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
=============================================================================
NSM    NATL SEMICO  NSM US 01/21/12 C7.5     136.0  77.2  16.60  130.6    473
NSM    NATL SEMICO  NSM US 01/21/12 C10       54.5  53.4  14.50  150.0    302
PUDA   PUDA COAL I  PUDA US 05/21/11 P9       44.9 112.6   0.50   66.7    229
NSM    NATL SEMICO  NSM US 01/21/12 C15       43.2  43.4   9.40  803.9    665
PUDA   PUDA COAL I  PUDA US 05/21/11 P10      42.2 105.1   1.20  118.2   1151
PUDA   PUDA COAL I  PUDA US 05/21/11 P11      40.9 104.9   1.70   70.0   1148
NSM    NATL SEMICO  NSM US 01/21/12 C12.5     38.7  45.8  11.60  404.4    321
DCTH   DELCATH SYS  DCTH US 05/21/11 P6       38.6 104.0   0.37  -15.9    765
NSM    NATL SEMICO  NSM US 08/20/11 C18       38.2  37.6   6.20 6100.0    320
NSM    NATL SEMICO  NSM US 11/19/11 C15       36.7  41.3   9.10  970.6    360
WBMD   WEBMD HEALT  WBMD US 05/21/11 C50      36.0  38.5   4.90    8.9   1242
DCTH   DELCATH SYS  DCTH US 05/21/11 P5       35.5 113.5   0.19    0.0    401
NSM    NATL SEMICO  NSM US 11/19/11 C16       33.3  39.0   8.30 1176.9    300
WBMD   WEBMD HEALT  WBMD US 05/21/11 P50      26.9  38.7   1.43   30.0    595
NSM    NATL SEMICO  NSM US 11/19/11 C17       26.8  36.2   7.30    0.0    300
TYC    TYCO INTL L  TYC US 05/21/11 C49       22.3  25.4   0.94  184.8    509
ELN    ELAN CORP-A  ELN US 05/21/11 C6        22.0  58.9   1.10   22.2  10049
NSM    NATL SEMICO  NSM US 01/21/12 C17.5     21.2  34.6   7.00 1300.0   1522
TYC    TYCO INTL L  TYC US 05/21/11 C48       19.7  25.0   1.25  101.6   1217
TYC    TYCO INTL L  TYC US 07/16/11 C48       19.5  25.1   2.17   70.9    502
TYC    TYCO INTL L  TYC US 05/21/11 C47       18.9  25.1   1.70   70.0   1167
NSM    NATL SEMICO  NSM US 01/21/12 P12.5     18.7  39.7   0.05  -95.7    991
TYC    TYCO INTL L  TYC US 07/16/11 C44       18.7  27.5   4.50   63.6    236
GE     GENERAL ELE  GE US 06/18/11 C15        18.1  46.6   5.55    0.0    633
ISIL   INTERSIL CO  ISIL US 07/16/11 C14      17.9  35.7   0.75  200.0   1424
MSFT   MICROSOFT C  MSFT US 05/21/11 C22.5    16.9  30.4   3.50   14.8    547
LLEN   L&L ENERGY   LLEN US 05/21/11 P5       16.7 102.9   0.40  100.0    422
ISIL   INTERSIL CO  ISIL US 05/21/11 P13      16.4  37.4   0.55  -54.2    645
NSM    NATL SEMICO  NSM US 08/20/11 P18       16.4  32.0   0.15  -95.7    601
NSM    NATL SEMICO  NSM US 01/21/12 P15       13.9  35.1   0.20  -90.9    301
DF     DEAN FOODS   DF US 05/21/11 C10        12.6  50.2   0.70   55.6    634
C      CITIGROUP I  C US 06/18/11 C3          12.6  50.1   1.46    4.3    761
CISG   CNINSURE IN  CISG US 07/16/11 P10      12.2  68.1   0.55    0.0    220
VRX    VALEANT PHA  VRX US 05/21/11 P50       12.1  55.2   2.15  -10.4   1252
C      CITIGROUP I  C US 05/21/11 C4          11.4  32.8   0.49    6.5    765
NSM    NATL SEMICO  NSM US 11/19/11 C19       11.4  31.2   5.50    0.0   1200
DF     DEAN FOODS   DF US 05/21/11 P10        11.2  46.1   0.65   -7.1    295
NSM    NATL SEMICO  NSM US 01/21/12 C5        10.9  75.5  19.50    0.0    300
BIDU   BAIDU INC-S  BIDU US 06/18/11 P60      10.6  82.5   0.05  -64.3    226
ISIL   INTERSIL CO  ISIL US 10/22/11 C14      10.6  35.2   1.45  184.3    262

