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
=============================================================================
LVLT   LEVEL 3 COM  LVLT US 03/19/11 C1       62.8  89.8   0.25    0.0    275
HERO   HERCULES OF  HERO US 01/21/12 C1       33.8 122.6   2.65    0.0    200
ATHR   ATHEROS COM  ATHR US 06/18/11 C45      25.9   2.5   0.10    0.0    360
BIG    BIG LOTS IN  BIG US 04/16/11 C40       25.8  37.5   1.95  550.0    358
C      CITIGROUP I  C US 03/19/11 C4          25.7  39.1   0.89   -1.1   1038
ALU    ALCATEL-LUC  ALU US 03/19/11 P3.5      24.8  46.4   0.20    0.0    206
C      CITIGROUP I  C US 03/19/11 C3          21.9  82.8   1.88   -0.5    510
CDNS   CADENCE DES  CDNS US 05/21/11 C9       21.7  39.4   1.15    9.5   3141
CPB    CAMPBELL SO  CPB US 03/19/11 C35       19.8  21.4   0.65   30.0    347
C      CITIGROUP I  C US 03/19/11 C2          19.8 142.6   2.86    2.5    286
STE    STERIS CORP  STE US 06/18/11 C30       19.2  35.9   4.10  -51.4    312
GSS    GOLDEN STAR  GSS US 03/19/11 C4        18.9  58.2   0.30   20.0    263
BEAT   CARDIONET I  BEAT US 05/21/11 P4       18.5  67.1   0.35    0.0    278
MEA    METALICO IN  MEA US 03/19/11 C5        16.5  66.7   0.95   -5.0    433
MCD    MCDONALDS C  MCD US 03/19/11 C70       15.2  19.2   6.00   62.2    489
SA     SEABRIDGE G  SA US 03/19/11 C30        14.7  48.2   2.70  116.0    204
CBST   CUBIST PHAR  CBST US 05/21/11 C22      14.6  57.5   2.70   14.9   1163
ATHN   ATHENAHEALT  ATHN US 03/19/11 P39      14.5  65.2   0.45  -73.5    500
NRGY   INERGY LP    NRGY US 03/19/11 P40      14.4  21.4   0.60   36.4    500
SD     SANDRIDGE E  SD US 03/19/11 P7         13.6  60.0   0.16    0.0   1017
CL     COLGATE-PAL  CL US 03/19/11 P75        13.4  17.7   0.49  -50.0    293
SD     SANDRIDGE E  SD US 01/21/12 C5         13.1  60.1   3.55    2.9    238
FRO    FRONTLINE L  FRO US 03/19/11 C26       12.9  43.2   1.65   22.2    352
WMB    WILLIAMS CO  WMB US 03/19/11 P27       12.5  37.0   1.05   23.5    620
QQQQ   POWERSH-QQQ  QQQQ US 03/19/11 C52      12.4  23.7   5.85    1.0   2587
BAC    BANK OF AME  BAC US 03/19/11 C12       12.3  41.0   2.76    2.2    867
RHT    RED HAT INC  RHT US 03/19/11 C46       12.2  36.0   1.45   31.8   1211
UUP    POWERSHARES  UUP US 03/19/11 C22       12.0  11.0   0.51   -7.3   1445
FRO    FRONTLINE L  FRO US 03/19/11 P25       11.3  45.3   0.90  -10.0    241
HNZ    HJ HEINZ CO  HNZ US 01/19/13 P50       11.2  15.2   6.80   11.5    500
JNPR   JUNIPER NET  JNPR US 03/19/11 C42      11.0  31.0   0.98   34.2   1007
BIG    BIG LOTS IN  BIG US 03/19/11 C37.5     10.9  40.6   2.84   89.3   7243
QQQQ   POWERSH-QQQ  QQQQ US 03/19/11 C53      10.4  22.4   4.93    1.2    205
CBST   CUBIST PHAR  CBST US 01/21/12 P20      10.2  51.7   2.95    9.3    231
NUAN   NUANCE COMM  NUAN US 04/16/11 C20      10.2  44.0   1.50  -16.7    261

