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
=============================================================================
FAZ    FINANCIAL B  FAZ US 06/18/11 C37       62.3  48.2   6.75   12.5   2900
OGZPY  GAZPROM-ADR  GAZ GR 03/17/12 P13       54.9  51.0   1.10    0.0    900
ED     CONS EDISON  ED US 11/19/11 P55        52.2  13.3   3.70   -9.8    431
KV/A   KV PHARM-A   KVA US 06/18/11 P2.5      30.3 183.7   0.47   34.3   1614
UTX    UNITED TECH  UTX US 06/18/11 C80       29.8  30.8   8.40   -4.0    690
EGLE   EAGLE BULK   EGLE US 09/17/11 P3       24.0  48.0   0.30    0.0    255
DUK    DUKE ENERGY  DUK US 06/18/11 C18       23.1  29.1   1.35    0.0    810
LZ     LUBRIZOL CO  LZ US 09/17/11 C135       22.2   2.2   0.30   20.0    309
KV/A   KV PHARM-A   KVA US 12/17/11 P2.5      20.3 142.2   1.10  100.0    567
DUK    DUKE ENERGY  DUK US 06/18/11 C17       19.9  43.6   2.35    2.2    960
DUK    DUKE ENERGY  DUK US 07/16/11 C18       19.1  22.0   1.35    3.9  18893
KV/A   KV PHARM-A   KVA US 09/17/11 P2.5      18.8 153.0   0.95   72.7   1250
NGG    NATIONAL GR  NGG US 06/18/11 P45       17.4  28.8   0.40   33.3    258
SPWRB  SUNPOWER CO  SPWRB US 07/16/11 P17     17.3  80.7   1.00   81.8    249
SPWRB  SUNPOWER CO  SPWRB US 09/17/11 P17     16.2  74.0   1.45  107.1    547
LOGI   LOGITECH IN  LOGI US 09/17/11 P10      14.9  40.4   0.20    0.0    300
IWM    ISHARES-RUS  IWM US 06/18/11 C78       14.8  25.6   4.66  -10.4    892
DUK    DUKE ENERGY  DUK US 07/16/11 C17       14.4  32.3   2.35   34.3    900
DUK    DUKE ENERGY  DUK US 06/18/11 C15       13.7  76.8   4.30    0.0   1290
UUP    POWERSHARES  UUP US 06/18/11 C20       13.0  14.8   1.69    4.3    268
SPWRB  SUNPOWER CO  SPWRB US 06/18/11 P21     12.8  28.2   0.85   13.3    400
UEC    URANIUM ENE  UEC US 08/20/11 P2.5      12.7  76.1   0.20    0.0    550
IWM    ISHARES-RUS  IWM US 06/18/11 C79       11.5  24.8   3.93  -10.1    566
MAKO   MAKO SURGIC  MAKO US 06/18/11 C25      11.1  55.9   2.25  181.2   1073
AEP    AMERICAN EL  AEP US 08/20/11 P40       10.8  17.2   2.50  -12.0    407
AEP    AMERICAN EL  AEP US 08/20/11 C40       10.8  16.9   0.65   62.5   1309
IWM    ISHARES-RUS  IWM US 06/18/11 C80       10.2  24.2   3.23   -9.8    685
GDXJ   MARKET VECT  GDXJ US 06/18/11 C30      10.0  49.7   4.66  -39.5   1500

