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
=============================================================================
SPY    SPDR S&P 50  SPY US 06/18/11 P141     156.4  11.2   7.27    6.3    672
DUK    DUKE ENERGY  DUK US 06/18/11 P20       52.1  13.6   1.05    1.0    270
CEPH   CEPHALON IN  CEPH US 06/18/11 P80      30.8   4.2   0.50    0.0    400
EDC    EMER MKT BU  EDC US 06/18/11 C30       30.2  88.5   8.00  -10.1    202
C      CITIGROUP I  C1 US 01/21/12 C2.5       26.1  35.3   1.70   -3.4    262
MO     ALTRIA GROU  MO US 09/17/11 C24        22.3  20.1   3.40    1.5   1222
SPY    SPDR S&P 50  SPY US 06/18/11 P140      21.2  10.8   6.23    6.7    636
AGNC   AMERICAN CA  AGNC US 06/18/11 C29      20.3  16.5   1.03    3.0    384
FNF    FIDELITY NA  FNF US 06/18/11 C15       19.6  20.4   0.85    6.2    362
TYC    TYCO INTL L  TYC US 06/18/11 C52.5     18.2  33.2   1.55  134.8   2031
AMRN   AMARIN CORP  AMRN US 06/18/11 C12.5    17.6  94.6   4.80    0.4    206
TYC    TYCO INTL L  TYC US 06/18/11 P49       16.8  30.1   1.05  -27.6   3682
RMBS   RAMBUS INC   RMBS US 06/18/11 P15      15.9 110.2   0.82   54.7    216
RMBS   RAMBUS INC   RMBS US 06/18/11 P16      15.9 107.1   1.12   47.4    334
TYC    TYCO INTL L  TYC US 06/18/11 P48       15.4  29.9   0.77  -10.5   1027
KBE    SPDR KBW BA  KBE US 06/18/11 C25       13.4  19.5   0.55  -26.7   5000
DF     DEAN FOODS   DF US 06/18/11 P13        12.3  40.5   0.40  -61.9    851
NVS    NOVARTIS AG  NVS US 07/16/11 C55       12.2  23.4   6.70    3.1    200
YOKU   YOUKU.COM I  YOKU US 09/17/11 P41      12.1  93.2   7.40   48.0    786
EXPE   EXPEDIA INC  EXPE US 07/16/11 P20      12.0  38.5   0.10    0.0    306
SINA   SINA CORP    SINA US 06/18/11 P110     11.2  64.8  10.10   50.8    956
MBT    MOBILE TELE  MBT US 06/18/11 C21       11.1  25.9   0.35  -22.2    327
YHOO   YAHOO! INC   YHOO US 06/18/11 P14      10.9  42.6   0.16  100.0   1492
RFMD   RF MICRO DE  RFMD US 06/18/11 C6       10.7  46.7   0.50   66.7    253
EK     EASTMAN KOD  EK US 07/16/11 P2.5       10.4  96.9   0.22  -12.0    637
DTG    DOLLAR THRI  DTG US 06/18/11 C85       10.3  24.9   1.40    0.0    285
DF     DEAN FOODS   DF US 09/17/11 P13        10.2  43.2   1.05  -51.2    551

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SPWRB  SUNPOWER CO  SPWRB US 06/18/11 P20    -20.4  30.0   0.50  -44.4    321
NVDA   NVIDIA CORP  NVDA US 06/18/11 P18     -19.3  45.6   0.71   57.8    877
NVDA   NVIDIA CORP  NVDA US 06/18/11 P19     -18.7  44.4   1.15   57.5   1462
NVDA   NVIDIA CORP  NVDA US 06/18/11 C19     -17.9  45.3   0.99  -55.4   1127
NVDA   NVIDIA CORP  NVDA US 06/18/11 C18     -17.9  46.5   1.50  -49.3    446
YOKU   YOUKU.COM I  YOKU US 06/18/11 C48     -17.3  57.4   3.40   -3.1    333
NVDA   NVIDIA CORP  NVDA US 06/18/11 P17     -17.2  48.4   0.43   53.6   1108
MMR    MCMORAN EXP  MMR US 06/18/11 C14      -16.7  55.1   2.60    0.0   2010
NVDA   NVIDIA CORP  NVDA US 06/18/11 P16     -15.9  51.4   0.20   11.1   3055
IEF    ISHARES 7-1  IEF US 06/18/11 C95      -15.6   5.9   0.90    0.0   1000
AMKR   AMKOR TECH   AMKR US 06/18/11 C6      -15.3  46.7   1.00    0.0    300
EPB    EL PASO PIP  EPB US 09/17/11 C30      -15.1  25.8   4.70  -29.9    235
EPB    EL PASO PIP  EPB US 06/18/11 C35      -14.5  19.6   0.50  -64.3    325
QQQ    POWERSH-QQQ  QQQ US 06/30/11 C49      -14.3  26.2   9.97   -1.3    232
CEPH   CEPHALON IN  CEPH US 06/18/11 C80     -13.9   3.7   0.30  -25.0    200
CA     CA INC       CA US 06/18/11 P23       -13.6  26.7   0.85   70.0    218
AMTD   TD AMERITRA  AMTD US 06/18/11 P22     -13.4  22.2   1.15   12.8   1000
IEF    ISHARES 7-1  IEF US 06/18/11 C92      -12.6   4.7   3.30   10.0   1000
C      CITIGROUP I  C1 US 09/17/11 P6        -12.6  30.8   1.80    0.0   1005
NVDA   NVIDIA CORP  NVDA US 06/18/11 P15     -12.2  56.0   0.13   18.2    386
YOKU   YOUKU.COM I  YOKU US 09/17/11 C45     -12.0  53.6   6.10  -35.1    735
SHPGY  SHIRE PLC-A  SHPGY US 06/18/11 C100   -11.7  25.5   1.45  -30.9    510
SINA   SINA CORP    SINA US 06/18/11 C80     -11.6  61.1  27.50  -28.2    862
TSYS   TELE SYSTEM  TSYS US 06/18/11 C5      -11.6  48.9   0.40  -20.0    458
RIC    RICHMONT MI  RIC US 06/18/11 P7.5     -11.5  75.2   0.55   37.5    400
SHPGY  SHIRE PLC-A  SHPGY US 06/18/11 C97.5  -10.7  25.9   2.50  -15.2    500
IP     INTL PAPER   IP US 10/22/11 C18       -10.5  53.8  13.92    0.0   2110
DRYS   DRYSHIPS IN  DRYS US 06/18/11 C4.5    -10.3  47.0   0.29  -23.7    505

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

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-0- May/13/2011 15:30 GMT

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