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
=============================================================================
CIM    CHIMERA INV  CIM US 06/18/11 P4       173.4  26.4   0.21   40.0    329
CLDA   CLINICAL DA  CLDA US 06/18/11 P30      48.7   6.9   0.20   33.3    847
THC    TENET HEALT  THC US 05/21/11 C7        24.6  34.5   0.75   15.4    375
HS     HEALTHSPRIN  HS US 06/18/11 C40        21.9  40.6   3.00  160.9    848
WPRT   WESTPORT IN  WPRT US 05/21/11 C25      21.8  54.9   2.65  381.8    200
DGW    DUOYUAN GLO  DGW US 06/18/11 P2.5      21.5 226.3   0.55  175.0   1051
RRGB   RED ROBIN G  RRGB US 06/18/11 C20      20.5  48.1   7.30    9.0    250
SPPI   SPECTRUM PH  SPPI US 05/21/11 C7       20.3  76.6   2.20    7.3    260
DEER   DEER CONSUM  DEER US 05/21/11 C2.5     20.1 173.8   4.00  -11.1   1202
DGW    DUOYUAN GLO  DGW US 05/21/11 P2.5      19.2 246.8   0.40  135.3    408
KERX   KERYX BIOPH  KERX US 09/17/11 C5       19.1  67.5   0.90   12.5    240
WPRT   WESTPORT IN  WPRT US 05/21/11 P25      17.3  55.4   1.30    0.0    241
AVL    AVALON RARE  AVL US 05/21/11 C9        16.7  75.5   1.05  110.0    333
RDWR   RADWARE LTD  RDWR US 05/21/11 P33      14.5  59.3   2.15   38.7    692
NDAQ   NASDAQ OMX   NDAQ US 06/18/11 P25      14.0  36.7   0.70  -44.0   1017
F      FORD MOTOR   F US 05/21/11 C13         13.8  42.8   2.75   30.3    436
NRGY   INERGY LP    NRGY US 05/21/11 P35      13.4  26.6   0.15    0.0    900
SPY    SPDR S&P 50  SPY US 06/18/11 P138      13.4  16.3   6.79   -3.7    288
VVUS   VIVUS INC    VVUS US 05/21/11 P7       13.2  57.7   0.50    0.0   2251
BSX    BOSTON SCIE  BSX US 05/21/11 P7        13.1  43.2   0.40   48.1   1615
SPY    SPDR S&P 50  SPY US 06/18/11 P137      12.3  16.4   6.08   -8.6    525
LUV    SOUTHWEST A  LUV US 05/21/11 P12       12.3  33.0   0.45   50.0    396
UTSI   UTSTARCOM I  UTSI US 08/20/11 P2.5     12.1  44.7   0.20  -42.9    200
GD     GENERAL DYN  GD US 05/21/11 C75        12.0  24.1   1.30  -59.4   1286
AVL    AVALON RARE  AVL US 05/21/11 C8        12.0  75.9   1.60   77.8    248
CLDA   CLINICAL DA  CLDA US 06/18/11 P31      11.9  14.3   1.15    4.5   2261
C      CITIGROUP I  C US 05/21/11 C3.5        11.1  46.3   0.97    3.2    308
APH    AMPHENOL CO  APH US 05/21/11 P50       10.9  33.6   1.50  105.5   2012
UA     UNDER ARMOU  UA US 05/21/11 P70        10.9  46.7   3.20  -41.2    559
EL     ESTEE LAUDE  EL US 05/21/11 C90        10.8  35.5   8.00   -2.4    697
NDAQ   NASDAQ OMX   NDAQ US 05/21/11 P25      10.8  37.6   0.50  -58.3    216
GD     GENERAL DYN  GD US 05/21/11 P75        10.6  23.4   4.30  132.4    507
NOK    NOKIA CORP-  NOK US 05/21/11 P8        10.0  35.3   0.34  -15.0    210

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= EPIC EPICOR SOFT EPIC US 09/17/11 C12.5 -91.5 3.9 0.15 -70.0 200 EPIC EPICOR SOFT EPIC US 05/21/11 C12.5 -89.0 5.2 0.10 0.0 670 SRX SRA INTL IN SRX US 05/21/11 C30 -66.9 12.4 1.20 26.3 315 GENZ GENZYME COR GENZ US 07/16/11 C75 -37.1 2.0 1.35 0.0 405 SRX SRA INTL IN SRX US 06/18/11 P25 -29.5 32.6 0.10 -87.5 601 STO STATOIL ASA (STL) STO US 05/21/11 C25 -28.5 25.5 4.00 68.8 200 SRX SRA INTL IN SRX US 05/21/11 C25 -27.0 36.7 6.00 36.4 300 SRX SRA INTL IN SRX US 06/18/11 P22.5 -26.6 37.8 0.05 -93.3 357 GWR GENESEE & W GWR US 05/21/11 P55 -21.6 31.8 1.15 0.0 887 CIM CHIMERA INV CIM US 09/17/11 C4 -21.6 21.8 0.15 -25.0 489 PFE PFIZER INC (PFE) PFE US 01/21/12 C15 -21.4 22.9 5.65 1.8 1402 NYX NYSE EURONE NYX US 05/21/11 P37 -20.2 25.5 0.56 0.0 206 SOMX SOMAXON PHA SOMX US 05/21/11 C3 -19.6 36.2 0.10 0.0 1956 CYS CYPRESS SHA CYS US 05/21/11 P12.5 -18.5 13.8 0.50 -9.1 251 GENZ GENZYME COR GENZ US 01/21/12 P72.5 -18.5 3.4 0.05 -75.0 200 NYX NYSE EURONE NYX US 05/21/11 C40 -16.6 25.8 1.06 324.0 1037 JPM JPMORGAN CH JPM US 06/18/11 C30 -13.7 50.3 16.50 1.5 305 MSFT MICROSOFT C MSFT US 06/18/11 C20 -13.2 35.6 5.68 -2.1 200 SOMX SOMAXON PHA SOMX US 01/21/12 C2.5 -12.3 11.8 0.45 28.6 1221 MED MEDIFAST IN MED US 01/21/12 P15 -12.1 58.3 2.60 0.0 210 WTW WEIGHT WATC WTW US 05/21/11 P75 -11.9 42.9 6.20 0.0 506 JDSU JDS UNIPHAS JDSU US 09/17/11 P5 -11.8 96.5 0.06 -60.0 339 CDE COEUR D'ALE CDE US 05/21/11 C32 -11.8 50.8 4.10 2.5 200


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


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-0- Apr/04/2011 15:30 GMT

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