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
INAP   INTERNAP NE  INAP US 06/18/11 P7.5    -43.0  46.0   0.45  -10.0    300
CHUX   O'CHARLEYS   CHUX US 06/18/11 C7.5    -42.0  48.8   0.30    0.0    200
WINN   WINN-DIXIE   WINN US 06/18/11 C7.5    -29.8  45.8   0.85   70.0    953
MSFT   MICROSOFT C  MSFT US 07/16/11 C15     -29.0  54.3   9.35   -3.1    207
UAL    UNITED CONT  UAL US 06/18/11 C20      -28.7  57.5   6.40   -0.8    300
RGC    REGAL ENTER  RGC US 07/16/11 C12.5    -27.0  23.3   1.15  -30.3    250
SPY    SPDR S&P 50  SPY US 06/18/11 P138     -26.1  13.2   6.40   10.0    781
FTR    FRONTIER CO  FTR US 01/19/13 C7.5     -26.1  19.5   1.40    0.0    272
ALU    ALCATEL-LUC  ALU US 09/17/11 C3       -25.6  63.0   2.85   -7.8    232
URBN   URBAN OUTFI  URBN US 06/18/11 C34     -25.0  34.6   1.00   -4.8    294
URBN   URBAN OUTFI  URBN US 06/18/11 C33     -24.3  35.2   1.35   -6.2    282
EPB    EL PASO PIP  EPB US 06/18/11 P35      -23.7  14.3   1.30   -3.7    300
HON    HONEYWELL I  HON US 06/18/11 C49      -23.4  47.6  10.20  -12.7   1710
SPY    SPDR S&P 50  SPY US 06/18/11 P137     -23.2  13.4   5.60   12.4    716
MPG    MPG OFFICE   MPG US 07/16/11 C2.5     -22.3  79.5   0.40  -46.7    300
DKS    DICK'S SPOR  DKS US 06/18/11 C41      -21.9  32.8   0.94  -44.7    206
LINE   LINN ENERGY  LINE US 07/16/11 C34     -20.6  24.4   4.15  -27.2    200
UUP    POWERSHARES  UUP US 06/18/11 C21      -20.1   8.8   0.73    4.3    330
HON    HONEYWELL I  HON US 06/18/11 C47      -20.0  55.5  12.20  -10.0   2856
SQNM   SEQUENOM IN  SQNM US 06/18/11 C8      -19.6  35.8   0.29  -19.4   1141
MSFT   MICROSOFT C  MSFT US 10/22/11 C17.5   -19.5  36.3   6.95  -15.8   1339
HON    HONEYWELL I  HON US 06/18/11 C55      -19.3  26.3   4.58  -19.4    298
HON    HONEYWELL I  HON US 06/18/11 C46      -18.0  60.6  13.20   10.0   1020
AVNR   AVANIR PHAR  AVNR US 06/18/11 C4      -17.4  34.1   0.20    0.0    355
SPY    SPDR S&P 50  SPY US 06/18/11 P135     -17.0  14.6   4.16    8.9   9168
STV    CHINA DIGIT  STV US 06/18/11 C5.52    -16.9  53.9   0.60  -40.0    200
HON    HONEYWELL I  HON US 06/18/11 C48      -16.8  54.6  11.20  -16.4   1680
SIVB   SVB FINANCI  SIVB US 06/18/11 C60     -16.8  23.8   0.70  -57.6    235
VZ     VERIZON COM  VZ US 07/16/11 C32       -16.1  24.4   5.05   -1.0    201
HPQ    HEWLETT-PAC  HPQ US 06/18/11 P33      -15.8  29.5   0.25  400.0   2737
TJX    TJX COS INC  TJX US 06/18/11 P50      -15.1  24.2   0.55   57.1    244
HON    HONEYWELL I  HON US 06/18/11 C40      -15.0  87.3  19.20   -7.3    870
SPWRA  SUNPOWER CO  SPWRA US 06/18/11 C21    -14.2  17.3   0.35  -23.9    448
HPQ    HEWLETT-PAC  HPQ US 06/18/11 P35      -13.9  27.4   0.74  393.3   7506
MSFT   MICROSOFT C  MSFT US 01/21/12 C15     -13.6  38.1   9.40   -2.1    922
HEK    HECKMANN CO  HEK US 06/18/11 C5       -13.6  51.6   0.60  -29.4   1696
MRO    MARATHON OI  MRO US 06/18/11 C45      -13.1  37.6   5.06  -18.4    477
C      CITIGROUP I  C1 US 06/18/11 P5        -12.9  30.5   0.84   -5.6    366
ED     CONS EDISON  ED US 08/20/11 C55       -12.9  12.1   0.65    8.3    361
DISH   DISH NETWOR  DISH US 06/18/11 C29     -12.7  30.4   0.85    0.0    374
REXX   REX ENERGY   REXX US 06/18/11 C12.5   -12.7  39.8   0.50   11.1    200
XLP    SPDR-CONS S  XLP US 06/18/11 P32      -12.3  12.2   0.47   -6.0  12359
HPQ    HEWLETT-PAC  HPQ US 06/18/11 C36      -12.3  27.7   1.21  -69.8    690
WMT    WAL-MART ST  WMT US 06/18/11 P57.5    -12.2  14.1   2.16    9.6    915
QQQ    POWERSH-QQQ  QQQ US 06/18/11 P59      -11.8  15.5   2.37    9.2    659
WMT    WAL-MART ST  WMT US 06/18/11 C57.5    -11.6  14.1   0.27  -46.0    801
WMT    WAL-MART ST  WMT US 06/18/11 C55      -11.4  15.3   1.30  -29.7   1673
WMT    WAL-MART ST  WMT US 06/18/11 P55      -11.4  15.2   0.73    7.3   2597
AVNR   AVANIR PHAR  AVNR US 06/18/11 P4      -11.4  76.5   0.35  -12.5    779
HPQ    HEWLETT-PAC  HPQ US 06/18/11 P37      -11.3  26.3   1.76  309.3   5900
IWM    ISHARES-RUS  IWM US 06/18/11 P85      -11.1  21.0   4.17    8.3    362
HPQ    HEWLETT-PAC  HPQ US 06/18/11 C35      -11.1  29.0   1.76  -66.2   7209
HPQ    HEWLETT-PAC  HPQ US 06/18/11 P36      -11.0  27.5   1.19  376.0   6967
DIA    SPDR DJIA T  DIA US 06/18/11 P128     -10.8  12.8   4.80   24.7    218
WMT    WAL-MART ST  WMT US 06/18/11 C52.5    -10.8  19.2   3.30  -16.5    236
MTL    MECHEL-SPON  MTL US 06/18/11 C26      -10.8  38.2   0.60  -14.3   1000
EGO    ELDORADO GO  EGO US 06/18/11 C13      -10.6  46.6   1.90  -13.6    300
SIRI   SIRIUS XM R  SIRI US 06/18/11 C2      -10.5  47.4   0.20  -23.1   1452
WMT    WAL-MART ST  WMT US 06/18/11 P52.5    -10.4  18.9   0.24  -11.1   1245
XLF    SPDR-FINL S  XLF US 06/18/11 P16      -10.3  18.9   0.52    0.0    779
SPY    SPDR S&P 50  SPY US 06/18/11 P132     -10.2  16.6   2.61    9.7  36683
ED     CONS EDISON  ED US 11/19/11 C55       -10.1  13.0   1.15    4.5   1505
XHB    SPDR S&P HO  XHB US 06/18/11 P18      -10.1  22.2   0.38   18.8   1018
EWJ    ISHARES-JAP  EWJ US 06/18/11 P8       -10.1  43.5   0.01  -50.0   1200

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

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