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
=============================================================================
VRX    VALEANT PHA  VRX US 04/16/11 P49      175.5  45.2   2.85    0.0    279
CEPH   CEPHALON IN  CEPH US 04/16/11 C60     129.7  46.6  15.30 2681.8    533
VRX    VALEANT PHA  VRX US 04/16/11 P50      129.2  44.4   2.50    0.0    387
THC    TENET HEALT  THC US 04/16/11 C7        99.7  28.2   0.40   37.9    800
WPRT   WESTPORT IN  WPRT US 04/16/11 C17.5    86.9  70.2   3.80   94.9    281
CEPH   CEPHALON IN  CEPH US 05/21/11 C50      80.4  49.1  25.20  180.0    801
VRX    VALEANT PHA  VRX US 04/16/11 P48       76.7  45.8   1.40    0.0    940
GEX    MKT VECT-GL  GEX US 04/16/11 C22       69.9  23.9   0.60   20.0    300
GILD   GILEAD SCIE  GILD US 05/21/11 C34      60.4  39.1   8.70   33.9    500
VZ     VERIZON COM  VZ US 04/16/11 C36        59.8  26.7   2.84   25.7    502
VRX    VALEANT PHA  VRX US 04/16/11 P47       59.4  45.5   1.10    0.0   1927
CEPH   CEPHALON IN  CEPH US 05/21/11 C60      54.0  37.0  15.60  875.0    919
CEPH   CEPHALON IN  CEPH US 05/21/11 P55      47.5  41.0   0.05  -95.0    585
CTL    CENTURYLINK  CTL US 01/21/12 C35       41.7  20.4   6.70    9.8    200
CEPH   CEPHALON IN  CEPH US 05/21/11 P60      39.6  35.0   0.20  -92.5   1756
T      AT&T INC     T US 04/16/11 C29         39.5  24.4   1.91   80.2    996
TSLA   TESLA MOTOR  TSLA US 04/16/11 C22      37.2  73.2   2.45   11.4    200
FINL   FINISH LINE  FINL US 04/16/11 C17.5    37.1  52.8   2.05   28.1    605
CEPH   CEPHALON IN  CEPH US 08/20/11 C50      33.5  38.0  25.30  163.5    231
FSYS   FUEL SYSTEM  FSYS US 04/16/11 P22.5    32.9  53.2   0.05  -75.0    221
FCG    FIRST TR IS  FCG US 04/16/11 C24       32.6  25.8   0.20  100.0    334
T      AT&T INC     T US 04/16/11 P29         29.8  22.1   0.11  -38.9   1100
T      AT&T INC     T US 04/16/11 P28         28.1  27.2   0.05  -37.5    728
SPY    SPDR S&P 50  SPY US 04/16/11 P135      27.9  13.1   2.98  -12.3   5909
VZ     VERIZON COM  VZ US 04/16/11 C37        27.8  19.7   1.85   38.1    690
CSCO   CISCO SYSTE  CSCO US 04/16/11 C15      27.8  43.4   2.56    6.7    248
IDCC   INTERDIGITA  IDCC US 04/16/11 C43      27.4  55.3   4.00  110.5    517
NLST   NETLIST INC  NLST US 04/16/11 C2.5     26.4  99.3   0.50  400.0    648
DUK    DUKE ENERGY  DUK US 04/16/11 C18       26.3  12.9   0.30   66.7    515
CBS    CBS CORP-B   CBS US 01/21/12 C17.5     25.8  42.8   8.60    4.9    523
SOMX   SOMAXON PHA  SOMX US 01/21/12 C2.5     24.5  18.5   0.50   42.9    300
CLNE   CLEAN ENERG  CLNE US 04/16/11 P13      24.4  67.7   0.05  -50.0    526
VRX    VALEANT PHA  VRX US 05/21/11 P43       24.1  45.5   1.05    0.0    315
C      CITIGROUP I  C US 04/16/11 C4          24.0  45.5   0.49    6.5   7254
EXPE   EXPEDIA INC  EXPE US 04/16/11 C20      23.6  38.1   2.60   43.6    285
