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
=============================================================================
HEAT   SMARTHEAT I  HEAT US 12/17/11 C1       71.8  85.8   1.05  -48.8    279
SHZ    CHINA SHEN   SHZ US 06/18/11 C2.5      63.8 134.9   1.80   33.3    600
NXPI   NXP SEMICON  NXPI US 07/16/11 C22.5    29.6  57.8   6.70  -36.2    200
WPP    WAUSAU PAPE  WPP US 10/22/11 P7.5      27.6  41.8   0.85    0.0    971
SLW    SILVER WHEA  SLW US 01/21/12 C15       24.4  64.0  20.30    6.0    466
EXPE   EXPEDIA INC  EXPE US 07/16/11 C22      23.8  33.1   4.65   29.2   2000
KV/A   KV PHARM-A   KVA US 12/17/11 P2.5      19.8 180.2   1.25    8.7   1893
ARLP   ALLIANCE RE  ARLP US 06/18/11 P60      19.7  49.7   0.90    0.0    300
AVNR   AVANIR PHAR  AVNR US 06/18/11 C4       18.9  30.3   0.40   60.0    398
SPWRB  SUNPOWER CO  SPWRB US 09/17/11 C20     15.8  11.8   1.10  -31.2    519
SHPGY  SHIRE PLC-A  SHPGY US 06/18/11 C90     14.9  27.0   6.10   52.5    292
EXPE   EXPEDIA INC  EXPE US 06/18/11 C27      14.6  26.7   0.60  252.9   1033
IDCC   INTERDIGITA  IDCC US 06/18/11 P36      13.7  50.7   0.35   40.0    498
PWER   POWER-ONE I  PWER US 01/21/12 C5       13.7  54.8   4.10    7.9    235
NLY    ANNALY CAPI  NLY US 06/18/11 C16       13.2  22.7   1.87   -1.1    220
WRLD   WORLD ACCEP  WRLD US 06/18/11 P55      13.0  47.5   1.20   33.3    332
YONG   YONGYE INTE  YONG US 06/18/11 P3       12.8 228.6   0.40   60.0    589
TGT    TARGET CORP  TGT US 01/19/13 C35       12.5  31.4  16.00   -2.4    221
XLU    SPDR-UTIL S  XLU US 06/18/11 C33       11.9  14.9   1.13  -14.4   2262
SYMC   SYMANTEC CO  SYMC US 06/18/11 P20      11.7  33.3   0.95    4.4    376
EMS    EMERGENCY M  EMS US 06/18/11 C60       11.5  15.2   4.00    2.6    566
BZ     BOISE INC    BZ US 06/18/11 P8.2       11.0  41.3   0.55   22.2    566
NEOP   NEOPROBE CO  NEOP US 06/18/11 C5       10.7  70.3   0.50   16.3   2575
EUO    PROSH-UL/SH  EUO US 08/20/11 C16       10.5  30.2   2.00   -4.8    321
EXXI   ENERGY XXI   EXXI US 06/18/11 P25      10.4  77.3   0.30  -33.3    300
SYMC   SYMANTEC CO  SYMC US 06/18/11 C20      10.1  33.2   0.59   13.5   6179
PFE    PFIZER INC   PFE US 06/18/11 P17       10.0  40.2   0.02  100.0   1020

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SPLS   STAPLES INC  SPLS US 06/18/11 P15     -44.0  35.2   0.15   50.0   1009
SPLS   STAPLES INC  SPLS US 06/18/11 P16     -43.2  32.0   0.35  250.0    389
UTX    UNITED TECH  UTX US 08/20/11 C60      -36.2  36.9  27.10   -0.6    308
DUK    DUKE ENERGY  DUK US 07/16/11 C18      -33.7  16.3   1.18  -21.3    443
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1      -30.1  40.1   1.18    7.3    715
EK     EASTMAN KOD  EK US 10/22/11 P3.5      -30.1  59.2   0.58  -37.6   5465
EK     EASTMAN KOD  EK US 10/22/11 P3        -27.8  61.7   0.34  -45.2   3374
EK     EASTMAN KOD  EK US 10/22/11 C3.5      -26.0  63.9   0.52   -5.5    426
DELL   DELL INC     DELL US 06/18/11 C17     -24.6  28.6   0.39   39.3   7105