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= HRLY HERLEY INDS HRLY US 08/20/11 P17.5 -69.7 9.2 0.10 -95.0 335 NWN NORTHWEST N NWN US 03/19/11 P45 -31.8 14.6 1.30 -16.1 211 DBA POWERSHARES DBA US 03/19/11 C30 -29.8 19.5 4.49 -10.0 1005 CNXT CONEXANT SY CNXT US 06/18/11 C2.5 -25.8 30.2 0.15 50.0 475 SIRI SIRIUS XM R SIRI US 03/19/11 C1.5 -24.2 47.5 0.32 6.7 900 SPY SPDR S&P 50 SPY US 03/19/11 P136 -23.4 11.2 4.96 -1.8 1082 BIG BIG LOTS IN BIG US 03/19/11 P32.5 -21.4 45.7 0.33 -61.2 3712 SNCR SYNCHRONOSS SNCR US 03/19/11 C35 -21.0 40.5 1.30 56.6 261 AVP AVON PRODUC AVP US 03/19/11 P27 -20.8 27.3 0.65 62.5 2985 BIG BIG LOTS IN BIG US 07/16/11 C30 -20.7 29.3 9.52 90.4 253 SNCR SYNCHRONOSS SNCR US 03/19/11 P35 -19.8 43.1 2.60 -42.1 587 EXXI ENERGY XXI EXXI US 03/19/11 C25 -19.8 49.2 7.20 -1.4 550 PNNT PENNANTPARK PNNT US 03/19/11 C12.5 -18.9 21.5 0.35 -46.1 212 SPY SPDR S&P 50 SPY US 03/19/11 P135 -18.6 11.8 4.26 -3.2 4107 TEVA TEVA PHARM- TEVA US 03/19/11 P45 -16.4 31.5 0.20 33.3 380 VSH VISHAY INTE VSH US 04/16/11 P15 -15.6 43.3 0.40 -38.5 952 SOMX SOMAXON PHA SOMX US 05/21/11 C3 -15.1 37.8 0.25 0.0 850 C CITIGROUP I C US 05/21/11 C3 -15.1 39.0 1.90 0.5 1111 TEVA TEVA PHARM- TEVA US 03/19/11 P47.5 -15.0 27.3 0.40 73.9 2332 VECO VEECO INSTR VECO US 03/19/11 C44 -14.8 45.8 4.50 17.8 217 ALU ALCATEL-LUC ALU US 03/19/11 C3.5 -13.8 47.4 0.20 0.0 5101 VECO VEECO INSTR VECO US 03/19/11 C47 -13.3 46.2 3.10 31.9 473 IBM IBM IBM US 01/21/12 C100 -13.2 28.1 65.35 0.7 263 ICO INTERNATION ICO US 03/19/11 C9 -13.2 55.7 0.85 13.3 691 CLDA CLINICAL DA CLDA US 06/18/11 C22.5 -13.2 51.3 8.40 15.1 498 AVP AVON PRODUC AVP US 03/19/11 C29 -12.8 29.0 0.50 -63.0 1948 SPY SPDR S&P 50 SPY US 03/19/11 P133 -12.2 12.7 3.00 -2.3 4663 XOM EXXON MOBIL XOM US 07/16/11 C60 -12.1 30.4 23.30 -2.7 301 VC VISTEON COR VC US 06/18/11 C65 -12.0 41.0 9.40 0.0 400 XLU SPDR-UTIL S XLU US 03/19/11 C32 -11.5 10.8 0.44 -4.3 273 TEVA TEVA PHARM- TEVA US 03/19/11 P50 -11.4 24.7 1.01 146.3 3696 VSH VISHAY INTE VSH US 04/16/11 P12.5 -11.3 51.7 0.10 -60.0 985 S SPRINT NEXT S US 03/19/11 P4 -11.2 40.7 0.10 0.0 241 COPX GLOBAL X CO COPX US 03/19/11 C20 -10.9 34.7 1.40 -12.5 1000


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


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-0- Feb/08/2011 16:30 GMT

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