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
=============================================================================
JCG    J CREW GROU  JCG US 03/19/11 C41       39.1  16.0   2.80   -9.7    816
EWJ    ISHARES-JAP  EWJ US 03/19/11 P12       38.8  15.4   0.55  -15.4    250
DYN    DYNEGY INC   DYN US 03/19/11 C6        38.4  28.2   0.20  100.0   2963
EMC    EMC CORP/MA  EMC US 01/21/12 C15       36.7  34.3  12.25    1.2    300
ERTS   ELECTRONIC   ERTS US 03/19/11 C16      36.0  42.7   3.60   40.1   4672
ERTS   ELECTRONIC   ERTS US 03/19/11 C17      35.6  44.0   2.75   82.1   2379
FTR    FRONTIER CO  FTR US 03/19/11 P9        34.6  22.7   0.10    0.0   1284
ERTS   ELECTRONIC   ERTS US 03/19/11 C18      30.6  42.6   1.87   92.8    765
XHB    SPDR S&P HO  XHB US 03/19/11 C15       29.6  41.2   3.45    4.5   1500
ERTS   ELECTRONIC   ERTS US 03/19/11 C19      27.2  42.2   1.20  140.0    685
ESLR   EVERGREEN S  ESLR US 03/19/11 C2       27.1  34.9   0.10    0.0    277
ERTS   ELECTRONIC   ERTS US 03/19/11 P17      27.1  41.6   0.11  -47.6    450
ERTS   ELECTRONIC   ERTS US 03/19/11 P18      25.6  40.7   0.25  -47.9    687
PPC    PILGRIM'S P  PPC US 06/18/11 C5        25.6  66.2   3.20    3.2    342
ERTS   ELECTRONIC   ERTS US 03/19/11 C20      25.2  43.3   0.76  216.7   8987
PXD    PIONEER NAT  PXD US 03/19/11 C95       24.4  35.8   6.92   41.2    378
SOMX   SOMAXON PHA  SOMX US 08/20/11 C3       23.4  26.1   0.20    0.0    570
FDO    FAMILY DOLL  FDO US 04/16/11 P47       23.4  32.0   0.40  -92.4    354
FDO    FAMILY DOLL  FDO US 04/16/11 C44       22.6  32.2  10.50  486.6    224
NLY    ANNALY CAPI  NLY US 03/19/11 P18       22.4  11.0   0.61   -9.0    819
ZLC    ZALE CORP    ZLC US 03/19/11 P2        22.1 218.0   0.05    0.0    250
ERTS   ELECTRONIC   ERTS US 03/19/11 P19      22.1  41.0   0.65  -35.0   1245
ALU    ALCATEL-LUC  ALU US 03/19/11 C3.5      21.8  59.6   1.30   30.0   1576
AMTD   TD AMERITRA  AMTD US 05/21/11 C19      20.7  30.1   2.72   15.7    361
IBKR   INTERACTIVE  IBKR US 03/19/11 P15.21   20.1  25.0   0.15    0.0   1055
AMGN   AMGEN INC    AMGN US 03/19/11 P55      20.0  22.5   2.59   36.3    381
ERTS   ELECTRONIC   ERTS US 03/19/11 P20      19.8  41.6   1.22  -37.8   2750
NDAQ   NASDAQ OMX   NDAQ US 03/19/11 C28      19.0  47.1   1.80   28.6    722
AMGN   AMGEN INC    AMGN US 03/19/11 C55      18.9  22.6   0.63   -3.1   1785
