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
=============================================================================
QQQ    POWERSH-QQQ  QQQ US 05/21/11 C48       75.8  28.5   9.05   -3.5    626
TZA    SMALL CAP B  TZA US 05/21/11 C28       56.4  53.8   6.65    0.0    500
AIB    ALLIED IRIS  AIB1 US 05/21/11 P3       33.1 205.1   2.20   10.0    400
QQQ    POWERSH-QQQ  QQQ US 05/21/11 C49       32.5  27.4   8.24    0.5    282
GPS    GAP INC/THE  GPS US 06/18/11 C18       28.6  38.0   4.39    2.6    450
EMC    EMC CORP/MA  EMC US 05/21/11 C27       26.8  32.8   0.80   40.4   4335
QQQ    POWERSH-QQQ  QQQ US 05/21/11 C50       26.3  26.3   7.28   -3.7    247
PNR    PENTAIR INC  PNR US 05/21/11 C40       26.3  30.4   1.30   23.8    778
EMC    EMC CORP/MA  EMC US 05/21/11 P27       25.3  32.1   1.65   13.0   1213
GSIC   GSI COMMERC  GSIC US 07/16/11 P27      25.1  16.7   0.25    0.0   2000
TLAB   TELLABS INC  TLAB US 05/21/11 C5.5     23.1  39.2   0.15  -16.7    500
EMC    EMC CORP/MA  EMC US 05/21/11 C26       22.7  32.2   1.21   21.0   9756
UTSI   UTSTARCOM I  UTSI US 08/20/11 P2.5     20.1  51.8   0.15  -25.0    332
IMGN   IMMUNOGEN I  IMGN US 07/16/11 C12      19.9  54.3   1.15  342.3    245
SNV    SYNOVUS FIN  SNV US 01/21/12 C2.5      19.8  55.8   0.60   20.0   2610
CEG    CONSTELLAT   CEG US 05/21/11 C30       19.5  31.9   2.75   22.2    334
EMC    EMC CORP/MA  EMC US 05/21/11 P26       19.5  31.2   1.05   19.3   1136
TZA    SMALL CAP B  TZA US 05/21/11 C27       17.7  60.9   7.25    5.1    750
ISIL   INTERSIL CO  ISIL US 05/21/11 C14      17.5  43.5   0.80  166.7   3247
SPY    SPDR S&P 50  SPY US 12/30/11 C95       16.8  29.3  38.54   -0.5    316
LLY    ELI LILLY &  LLY US 05/21/11 C36       16.2  15.9   0.53    6.0   7744
SCHW   SCHWAB (CHA  SCHW US 05/21/11 C19      15.9  26.2   0.50   19.1    802
OCZ    OCZ TECHNOL  OCZ US 05/21/11 C5        15.2 109.8   3.85   45.3    349
QQQ    POWERSH-QQQ  QQQ US 05/21/11 C52       14.7  23.8   5.42   -1.8   1615
DXCM   DEXCOM       DXCM US 05/21/11 C17.5    14.7  50.1   0.75   36.4    221
AMRN   AMARIN CORP  AMRN US 09/17/11 C6       14.4 135.7   3.70   11.1    430
EWJ    ISHARES-JAP  EWJ US 05/21/11 C9        12.9  31.4   0.90   -6.2    212
TSLA   TESLA MOTOR  TSLA US 09/17/11 C25      12.3  57.7   5.20    8.8    508
QQQ    POWERSH-QQQ  QQQ US 05/21/11 C53       12.0  22.8   4.56   -1.5   1152
HTZ    HERTZ GLOBA  HTZ US 05/21/11 C16       11.2  39.8   1.10   22.2   2526
SPY    SPDR S&P 50  SPY US 12/30/11 C100      11.2  27.7  34.33    0.8    259
SPY    SPDR S&P 50  SPY US 05/21/11 C128      10.6  18.8   6.63   -0.5    463
EWJ    ISHARES-JAP  EWJ US 05/21/11 P9        10.2  32.7   0.18   80.0   3260
SPY    SPDR S&P 50  SPY US 05/21/11 C130      10.2  17.5   5.05   -1.0   3090
SPY    SPDR S&P 50  SPY US 05/21/11 C129      10.1  18.1   5.81   -3.2   1964

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= XNPT XENOPORT IN XNPT US 05/21/11 P8 -54.7 80.0 0.25 0.0 213 XNPT XENOPORT IN XNPT US 05/21/11 C11 -54.2 71.1 0.55 37.5 326 XNPT XENOPORT IN XNPT US 05/21/11 P10 -54.0 69.1 0.80 -81.8 279 XNPT XENOPORT IN XNPT US 06/18/11 P10 -49.9 66.5 1.00 -77.3 265 XNPT XENOPORT IN XNPT US 06/18/11 C10 -49.8 67.0 1.20 118.2 307 XNPT XENOPORT IN XNPT US 05/21/11 C5 -42.0 117.0 5.40 92.9 380 NLY ANNALY CAPI NLY US 01/19/13 P17.5 -38.3 8.8 3.86 -2.3 281 GIS GENERAL MIL GIS US 01/21/12 C27.5 -18.9 21.6 8.66 -4.3 206 SPY SPDR S&P 50 SPY US 05/21/11 P139 -16.8 11.5 6.36 7.4 338 BBBY BED BATH &B BBBY US 05/21/11 C48 -16.3 26.1 6.80 130.5 242 CLDA CLINICAL DA CLDA US 01/19/13 P30 -15.0 2.9 0.15 -40.0 250 BBBY BED BATH &B BBBY US 05/21/11 C55 -14.6 24.7 1.77 342.5 5198 CLDA CLINICAL DA CLDA US 09/17/11 P30 -14.1 3.7 0.15 -25.0 230 REE RARE ELEMEN REE US 07/16/11 C12 -13.4 51.8 3.20 39.1 490 CIGX STAR SCIENT CIGX US 08/20/11 C4 -12.8 102.0 1.15 -29.9 1061 SPY SPDR S&P 50 SPY US 05/21/11 P138 -12.7 12.2 5.40 5.1 230 ELN ELAN CORP-A ELN US 05/21/11 C6 -11.1 44.8 1.70 3.0 224 BAC BANK OF AME BAC US 08/20/11 C7 -10.0 60.2 6.80 0.0 319


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


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-0- Apr/07/2011 15:30 GMT

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