T      AT&T INC     T US 04/16/11 C27         23.3  43.7   3.95   29.5    883
GNW    GENWORTH FI  GNW US 04/16/11 C14       22.8  30.0   0.12  100.0   5023
CLDA   CLINICAL DA  CLDA US 04/16/11 P30      22.6  15.3   0.25   25.0   2226
T      AT&T INC     T US 04/16/11 P30         22.1  19.1   0.27  -55.7   1685
T      AT&T INC     T US 04/16/11 C30         21.9  19.7   0.98  180.0   8189
WTW    WEIGHT WATC  WTW US 04/16/11 C60       21.1  47.7   7.50   73.6    253
UNG    US NAT GAS   UNG US 04/16/11 C10       21.0  37.9   1.38   13.1    490
RT     RUBY TUESDA  RT US 04/16/11 C12.5      20.4  70.4   1.00  100.0    550
V      VISA INC-CL  V US 04/16/11 P67.5       20.2  32.0   0.09  -64.0    506
WPRT   WESTPORT IN  WPRT US 04/16/11 C20      20.0  47.6   1.60  300.0    513
ORCL   ORACLE CORP  ORCL US 04/16/11 C30      20.0  28.9   3.22    2.2    283
MMR    MCMORAN EXP  MMR US 04/16/11 C15       19.9  50.2   2.90   12.8    350
GNW    GENWORTH FI  GNW US 04/16/11 C13       19.6  33.7   0.64   42.2    260
VZ     VERIZON COM  VZ US 04/16/11 C35        19.4  27.2   3.70   15.6    344
BLK    BLACKROCK I  BLK US 04/16/11 P190      19.3  29.5   1.75  -66.3    202
HEV    ENER1 INC    HEV US 04/16/11 C3        19.2  65.5   0.20    0.0    200
T      AT&T INC     T US 05/21/11 C28         18.8  23.9   2.87   42.1    240
V      VISA INC-CL  V US 04/16/11 P70         18.6  29.7   0.30  -55.9    803
CVX    CHEVRON COR  CVX US 01/21/12 C60       18.5  39.3  48.00    2.8    201
FRG    FRONTEER GO  FRG US 04/16/11 C15       18.1  14.0   0.20    0.0    242
CSCO   CISCO SYSTE  CSCO US 04/16/11 C16      17.6  32.7   1.55    5.4    267
T      AT&T INC     T US 04/16/11 P31         17.6  18.5   0.81  -42.5    957
CEPH   CEPHALON IN  CEPH US 08/20/11 C60      16.9  29.4  16.00  370.6    480
KV/A   KV PHARM-A   KVA US 04/16/11 P2.5      16.7 336.8   0.20    0.0    633
USU    USEC INC     USU US 04/16/11 P4        16.7  62.4   0.05    0.0    226
T      AT&T INC     T US 05/21/11 P29         16.5  20.7   0.37  -30.2    515
PPG    PPG INDS IN  PPG US 04/16/11 C95       16.5  19.5   1.50  900.0    779
PANL   UNIVERSAL D  PANL US 04/16/11 C45      16.4  77.6   8.70   -8.4    200
HGT    HUGOTON ROY  HGT US 08/20/11 C25       16.3  23.2   0.80   60.0    530
VRX    VALEANT PHA  VRX US 07/16/11 P48       16.2  40.3   4.01    0.0    400
T      AT&T INC     T US 05/21/11 P30         16.1  19.7   0.70  -28.6    447
T      AT&T INC     T US 05/21/11 C29         16.1  21.2   1.95   59.8    595
T      AT&T INC     T US 05/21/11 C30         15.9  20.1   1.20  100.0   3221
VZ     VERIZON COM  VZ US 04/16/11 C34        15.9  33.4   4.83   15.0    443
SPY    SPDR S&P 50  SPY US 04/16/11 P134      15.7  13.9   2.33  -15.3   2711
VHC    VIRNETX HOL  VHC US 06/18/11 C12       15.6  90.5   9.60   28.0    211
VZ     VERIZON COM  VZ US 04/16/11 C38        15.6  18.0   0.94   70.9   2954