GE     GENERAL ELE  GE US 03/19/11 C19        18.1  31.7   2.45   -0.4    273
RHI    ROBERT HALF  RHI US 06/18/11 C30       17.4  35.8   4.00    0.0   1121
FDO    FAMILY DOLL  FDO US 04/16/11 C46       17.4  31.0   8.55  850.0    205
CHS    CHICO'S FAS  CHS US 03/19/11 C13       17.0  57.3   0.55   83.3   1895
AMGN   AMGEN INC    AMGN US 03/19/11 P52.5    16.6  23.8   1.21   70.4   4870
ARAY   ACCURAY INC  ARAY US 09/17/11 C10      16.3  50.3   1.65    6.5    395
TIP    ISHARES US   TIP US 09/17/11 C103      16.2   6.7   3.20    6.7    500
AMGN   AMGEN INC    AMGN US 03/19/11 C52.5    15.9  23.8   1.72  -13.1   2527
WFC    WELLS FARGO  WFC US 03/19/11 C34       15.8  30.2   0.70  -18.6   4372
CHBT   CHINA-BIOTI  CHBT US 03/19/11 C10      15.7  85.6   3.10  -11.4    250
STX    SEAGATE TEC  STX US 03/19/11 P13       15.1  39.7   0.23   64.3   1808
HTZ    HERTZ GLOBA  HTZ US 03/19/11 P12.5     14.7  72.8   0.15   50.0    511
WMB    WILLIAMS CO  WMB US 03/19/11 C26       14.4  44.0   2.15   34.4  25300
STX    SEAGATE TEC  STX US 03/19/11 P14       14.1  35.0   0.55   30.9   5117
GGP    GENERAL GRO  GGP US 03/19/11 P15       13.9  30.9   0.35   -2.8    400
TBT    PROSHARES U  TBT US 03/19/11 P37       13.8  29.6   0.28   16.7    954
ODP    OFFICE DEPO  ODP US 03/19/11 P6        13.7  73.7   0.54   20.0    643
WEN    WENDY'S/ARB  WEN US 03/19/11 C5        13.7  36.1   0.15    0.0    200
STX    SEAGATE TEC  STX US 03/19/11 C14       13.7  34.7   0.58   -4.9    542
BBY    BEST BUY CO  BBY US 03/19/11 P34       13.2  29.5   1.81    8.4    325
HERO   HERCULES OF  HERO US 04/16/11 P3       12.8  89.6   0.10  100.0    701
AMGN   AMGEN INC    AMGN US 03/19/11 P50      12.4  26.3   0.50  108.3   1878
WFC    WELLS FARGO  WFC US 03/19/11 P33       12.2  31.2   1.28   66.2  13655
TBT    PROSHARES U  TBT US 03/19/11 P35       12.2  31.6   0.08    0.0    309
BZH    BEAZER HOME  BZH US 03/19/11 C5        12.2  65.8   0.50   66.7   5156
MMP    MAGELLAN MI  MMP US 04/16/11 C60       12.1  12.7   0.65    8.3    520
TBT    PROSHARES U  TBT US 03/19/11 P38       11.5  28.7   0.49    4.3   1204
WFC    WELLS FARGO  WFC US 03/19/11 C31       11.4  35.2   2.38  -20.7   1197
TBT    PROSHARES U  TBT US 03/19/11 C38       11.3  28.9   2.66   13.2    451
WFC    WELLS FARGO  WFC US 03/19/11 P32       11.3  32.8   0.85   73.5  19349
NG     NOVAGOLD RE  NG US 03/19/11 C14        11.1  57.4   1.30    4.0    415
TBT    PROSHARES U  TBT US 03/19/11 C39       10.9  28.6   1.98   20.0   1023
