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
=============================================================================
MSFT   MICROSOFT C  MSFT US 05/21/11 C17.5   113.5  52.6   8.35   -9.7    229
ABV    AMBEV-PRF A  ABV US 04/16/11 C24       80.2  76.7   3.90   18.2    700
QQQQ   POWERSH-QQQ  QQQQ US 03/31/11 C49      39.2  34.8   7.90   -0.2    247
QQQQ   POWERSH-QQQ  QQQQ US 03/31/11 C51      38.4  32.3   5.96   -0.8    544
QQQQ   POWERSH-QQQ  QQQQ US 03/31/11 C50      34.9  33.8   6.92    0.4    444
ALU    ALCATEL-LUC  ALU US 09/17/11 C3        27.3  55.4   2.40    0.8    400
C      CITIGROUP I  C US 09/17/11 C1          24.3 104.9   3.65   -1.4    233
DYN    DYNEGY INC   DYN US 04/16/11 P5        22.5  51.4   0.10  100.0    250
QQQQ   POWERSH-QQQ  QQQQ US 03/31/11 C52      21.3  30.5   5.04   -0.8   1137
QQQQ   POWERSH-QQQ  QQQQ US 04/16/11 C49      21.3  32.9   7.96    0.1    241
TSYS   TELE SYSTEM  TSYS US 09/17/11 C2.5     17.9  86.0   2.00    0.0    360
EXC    EXELON CORP  EXC US 04/16/11 C44       16.4  17.1   0.50  150.0   1577
EXC    EXELON CORP  EXC US 04/16/11 C43       16.3  17.8   0.90  100.0    995
WPZ    WILLIAMS PA  WPZ US 04/16/11 P50       16.2  24.1   1.25   31.6    214
EXC    EXELON CORP  EXC US 04/16/11 P41       15.8  19.8   0.30  -40.0   5000
ALU    ALCATEL-LUC  ALU US 04/16/11 C5        15.3  53.7   0.55  -15.4    632
LVLT   LEVEL 3 COM  LVLT US 09/17/11 P1       15.2  81.1   0.10    0.0   3000
WAC    WALTER INVE  WAC US 04/16/11 P19       15.2  24.1   0.25  -44.4    200
WPZ    WILLIAMS PA  WPZ US 04/16/11 P45       15.1  31.3   0.25    0.0    413
XLU    SPDR-UTIL S  XLU US 04/16/11 C33       15.0  14.0   0.27   22.7  14953
QQQQ   POWERSH-QQQ  QQQQ US 04/16/11 C50      14.5  31.1   7.03   -7.0    297
EXC    EXELON CORP  EXC US 07/16/11 C45       14.3  17.7   0.80   77.8    710
QQQQ   POWERSH-QQQ  QQQQ US 03/31/11 C53      14.1  28.3   4.25   -6.6    339
SPY    SPDR S&P 50  SPY US 03/31/11 C121      14.1  26.6  11.01   -5.2    420
HTZ    HERTZ GLOBA  HTZ US 04/16/11 C15       13.5  47.0   0.90   -4.3    408
DYN    DYNEGY INC   DYN US 04/16/11 C6        13.2  35.2   0.20    0.0    239
SPY    SPDR S&P 50  SPY US 03/31/11 C120      13.0  28.0  12.05   -5.6    488
CAR    AVIS BUDGET  CAR US 04/16/11 C16       12.8  57.3   1.05   -4.5   5062
EK     EASTMAN KOD  EK US 07/16/11 C1.5       12.6 107.9   1.95   13.4    210
OPLK   OPLINK COMM  OPLK US 07/16/11 P20      11.7  59.5   2.10   82.6    218
UQM    UQM TECHNOL  UQM US 09/17/11 P2.5      11.0  86.6   0.30  -25.0    600
XNPT   XENOPORT IN  XNPT US 04/16/11 C7       11.0 275.7   2.75    6.6   1532
FE     FIRSTENERGY  FE US 07/16/11 P33        10.9  22.3   0.35  -22.2   2078
UUP    POWERSHARES  UUP US 04/16/11 C23       10.8  12.8   0.07   16.7    259
HTZ    HERTZ GLOBA  HTZ US 04/16/11 C14       10.8  48.8   1.75   20.7    210
SRX    SRA INTL IN  SRX US 04/16/11 P25       10.6  73.0   1.35  -22.9    684
YHOO   YAHOO! INC   YHOO US 04/16/11 C16      10.5  36.9   1.53   17.7   1142
EXC    EXELON CORP  EXC US 07/16/11 P40       10.3  19.6   0.95   -9.5    369
AA     ALCOA INC    AA US 04/16/11 P17        10.2  38.3   1.15   10.6    281
QQQQ   POWERSH-QQQ  QQQQ US 03/31/11 C54      10.1  26.3   3.23  -13.6   1143
MO     ALTRIA GROU  MO US 04/16/11 C25        10.0  16.0   0.74    5.7   1044

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= AVNR AVANIR PHAR AVNR US 01/21/12 C2.5 -55.6 12.5 1.20 20.0 3575 LNG CHENIERE EN LNG US 04/16/11 C6 -28.4 178.4 2.50 66.7 247 THRX THERAVANCE THRX US 04/16/11 P22.5 -23.4 52.6 1.45 -27.5 466 THRX THERAVANCE THRX US 04/16/11 P20 -22.6 58.4 0.70 -36.4 235 EMKR EMCORE CORP (EMKR) EMKR US 09/17/11 C2.5 -21.1 87.3 0.85 -15.0 1047 KERX KERYX BIOPH KERX US 09/17/11 P3 -18.6 65.4 0.30 -25.0 727 FNSR FINISAR COR FNSR US 06/18/11 P21 -18.5 66.4 1.35 0.0 246 PMI PMI GROUP I PMI US 04/16/11 P3 -18.1 67.3 0.25 -35.9 201 SAM BOSTON BEER SAM US 06/18/11 P75 -16.3 32.0 1.40 16.7 580 HPQ HEWLETT-PAC HPQ US 04/16/11 C35 -14.8 36.3 7.00 -7.9 1600 EPB EL PASO PIP EPB US 06/18/11 C35 -14.2 20.0 1.35 -27.0 255 OCN OCWEN FINL OCN US 10/22/11 P10 -12.8 29.4 0.60 0.0 383 CX CEMEX SAB-S CX US 04/16/11 P8 -12.7 45.4 0.24 0.0 5826 LNG CHENIERE EN LNG US 09/17/11 C5 -11.9 107.0 4.40 66.0 275 AEO AMER EAGLE AEO US 04/16/11 C16 -11.3 45.8 0.67 39.6 776 JPM JPMORGAN CH JPM US 01/21/12 C25 -10.5 38.5 21.75 0.2 200 EPB EL PASO PIP EPB US 04/16/11 P35 -10.4 21.9 0.95 11.8 1129


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


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-0- Mar/09/2011 16:30 GMT

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