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
=============================================================================
CLF    CLIFFS NATU  CLF US 02/19/11 C70       63.4  50.8  18.30    0.0    237
CALP   CALIPER LIF  CALP US 02/19/11 C5       50.7  89.5   1.25   47.1    270
MRO    MARATHON OI  MRO US 04/16/11 C33       44.4  45.7  11.15   48.7    203
INTC   INTEL CORP   INTC US 02/19/11 P22      24.5  30.0   1.34   10.7    313
TS     TENARIS-ADR  TS US 02/19/11 P40        24.3  42.7   0.40  166.7    629
CLF    CLIFFS NATU  CLF US 02/19/11 C75       23.1  48.0  13.59   -1.3    228
MRK    MERCK & CO   MRK US 02/19/11 C32       21.5  27.3   3.00    0.0    258
PRXL   PAREXEL INT  PRXL US 02/19/11 P17.5    21.5  61.8   0.60  100.0    473
ELX    EMULEX CORP  ELX US 02/19/11 C13       19.9  44.1   0.60    9.1    555
JDSU   JDS UNIPHAS  JDSU US 03/19/11 P17.5    19.5  47.8   1.35  -24.2    261
INTU   INTUIT INC   INTU US 02/19/11 C47      19.2  36.0   1.85   15.6    611
SEED   ORIGIN AGRI  SEED US 02/19/11 C11      18.6  59.4   1.18   63.9    553
TS     TENARIS-ADR  TS US 02/19/11 P45        18.3  38.0   1.55  121.4    488
INTC   INTEL CORP   INTC US 02/19/11 P21      17.7  29.4   0.74   19.4   3147
INTU   INTUIT INC   INTU US 02/19/11 C45      17.2  37.2   3.10   12.7    233
NAK    NORTHERN DY  NAK US 02/19/11 C15       16.8  68.5   2.15   -2.3    261
INFA   INFORMATICA  INFA US 03/19/11 P42.5    15.3  41.9   2.20  -13.7    400
TTI    TETRA TECHN  TTI US 02/19/11 C10       15.0  42.3   1.50    0.0    200
MU     MICRON TECH  MU US 02/19/11 C8         14.8  47.7   1.77   22.9    503
F      FORD MOTOR   F US 02/19/11 P19         14.5  34.8   0.96    7.9    851
AXL    AMER AXLE &  AXL US 02/19/11 P15       13.8  60.2   0.86   14.7   1000
ESV    ENSCO PLC-A  ESV US 02/19/11 P50       13.7  37.2   1.20   14.3   3604
AIG    AMERICAN IN  AIG US 05/21/11 P52.5     12.9  60.0   4.95   11.2   2870
INTC   INTEL CORP   INTC US 03/19/11 P22      12.8  25.9   1.50    9.5    537
VECO   VEECO INSTR  VECO US 02/19/11 C43      12.7  57.5   6.10   13.0    236
SEED   ORIGIN AGRI  SEED US 02/19/11 C12      12.6  58.3   0.58   18.4    356
INTU   INTUIT INC   INTU US 02/19/11 C48      12.6  33.2   1.40   21.7    219
TS     TENARIS-ADR  TS US 03/19/11 P45        12.4  37.3   2.15   53.6    274
PAL    NORTH AMER   PAL US 03/19/11 C7        12.0  63.3   1.00   25.0    798
INTC   INTEL CORP   INTC US 03/19/11 P21      12.0  26.4   0.88   11.4    220
SPY    SPDR S&P 50  SPY US 02/19/11 P133      11.9  12.5   5.11    4.9   1126
CSR    CHINA SECUR  CSR US 02/19/11 C5        11.5  56.1   0.30   50.0    200
CCME   CHINA MEDIA  CCME US 03/19/11 P15      11.1  91.9   0.95  -29.6    200
AIG    AMERICAN IN  AIG US 02/19/11 P50       11.0  63.0   1.27   20.9    458
INTC   INTEL CORP   INTC US 02/19/11 P20      10.9  29.6   0.35   25.0  30932
MRO    MARATHON OI  MRO US 02/19/11 P39       10.8  30.9   0.21  -75.3    363
AIG    AMERICAN IN  AIG US 02/19/11 P49       10.8  63.6   1.08   13.7    223
AGNC   AMERICAN CA  AGNC US 02/19/11 C29      10.6  19.3   0.65  -31.6    392
NAK    NORTHERN DY  NAK US 02/19/11 P15       10.4  69.9   0.70   27.3   4890
F      FORD MOTOR   F US 02/19/11 P18         10.2  34.7   0.49   13.9   2067
PMCS   PMC-SIERRA   PMCS US 05/21/11 P9       10.0  41.9   0.85  -52.8    227