GILD   GILEAD SCIE  GILD US 03/19/11 C41      10.8  24.6   0.52   92.6   1680
BBY    BEST BUY CO  BBY US 03/19/11 C34       10.7  29.7   0.65   14.0   1028
WFC    WELLS FARGO  WFC US 03/19/11 C32       10.6  33.0   1.68  -22.6   1985
INTC   INTEL CORP   INTC US 04/16/11 P17      10.6  36.3   0.06   20.0   4246
JPM    JPMORGAN CH  JPM US 03/19/11 P37       10.6  45.6   0.05  -16.7    505
LVLT   LEVEL 3 COM  LVLT US 03/19/11 C1       10.6  86.1   0.40   14.3    293
DPS    DR PEPPER S  DPS US 03/19/11 C35       10.5  33.1   1.00   28.2    388
ITMN   INTERMUNE I  ITMN US 03/19/11 P37      10.5  77.5   2.74    0.7    378
WMB    WILLIAMS CO  WMB US 03/19/11 P24       10.4  44.0   0.25   -7.4  25000
INTC   INTEL CORP   INTC US 03/19/11 P20      10.3  25.2   0.11    0.0    433
RVBD   RIVERBED TE  RVBD US 03/19/11 P36      10.3  59.7   0.60  -14.3   1850
HDY    HYPERDYNAMI  HDY US 06/18/11 P2.5      10.2 126.6   0.20  -20.0    200
INTC   INTEL CORP   INTC US 03/19/11 C20      10.1  25.6   1.75   12.9   4346

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= GENZ GENZYME COR GENZ US 01/19/13 C75 -70.3 1.1 1.65 -21.4 288 GENZ GENZYME COR GENZ US 01/21/12 P75 -60.4 3.9 0.80 -66.7 348 ATLS ATLAS ENERG ATLS US 06/18/11 P43 -48.6 6.7 0.05 -90.0 555 GENZ GENZYME COR GENZ US 03/19/11 C75 -44.9 5.9 0.78 21.9 11588 ATLS ATLAS ENERG ATLS US 09/17/11 P43 -43.2 6.9 0.15 -85.7 751 ATLS ATLAS ENERG ATLS US 06/18/11 C44 -40.7 8.0 1.10 -55.1 530 LOGM LOGMEIN INC LOGM US 03/19/11 P35 -40.7 54.3 0.80 -20.0 661 FDO FAMILY DOLL FDO US 01/19/13 C55 -40.4 14.8 3.50 45.8 2206 GENZ GENZYME COR GENZ US 01/21/12 C70 -40.0 5.5 5.95 10.2 570 GENZ GENZYME COR GENZ US 07/16/11 C75 -39.6 4.4 1.15 4.5 4277 FDO FAMILY DOLL FDO US 01/21/12 C55 -38.9 14.9 3.15 250.0 1005 GENZ GENZYME COR GENZ US 03/19/11 P72.5 -37.3 11.6 0.14 -83.7 2391 GENZ GENZYME COR GENZ US 04/16/11 P75 -37.3 5.8 0.42 -72.0 402 GENZ GENZYME COR GENZ US 04/16/11 C75 -37.1 5.9 0.96 12.9 13864 FDO FAMILY DOLL FDO US 01/21/12 C50 -36.9 15.9 6.00 200.0 411 LVLT LEVEL 3 COM LVLT US 06/18/11 C1 -35.8 58.4 0.45 0.0 541 ATLS ATLAS ENERG ATLS US 03/19/11 P44 -34.1 10.3 0.10 -82.5 605 GENZ GENZYME COR GENZ US 07/16/11 C72.5 -33.0 7.2 3.35 11.7 311 FDO FAMILY DOLL FDO US 01/21/12 C40 -32.8 18.0 14.50 126.6 277 ARG AIRGAS INC ARG US 03/19/11 P60 -32.8 22.3 0.45 -55.0 2313 ARG AIRGAS INC ARG US 03/19/11 P62.5 -32.6 22.1 1.20 -40.3 5011 