V      VISA INC-CL  V US 04/16/11 P75         15.6  27.9   1.76  -47.5   8630
PUDA   PUDA COAL I  PUDA US 04/16/11 C12      15.4  64.8   0.95   90.0    983
MA     MASTERCARD   MA US 04/16/11 P250       15.3  28.4   2.72  -39.6    246
T      AT&T INC     T US 05/21/11 P31         15.3  19.1   1.15  -31.9    265
TWTC   TW TELECOM   TWTC US 04/16/11 C20      15.1  43.4   0.40  -11.1    200
IDCC   INTERDIGITA  IDCC US 04/16/11 P40      14.9  52.4   0.20  -61.5    490
IDCC   INTERDIGITA  IDCC US 04/16/11 P45      14.9  48.5   1.40  -49.1    588
SLV    ISHARES SIL  SLV US 04/16/11 C30       14.9  41.4   6.25    0.8    360
T      AT&T INC     T US 05/21/11 C31         14.8  19.5   0.65  132.1   4143
MA     MASTERCARD   MA US 04/16/11 P260       14.7  26.8   6.65  -36.4    310
V      VISA INC-CL  V US 04/16/11 P72.5       14.6  28.0   0.80  -52.7    502
PNRA   PANERA BREA  PNRA US 04/16/11 C125     14.4  28.8   3.30   65.0    783
XL     XL GROUP PL  XL US 04/16/11 C21        14.3  45.1   3.10    5.1   1202
SLV    ISHARES SIL  SLV US 04/16/11 C28       14.2  54.6   8.25    1.4    204
WCRX   WARNER CHIL  WCRX US 04/16/11 C24      14.0  23.9   0.30   20.0    431
T      AT&T INC     T US 05/21/11 P28         13.5  22.3   0.19  -29.6   1393
T      AT&T INC     T US 07/16/11 C28         13.5  21.3   2.95   38.5    484
T      AT&T INC     T US 05/21/11 P32         13.4  18.9   1.84  -27.3    367
VHC    VIRNETX HOL  VHC US 04/16/11 P19       12.9  91.9   0.54  -55.0    399
WTW    WEIGHT WATC  WTW US 04/16/11 C65       12.8  38.3   3.50  169.2    392
IDCC   INTERDIGITA  IDCC US 05/21/11 C46      12.6  52.4   3.60   63.6    336
BLK    BLACKROCK I  BLK US 04/16/11 C195      12.5  28.7   6.60  450.0    466
JAZZ   JAZZ PHARMA  JAZZ US 06/18/11 C21      12.5  69.1  12.90   37.2    300
T      AT&T INC     T US 05/21/11 C32         12.5  19.3   0.33  175.0   5825
EWA    ISHARES-AUS  EWA US 07/16/11 C26       12.5  23.0   1.40   40.0    373
IDCC   INTERDIGITA  IDCC US 04/16/11 C47      12.4  48.4   1.40  268.4   1158
WTW    WEIGHT WATC  WTW US 05/21/11 P65       12.4  46.1   3.40  -27.7    300
AMZN   AMAZON.COM   AMZN US 04/16/11 P145     12.1  48.5   0.12   -7.7    322
IDCC   INTERDIGITA  IDCC US 04/16/11 C48      12.1  48.1   1.10  100.0    490
V      VISA INC-CL  V US 04/16/11 C70         11.9  29.4   5.25   78.0    408
IDCC   INTERDIGITA  IDCC US 04/16/11 P46      11.9  48.0   1.90  -48.6    295
KO     COCA-COLA C  KO US 04/16/11 C62.5      11.8  19.7   3.83   17.9   2012
T      AT&T INC     T US 04/16/11 C31         11.7  18.9   0.30  328.6   3594
T      AT&T INC     T US 07/16/11 C29         11.5  19.8   2.15   50.4   1825
IDCC   INTERDIGITA  IDCC US 05/21/11 C47      11.5  52.6   3.10   93.8    353
T      AT&T INC     T US 06/18/11 P31         11.4  18.7   1.31  -36.7    571
SMOD   SMART MODUL  SMOD US 04/16/11 C7.5     11.4  58.7   0.35    0.0    226