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= ISPH INSPIRE PHA ISPH US 05/21/11 P5 -95.4 3.7 0.05 0.0 400 ISPH INSPIRE PHA ISPH US 09/17/11 P5 -93.5 4.3 0.05 -96.7 1321 NSM NATL SEMICO NSM US 01/21/12 P25 -92.0 2.9 0.95 -91.1 1038 ISPH INSPIRE PHA ISPH US 09/17/11 C5 -89.3 6.7 0.05 -85.7 7348 ISPH INSPIRE PHA ISPH US 06/18/11 P5 -87.9 6.1 0.05 -96.0 2424 NSM NATL SEMICO NSM US 01/21/12 C25 -83.9 5.5 0.10 0.0 1467 NSM NATL SEMICO NSM US 01/19/13 C25 -83.7 4.6 0.20 11.1 397 ISPH INSPIRE PHA ISPH US 06/18/11 C5 -83.5 10.4 0.05 -66.7 4888 NSM NATL SEMICO NSM US 01/21/12 C22.5 -47.0 17.4 2.25 1400.0 1933 DX DYNEX CAPIT DX US 05/21/11 P10 -42.8 10.0 0.20 -20.0 200 NSM NATL SEMICO NSM US 01/21/12 P22.5 -37.2 13.6 0.55 0.0 425 CBST CUBIST PHAR CBST US 05/21/11 C22 -35.2 38.1 7.10 77.5 391 AVNR AVANIR PHAR AVNR US 09/17/11 C4 -28.4 23.6 0.25 -16.7 2820 NSM NATL SEMICO NSM US 01/21/12 P20 -25.2 22.2 0.40 -93.3 217 JCP J.C. PENNEY JCP US 05/21/11 C24 -24.8 52.4 13.00 -10.4 11640 AXP AMERICAN EX AXP US 01/21/12 C20 -22.6 54.6 25.40 2.0 3300 JCP J.C. PENNEY JCP US 05/21/11 C26 -22.2 47.4 11.00 69.2 19920 CBST CUBIST PHAR CBST US 05/21/11 P26 -19.7 40.7 0.50 -83.3 225 XLI SPDR-INDU S XLI US 09/17/11 P32 -19.3 27.6 0.64 -14.7 500 JCP J.C. PENNEY JCP US 05/21/11 C25 -18.2 52.1 12.00 -0.8 19410 CBST CUBIST PHAR CBST US 05/21/11 P25 -17.2 42.7 0.25 -85.7 600 SPY SPDR S&P 50 SPY US 06/18/11 P140 -15.8 12.8 7.97 -1.6 200 QQQ POWERSH-QQQ QQQ US 05/21/11 C53 -15.8 22.1 4.65 0.7 278 QQQ POWERSH-QQQ QQQ US 05/21/11 C52 -15.3 23.8 5.54 -0.5 2331 WEN WENDY'S/ARB WEN US 05/21/11 C5 -15.0 23.9 0.30 20.0 250 TGP TEEKAY LNG TGP US 05/21/11 C40 -14.0 21.5 0.55 -62.8 664 SPY SPDR S&P 50 SPY US 06/18/11 P137 -13.1 13.8 5.80 -5.1 738 VXX IPATH-S&P S VXX US 05/21/11 P24 -13.0 42.5 0.24 -25.0 358 RSX MKT VECT-RU RSX US 05/21/11 C39 -12.9 25.3 3.80 -13.6 200 CBST CUBIST PHAR CBST US 01/21/12 P20 -12.9 47.9 0.75 -70.0 670 NFLX NETFLIX INC (NFLX) NFLX US 01/21/12 P35 -12.8 75.9 0.03 -75.0 317 KBH KB HOME (KBH) KBH US 05/21/11 P11 -12.6 42.3 0.51 41.7 514 XLK SPDR-TECH S XLK US 06/18/11 P27 -12.5 15.5 1.35 -8.2 200 QQQ POWERSH-QQQ QQQ US 05/21/11 C55 -12.0 19.9 3.06 -3.8 783 CBST CUBIST PHAR CBST US 08/20/11 C30 -11.8 38.4 2.30 100.0 1354 VRGY VERIGY LTD (VRGY) VRGY US 05/21/11 P14 -10.8 15.7 0.30 0.0 291 CLWR CLEARWIRE - CLWR US 05/21/11 C5 -10.7 65.7 0.86 1.2 3000 KBH KB HOME KBH US 05/21/11 C12 -10.7 40.8 0.44 -46.3 253 KBH KB HOME KBH US 05/21/11 C11 -10.6 42.8 0.88 -49.7 214 CBST CUBIST PHAR CBST US 01/21/12 C30 -10.3 37.8 3.90 77.3 368 QQQ POWERSH-QQQ QQQ US 06/30/11 C57 -10.2 18.6 2.17 -7.7 1234 VXX IPATH-S&P S VXX US 05/21/11 P25 -10.1 45.7 0.47 -17.5 807


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


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-0- Apr/05/2011 15:30 GMT

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