CFX COLFAX CORP CFX US 03/19/11 C22.5 -32.5 31.3 0.65 0.0 200 CTL CENTURYLINK CTL US 03/19/11 C42 -31.9 19.3 1.06 -41.1 609 ARG AIRGAS INC ARG US 03/19/11 P57.5 -31.0 22.0 0.10 -75.6 537 GENZ GENZYME COR GENZ US 03/19/11 C72.5 -30.9 12.8 3.15 21.1 636 GENZ GENZYME COR GENZ US 04/16/11 P72.5 -30.7 10.1 0.25 -72.2 438 ARG AIRGAS INC ARG US 03/19/11 C62.5 -30.3 23.0 2.35 -14.6 1072 FDO FAMILY DOLL FDO US 01/21/12 C45 -30.2 18.1 9.80 157.9 371 FDO FAMILY DOLL FDO US 07/16/11 P55 -30.0 21.1 3.50 0.0 416 GENZ GENZYME COR GENZ US 04/16/11 P70 -29.9 13.5 0.15 -82.8 1143 TMRK TERREMARK W TMRK US 04/16/11 C17.5 -29.7 12.0 1.45 -9.4 1550 PLAB PHOTRONICS PLAB US 03/19/11 C10 -29.2 51.6 0.45 125.0 861 GENZ GENZYME COR GENZ US 01/19/13 P70 -28.9 6.5 0.45 -66.7 1000 GENZ GENZYME COR GENZ US 03/19/11 C70 -28.5 17.1 5.65 18.9 510 ARG AIRGAS INC ARG US 03/19/11 C65 -27.8 22.8 1.00 -51.9 2175 KOG KODIAK OIL KOG US 03/19/11 C5 -27.8 65.4 1.50 -6.2 355 ARLP ALLIANCE RE ARLP US 03/19/11 C70 -26.4 23.4 7.16 19.3 202 FDO FAMILY DOLL FDO US 04/16/11 P55 -26.3 28.7 2.85 -55.5 347 GENZ GENZYME COR GENZ US 03/19/11 P67.5 -25.6 21.6 0.05 -86.1 1040 SIRI SIRIUS XM R SIRI US 01/21/12 C1 -25.3 43.9 0.86 14.7 1280 ARG AIRGAS INC ARG US 03/19/11 C60 -22.2 23.1 4.00 -23.2 1958 DF DEAN FOODS DF US 03/19/11 P9 -21.9 59.2 0.20 -60.0 1369 FDO FAMILY DOLL FDO US 07/16/11 C42 -21.0 21.3 12.21 221.3 315 SCG SCANA CORP SCG US 03/19/11 P40 -20.2 18.0 0.75 0.0 2500 C CITIGROUP I C US 05/21/11 C3 -19.7 41.9 1.93 1.1 2298 DF DEAN FOODS DF US 03/19/11 P10 -19.5 54.6 0.45 -50.0 5110 APD AIR PRODS & APD US 03/19/11 P95 -18.8 21.6 2.80 -68.9 524 DELL DELL INC DELL US 03/19/11 P15 -18.4 30.9 0.41 -68.9 2422 C CITIGROUP I C US 03/19/11 C4 -17.3 36.6 0.92 1.1 1775 DF DEAN FOODS DF US 03/19/11 P8 -17.3 73.3 0.08 -68.0 510 LVLT LEVEL 3 COM LVLT US 06/18/11 P1 -17.1 79.5 0.10 0.0 419 GENZ GENZYME COR GENZ US 03/19/11 P60 -16.8 33.7 0.03 -75.0 997 APD AIR PRODS & APD US 03/19/11 P70 -16.1 45.9 0.05 -80.0 200 ARG AIRGAS INC ARG US 04/16/11 P57.5 -16.0 26.0 0.50 -44.4 792 DF DEAN FOODS DF US 03/19/11 C9 -15.8 63.6 1.65 32.0 301 ROVI ROVI CORP ROVI US 03/19/11 C60 -15.3 42.1 4.10 -35.9 268 ANF ABERCROMBIE ANF US 03/19/11 C57.5 -15.2 37.2 2.05 73.7 687 ADI ANALOG DEVI ADI US 03/19/11 C42 -15.0 23.3 0.50 -41.2 212 DELL DELL INC DELL US 03/19/11 C15 -14.9 31.1 0.67 204.6 20140 APD AIR PRODS & APD US 03/19/11 C95 -14.8 21.0 1.75 105.9 1052 ROVI ROVI