XLK    SPDR-TECH S  XLK US 04/16/11 P23       11.4  36.7   0.04    0.0    208
ONTY   ONCOTHYREON  ONTY US 05/21/11 C3       11.3  64.6   1.05    0.0    500
VRX    VALEANT PHA  VRX US 07/16/11 P42       11.3  42.9   1.65  -35.3   1105
MA     MASTERCARD   MA US 04/16/11 C265       11.1  25.9   2.90  190.0   1193
WTW    WEIGHT WATC  WTW US 05/21/11 P60       11.1  48.5   1.90  -24.0    288
MA     MASTERCARD   MA US 04/16/11 C260       11.0  26.2   4.60  135.9   1138
CYS    CYPRESS SHA  CYS US 04/16/11 C12.5     10.9  26.2   0.25  -16.7    203
ATPG   ATP OIL & G  ATPG US 04/16/11 C18      10.8  50.9   1.03   -7.2    235
ZAGG   ZAGG INC     ZAGG US 05/21/11 C7.5     10.6  78.9   0.90   12.5    324
QQQ    POWERSH-QQQ  QQQ US 04/16/11 C53       10.6  27.0   4.35    3.3    525
NUAN   NUANCE COMM  NUAN US 04/16/11 C19      10.5  39.0   0.90  200.0    362
AMZN   AMAZON.COM   AMZN US 04/16/11 P160     10.5  37.0   0.46  -31.3   1234
T      AT&T INC     T US 06/18/11 C31         10.4  19.0   0.82   82.2    483
BRCD   BROCADE COM  BRCD US 04/16/11 C5       10.4  61.4   1.22   -1.6    448
EPD    ENTERPRISE   EPD US 04/16/11 C43       10.1  17.9   0.75   50.0   1084
T      AT&T INC     T US 06/18/11 C30         10.1  19.5   1.34   67.5    498
MA     MASTERCARD   MA US 04/16/11 C270       10.1  25.6   1.58  198.1    745
TMO    THERMO FISH  TMO US 04/16/11 C55       10.0  18.3   0.60    9.1    200

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= CEPH CEPHALON IN CEPH US 04/16/11 P75 -73.3 16.8 0.90 0.0 4174 CEPH CEPHALON IN CEPH US 04/16/11 C75 -72.4 17.9 1.25 0.0 6237 CEPH CEPHALON IN CEPH US 05/21/11 P75 -62.9 18.9 2.05 0.0 1719 CEPH CEPHALON IN CEPH US 08/20/11 P75 -52.3 17.2 3.10 -78.8 244 CSR CHINA SECUR CSR US 06/18/11 C2.5 -49.9 66.8 2.42 10.0 230 CEPH CEPHALON IN CEPH US 05/21/11 C75 -44.6 19.1 2.25 2150.0 2110 SIG SIGNET JEWE SIG US 04/16/11 P45 -39.3 29.0 1.30 -39.5 1090 CEPH CEPHALON IN CEPH US 04/16/11 C70 -38.4 30.7 5.60 0.0 654 SOMX SOMAXON PHA SOMX US 04/16/11 C3 -38.1 33.6 0.10 100.0 2043 CEPH CEPHALON IN CEPH US 01/21/12 C75 -38.0 14.4 4.00 400.0 270 ACHN ACHILLION P ACHN US 04/16/11 C5 -37.5 116.2 2.25 4.7 1550 CEPH CEPHALON IN CEPH US 08/20/11 C75 -36.8 16.2 3.30 1220.0 467 CEPH CEPHALON IN CEPH US 04/16/11 P70 -35.5 31.1 0.30 0.0 5102 TIBX TIBCO SOFTW TIBX US 04/16/11 P26 -31.8 42.1 0.80 -40.7 2108 CEPH CEPHALON IN CEPH US 05/21/11 P70 -31.7 25.5 0.95 -90.2 10672 JOSB JOS A BANK JOSB US 04/16/11 C50 -31.0 32.2 1.60 21.2 1338 JOSB JOS A BANK JOSB US 04/16/11 P50 -29.6 32.5 1.25 -54.5 273 PAET PAETEC HOLD PAET US 09/17/11 C2.5 -29.4 67.9 1.30 8.3 570 TIBX TIBCO SOFTW TIBX US 04/16/11 P25 -28.4 44.5 0.50 -41.2 913 CEPH CEPHALON IN CEPH US 08/20/11 P70 -28.2 21.4 1.75 -84.8 2554 TSTC TELESTONE T TSTC US 04/16/11 C5 -27.9 69.8 1.80 -21.7 200 WU WESTERN UNI WU US 01/21/12 C10 -25.9 41.0 11.50 7.5 