6   0.98  -26.9   3829
ONCY   ONCOLYTICS   ONCY US 03/19/11 C5       12.0 112.2   1.55  -22.5    230
FAS    FINL BULL 3  FAS US 02/19/11 C27       11.9  69.8   3.40  -17.3   2066
LO     LORILLARD I  LO US 06/18/11 C80        11.7  29.4   5.00  -12.3    526
JPM    JPMORGAN CH  JPM US 02/19/11 C44       11.6  29.2   1.37  -26.7    823
FAS    FINL BULL 3  FAS US 02/19/11 C28       11.5  68.8   2.91  -13.1    339
FAS    FINL BULL 3  FAS US 02/19/11 P27       11.5  71.8   1.94   45.9    367
SVNT   SAVIENT PHA  SVNT US 06/18/11 P10      11.4  63.0   1.35   20.5   1131
FAS    FINL BULL 3  FAS US 02/19/11 P28       11.4  70.4   2.38   38.4    507
FAS    FINL BULL 3  FAS US 02/19/11 P29       11.4  69.2   2.91   37.3   1217
BAC    BANK OF AME  BAC US 02/19/11 C12       11.3  44.9   2.23  -11.2   2592
WFC    WELLS FARGO  WFC US 02/19/11 C32       11.1  32.8   0.84  -37.8   1976
ATHR   ATHEROS COM  ATHR US 06/18/11 C45      10.7   3.1   0.23   35.3    201
BAC    BANK OF AME  BAC US 02/19/11 C14       10.7  37.4   0.75  -17.6  14637
WFC    WELLS FARGO  WFC US 02/19/11 C31       10.6  33.8   1.26  -35.0   5895
BAC    BANK OF AME  BAC US 03/19/11 C11       10.5  47.9   3.25   -8.4    222
ALY    ALLIS-CHALM  ALY US 04/16/11 P5        10.4  88.9   0.30    0.0   2000
FAS    FINL BULL 3  FAS US 02/19/11 P26       10.3  72.9   1.56   56.0    222
SVU    SUPERVALU I  SVU US 02/19/11 P7        10.3  73.0   0.20  185.7   2456
WFC    WELLS FARGO  WFC US 02/19/11 C30       10.3  35.2   1.83  -33.5    370
ATML   ATMEL CORP   ATML US 02/19/11 C12      10.2  56.5   2.10   40.0    210

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= CNQ CANADIAN NA CNQ US 02/19/11 C38 -26.3 39.4 4.00 0.0 530 SVNT SAVIENT PHA SVNT US 02/19/11 C9 -25.3 57.6 2.05 -22.6 200 GMR GENERAL MAR GMR US 08/20/11 P2 -22.7 74.5 0.10 0.0 1360 XRTX XYRATEX LTD XRTX US 02/19/11 P15 -17.7 47.3 1.00 100.0 320 TGB TASEKO MINE TGB US 02/19/11 C5 -13.7 43.6 0.35 25.0 203 KBH KB HOME KBH US 02/19/11 P14 -13.5 46.6 0.55 -36.0 338 KBH KB HOME KBH US 02/19/11 C13 -13.2 49.5 2.19 20.3 232 XRTX XYRATEX LTD XRTX US 03/19/11 P15 -13.1 50.2 1.30 73.3 235 IWM ISHARES-RUS IWM US 03/19/11 C60 -13.0 33.6 19.48 2.2 279 QUIK QUICKLOGIC QUIK US 05/21/11 C5 -12.6 72.2 1.90 -20.8 240 SPPI SPECTRUM PH SPPI US 02/19/11 C6 -12.5 49.1 0.70 -26.3 205 KBH KB HOME KBH US 02/19/11 C14 -12.2 47.4 1.37 13.2 1143 UNG US NAT GAS UNG US 02/19/11 C5 -12.1 43.6 1.06 0.0 672 KBH KB HOME KBH US 02/19/11 P12 -12.0 51.7 0.11 -59.3 3884 KBH KB HOME KBH US 02/19/11 C15 -11.9 45.9 0.87 24.3 1548 DNDN DENDREON CO DNDN US 02/19/11 C38 -11.8 42.2 1.33 2.3 222 INTC INTEL CORP INTC US 02/19/11 C18 -11.7 30.2 2.58 -8.5 238 PHO POWERSH-WAT PHO US 03/19/11 C18 -11.5 23.0 1.45 -9.4 212 ENZN ENZON PHARM ENZN US 02/19/11 C12.5 -11.4 37.5 0.60 9.1 601 KBH KB HOME KBH US 02/19/11 P15 -11.4 45.8 0.99 -29.3 226 DNDN DENDREON CO DNDN US 02/19/11 C37 -11.2 42.3 1.70 6.2 338 XRTX XYRATEX LTD XRTX US 03/19/11 C15 -11.1 51.4 1.35 -46.0 313 SOLF SOLARFUN PO SOLF US 02/19/11 C8 -11.1 53.4 0.85 0.0 211 MFN MINEFINDERS MFN US 02/19/11 C10 -11.0 37.9 1.10 0.0 482 AEO AMER EAGLE AEO US 02/19/11 C14.5 -10.8 40.7 0.75 -34.8 396 SNV SYNOVUS FIN SNV US 02/19/11 P2 -10.7 95.9 0.08 -20.0 261 AKS AK STEEL HL AKS US 02/19/11 C15 -10.5 48.8 1.22 -43.3 3266 SHAW SHAW GROUP SHAW US 02/19/11 C33 -10.3 33.2 1.50 -43.4 278


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


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-0- Jan/07/2011 16:30 GMT

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