CORP ROVI US 03/19/11 C65 -14.5 40.1 1.65 -50.0 275 FDO FAMILY DOLL FDO US 07/16/11 C50 -14.1 21.3 5.50 547.1 330 PPL PPL CORPORA PPL US 03/19/11 P25 -13.9 15.4 0.70 -12.5 3109 ANF ABERCROMBIE ANF US 03/19/11 P55 -13.8 37.7 1.76 -49.4 572 GENZ GENZYME COR GENZ US 03/19/11 P65 -13.8 27.6 0.04 -80.0 513 DE DEERE & CO DE US 03/19/11 P100 -13.5 24.1 5.70 -25.1 1618 STD BANCO SANTA STD US 03/19/11 C13 -13.2 34.1 0.25 38.9 260 CYS CYPRESS SHA CYS US 03/19/11 P12.5 -13.2 13.9 0.35 0.0 510 ANF ABERCROMBIE ANF US 03/19/11 C55 -13.0 38.0 3.40 76.2 1060 NBR NABORS INDS NBR US 03/19/11 P26 -12.9 36.6 1.01 -23.5 220 C CITIGROUP I C US 04/16/11 C4 -12.8 37.0 0.95 1.1 296 LDK LDK SOLAR C LDK US 06/18/11 C8 -12.8 80.5 6.25 31.6 200 LNG CHENIERE EN LNG US 03/19/11 C8 -12.6 91.6 1.30 23.8 270 CAST CHINACAST E CAST US 03/19/11 P5 -12.6 111.1 0.25 0.0 212 NBR NABORS INDS NBR US 03/19/11 C27 -12.4 36.6 0.87 3.6 248 DE DEERE & CO DE US 03/19/11 P95 -12.3 25.0 2.59 -34.1 1266 MDT MEDTRONIC I MDT US 01/19/13 C20 -12.3 33.9 20.05 16.2 250 DE DEERE & CO DE US 03/19/11 C100 -12.3 24.8 1.05 10.5 2982 DELL DELL INC DELL US 03/19/11 P14 -12.2 33.0 0.13 -80.6 4259 PPL PPL CORPORA PPL US 03/19/11 C26 -12.0 17.1 0.10 0.0 1847 TSLA TESLA MOTOR TSLA US 03/19/11 C25 -12.0 59.3 1.10 17.0 882 EWJ ISHARES-JAP EWJ US 03/19/11 C11 -11.9 14.3 0.52 26.8 1540 DE DEERE & CO DE US 03/19/11 C95 -11.9 25.3 2.90 13.7 2934 CMCSA COMCAST COR CMCSA US 03/19/11 C26 -11.8 21.4 0.28 250.0 379 SIRI SIRIUS XM R SIRI US 03/19/11 C1.5 -11.8 50.9 0.33 43.5 914 NLY ANNALY CAPI NLY US 04/16/11 C15 -11.5 28.2 2.45 0.4 216 NLY ANNALY CAPI NLY US 04/16/11 C10 -11.2 75.2 7.45 0.7 253 RGLD ROYAL GOLD RGLD US 04/16/11 C40 -11.2 33.3 9.20 -3.2 1000 CENX CENTURY ALU CENX US 03/19/11 C17 -11.1 42.3 0.60 76.5 284 C CITIGROUP I C US 03/19/11 C4.5 -11.1 27.9 0.45 0.0 11114 ARG AIRGAS INC ARG US 04/16/11 P55 -10.9 27.0 0.35 -12.5 377 TSLA TESLA MOTOR TSLA US 03/19/11 C24 -10.9 58.9 1.55 24.0 646 JPM JPMORGAN CH JPM US 01/21/12 C25 -10.8 38.3 23.30 5.0 200 ALU ALCATEL-LUC ALU US 03/19/11 C4 -10.6 47.0 0.85 41.7 360 NYX NYSE EURONE NYX US 03/19/11 C36 -10.4 27.3 1.95 -23.5 2168 ROVI ROVI CORP ROVI US 04/16/11 C65 -10.3 38.5 2.80 -33.3 703 DG DOLLAR GENE DG US 03/19/11 C30 -10.1 29.2 1.10 450.0 1279


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


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

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