3000 TIBX TIBCO SOFTW TIBX US 04/16/11 C25 -24.1 46.2 1.30 -39.5 906 IBB ISHARES-NDQ IBB US 04/16/11 P99 -23.5 14.3 1.15 -53.1 200 QLIK QLIK TECHNO QLIK US 04/16/11 C22.5 -23.1 38.4 2.95 5.4 260 IMMR IMMERSION C IMMR US 04/16/11 P7.5 -21.1 42.9 0.25 -72.2 235 TIBX TIBCO SOFTW TIBX US 04/16/11 C27 -21.1 45.0 0.60 -33.3 227 SPY SPDR S&P 50 SPY US 04/16/11 C118 -20.8 29.0 14.55 8.7 900 TIBX TIBCO SOFTW TIBX US 05/21/11 P25 -20.8 40.1 1.05 -22.2 551 SPY SPDR S&P 50 SPY US 04/16/11 C120 -20.2 26.2 12.60 5.0 913 FDO FAMILY DOLL FDO US 04/16/11 C55 -19.9 33.9 0.65 -31.6 462 BRCD BROCADE COM BRCD US 05/21/11 C5 -19.2 43.6 1.26 7.7 323 CRA CELERA CORP (CRA) CRA US 09/17/11 P7.5 -18.4 14.2 0.05 -50.0 529 SIG SIGNET JEWE SIG US 05/21/11 P40 -18.1 32.1 0.45 -52.6 250 GMR GENERAL MAR GMR US 05/21/11 P2 -18.0 85.7 0.25 -16.7 500 FDO FAMILY DOLL FDO US 04/16/11 C50 -17.9 33.0 3.10 -5.8 341 JAZZ JAZZ PHARMA JAZZ US 04/16/11 P31 -17.5 62.1 0.85 -74.2 200 ETE ENERGY TRAN ETE US 05/21/11 P45 -17.4 13.3 1.90 -17.4 223 JOSB JOS A BANK JOSB US 04/16/11 P45 -17.4 42.4 0.18 -76.0 575 BONT BON-TON STO BONT US 04/16/11 C16 -17.1 45.6 0.30 -40.0 271 FDO FAMILY DOLL FDO US 04/16/11 P50 -16.2 34.6 0.50 -47.4 394 XLF SPDR-FINL S XLF US 04/16/11 C17 -15.7 17.7 0.08 14.3 3726 HOC HOLLY CORP (HOC) HOC US 04/16/11 C60 -15.3 38.8 3.20 1.9 260 XRT SPDR S&P RE XRT US 04/16/11 P52 -15.1 20.8 1.55 -34.0 8050 COCO CORINTHIAN COCO US 04/16/11 P4 -15.0 58.3 0.05 -54.5 344 HBAN HUNTINGTON HBAN US 04/16/11 C7 -14.6 24.3 0.04 0.0 672 CEPH CEPHALON IN CEPH US 08/20/11 C70 -14.2 20.7 7.10 914.3 880 CSR CHINA SECUR CSR US 09/17/11 C2.5 -14.0 64.8 2.52 9.6 235 CEPH CEPHALON IN CEPH US 04/16/11 P65 -13.9 41.9 0.15 0.0 6764 OKE ONEOK INC (OKE) OKE US 04/16/11 C65 -13.9 16.3 1.50 66.7 500 JASO JA SOLAR HO JASO US 04/16/11 C7 -13.8 42.8 0.40 33.3 1512 SDS PROSHARES U SDS US 04/16/11 C20 -13.0 24.9 1.01 -19.8 906 SPY SPDR S&P 50 SPY US 04/16/11 C126 -12.9 20.9 7.01 10.4 286 C CITIGROUP I C US 04/16/11 P4.5 -12.3 21.0 0.10 -23.1 1763 MRK MERCK & CO MRK US 04/16/11 C35 -11.7 15.2 0.04 100.0 320 SPY SPDR S&P 50 SPY US 04/16/11 C128 -11.6 18.8 5.15 8.4 288 XLF SPDR-FINL S XLF US 04/16/11 C15 -11.6 28.5 1.51 10.2 336 SPY SPDR S&P 50 SPY US 04/16/11 C127 -11.4 19.8 6.04 7.5 1118 SNDA SHANDA INTE SNDA US 05/21/11 P38 -11.2 45.4 1.05 0.0 430 BEAT CARDIONET I BEAT US 05/21/11 C5 -10.9 47.6 0.30 0.0 216 NXPI NXP SEMICON NXPI US 04/16/11 C27.5 -10.9 61.4 4.10 -2.4 410 EEM ISHARES-EMG EEM US 04/16/11 C49 -10.8 19.0 0.44 41.9 11878 BAC BANK OF AME BAC US 04/16/11 C12 -10.6 34.1 1.53 9.3 1522 IMGN IMMUNOGEN I IMGN US 04/16/11 C9 -10.2 37.1 0.20 33.3 217 AMT AMERICAN TO AMT US 04/16/11 P52.5 -10.2 21.1 1.60 -34.7 459 GENZ GENZYME COR GENZ US 04/16/11 P70 -10.1 21.6 0.05 -37.5 467


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


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