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= JDSU JDS UNIPHAS JDSU US 02/19/11 C16 -40.8 26.2 1.74 37.0 631 BGZ LARGE CAP B BGZ US 04/16/11 C6 -31.6 36.2 2.25 0.0 200 F FORD MOTOR F US 02/19/11 C16 -29.9 25.9 2.66 -5.3 419 BAC BANK OF AME BAC US 02/19/11 C10 -27.8 47.8 4.85 -2.0 209 C CITIGROUP I C US 02/19/11 C4 -27.7 36.9 1.08 0.0 1261 INTC INTEL CORP INTC US 02/19/11 C19 -27.3 21.5 2.20 -6.0 331 F FORD MOTOR F US 02/19/11 C17 -25.3 25.1 1.83 -4.7 558 XCO EXCO RESOUR XCO US 02/19/11 C20 -24.8 19.1 0.40 -11.1 1582 JDSU JDS UNIPHAS JDSU US 02/19/11 C17 -23.0 33.6 1.15 42.0 560 AKAM AKAMAI TECH AKAM US 02/19/11 C45 -20.2 40.0 6.35 14.4 242 CNX CONSOL ENER CNX US 02/19/11 C43 -19.4 30.8 9.80 1.0 213 BAC BANK OF AME BAC US 02/19/11 C12 -16.5 37.7 2.92 -2.7 431 CRUS CIRRUS LOGI CRUS US 03/19/11 C16 -16.5 44.2 2.85 0.0 645 XCO EXCO RESOUR XCO US 03/19/11 C20 -15.9 25.1 0.75 15.4 668 BAC BANK OF AME BAC US 02/19/11 C13 -15.7 33.9 1.98 -5.3 1784 ZLC ZALE CORP ZLC US 02/19/11 C5 -14.6 92.6 0.85 -22.7 525 CCME CHINA MEDIA CCME US 02/19/11 C20 -14.2 57.6 1.65 73.7 439 IWM ISHARES-RUS IWM US 02/19/11 C73 -13.8 23.8 7.44 0.0 277 MRK MERCK & CO MRK US 02/19/11 P32 -13.7 26.3 0.23 155.6 3848 F FORD MOTOR F US 03/19/11 C17 -13.4 28.0 2.00 -2.9 263 AKAM AKAMAI TECH AKAM US 02/19/11 C49 -13.3 43.1 3.70 15.6 404 INFY INFOSYS TEC INFY US 02/19/11 P67.5 -13.2 32.5 0.95 17.3 313 BRCM BROADCOM CO BRCM US 02/19/11 C44 -13.1 32.3 3.20 -1.5 300 S SPRINT NEXT S US 01/19/13 C3 -13.1 56.2 1.98 -7.9 383 AMR AMR CORP AMR US 02/19/11 C8 -12.8 45.2 0.87 17.6 2351 CNW CON-WAY INC CNW US 02/19/11 C35 -12.7 33.0 1.05 -38.2 513 JDSU JDS UNIPHAS JDSU US 02/19/11 C18 -12.6 38.1 0.72 60.0 720 BA BOEING CO/T BA US 02/19/11 C60 -12.1 28.8 10.50 1.0 262 PCL PLUM CREEK PCL US 02/19/11 P25 -11.8 69.5 0.05 -58.3 266 MRK MERCK & CO MRK US 02/19/11 P33 -11.8 24.6 0.41 95.2 6058 CMG CHIPOTLE ME CMG US 02/19/11 C220 -11.4 42.6 14.40 20.9 344 CHK CHESAPEAKE CHK US 02/19/11 C27 -11.1 28.1 1.53 -5.6 385 JPM JPMORGAN CH JPM US 02/19/11 C44 -10.9 24.1 1.90 -0.5 662 MRO MARATHON OI MRO US 02/19/11 P44 -10.5 25.4 1.28 0.0 633 EWG ISHARES-GER EWG US 07/16/11 P25 -10.3 24.2 2.15 -32.8 360 F FORD MOTOR F US 02/19/11 C18 -10.2 28.2 1.13 -2.6 2712 ETFC E*TRADE FIN ETFC US 02/19/11 C17 -10.1 30.9 0.40 -21.6 489 SIRI SIRIUS XM R SIRI US 01/21/12 P1.5 -10.1 50.3 0.33 10.0 1169


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


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-0- Jan/13/2011 16:30 GMT

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