DELL   DELL INC     DELL US 06/18/11 P17     -24.4  28.7   0.77  -45.0   1372
EK     EASTMAN KOD  EK US 07/16/11 P3.5      -23.5  74.4   0.48  -38.5   9111
DELL   DELL INC     DELL US 06/18/11 C16     -22.3  30.9   0.97   38.6   4153
DELL   DELL INC     DELL US 06/18/11 P16     -21.1  31.0   0.33  -58.8   4452
EK     EASTMAN KOD  EK US 10/22/11 P2.5      -20.9  69.9   0.20  -50.0    284
SPLS   STAPLES INC  SPLS US 06/18/11 P17     -20.8  30.6   0.80 1500.0    527
OKS    ONEOK PARTN  OKS US 07/16/11 P75      -20.8  25.9   1.35  200.0    540
EK     EASTMAN KOD  EK US 01/21/12 C3.5      -20.4  62.3   0.64   12.3   1043
EK     EASTMAN KOD  EK US 07/16/11 P3        -19.6  78.5   0.23  -46.5   3474
EK     EASTMAN KOD  EK US 07/16/11 C3.5      -19.6  79.0   0.38   15.2   7173
SODA   SODASTREAM   SODA US 06/18/11 C50     -18.8  57.0   2.25   40.6    332
EK     EASTMAN KOD  EK US 06/18/11 P3.5      -18.8  72.5   0.34  -41.4   2420
SPLS   STAPLES INC  SPLS US 09/17/11 C17     -18.7  29.8   0.85  -76.4    364
EK     EASTMAN KOD  EK US 01/21/12 P3        -18.4  65.1   0.48  -33.3    585
EK     EASTMAN KOD  EK US 06/18/11 P3        -17.6  70.9   0.12  -53.9    425
DELL   DELL INC     DELL US 06/18/11 P15     -16.3  34.4   0.12  -68.4    951
EK     EASTMAN KOD  EK US 07/16/11 C3        -16.1  81.2   0.65   20.4    820
EK     EASTMAN KOD  EK US 01/21/12 P2.5      -15.9  68.1   0.28  -41.7   5828
EK     EASTMAN KOD  EK US 07/16/11 P2.5      -15.1  81.8   0.07  -66.7    347
DELL   DELL INC     DELL US 06/18/11 C15     -14.9  35.0   1.78   38.0    338
EK     EASTMAN KOD  EK US 06/18/11 C3        -14.4  75.0   0.56   51.4   2493
MWE    MARKWEST EN  MWE US 06/18/11 P41      -13.7  39.2   0.70    0.0    510
TGT    TARGET CORP  TGT US 06/18/11 P50      -13.7  21.4   1.37   24.6    389
NLY    ANNALY CAPI  NLY US 06/18/11 P18      -13.6  10.5   0.34    0.0   1502
TGT    TARGET CORP  TGT US 06/18/11 P49      -13.6  22.1   0.96   24.7    204
GA     GIANT INTER  GA US 06/18/11 C7.5      -13.5  29.6   0.80  -50.0   1327
C      CITIGROUP I  C1 US 07/16/11 P4.5      -13.4  22.3   0.41   -4.7    444
TGT    TARGET CORP  TGT US 06/18/11 P48      -13.2  22.8   0.66   26.9    219
NDN    99 CENTS ON  NDN US 06/18/11 P20      -13.0  30.4   0.55   -8.3    310
LYB    LYONDELLBAS  LYB US 06/18/11 P40      -12.8  35.6   1.70  -29.8    225
EK     EASTMAN KOD  EK US 06/18/11 C3.5      -12.8  76.5   0.22   22.2    896
DELL   DELL INC     DELL US 06/18/11 P14     -12.7  38.3   0.04  -73.3    472
DE     DEERE & CO   DE US 06/18/11 C87.5     -12.5  27.8   1.84  -36.5   1150
URBN   URBAN OUTFI  URBN US 06/18/11 P30     -12.4  32.8   0.35    0.0    301
EGLE   EAGLE BULK   EGLE US 06/18/11 P3      -12.3  46.4   0.20  -13.0   5360
DE     DEERE & CO   DE US 06/18/11 C85       -12.3  28.7   2.95  -33.0   3075
DE     DEERE & CO   DE US 06/18/11 P82.5     -12.2  29.4   1.65    5.1    630
DE     DEERE & CO   DE US 06/18/11 P85       -12.1  28.7   2.59    6.6   1837
AKS    AK STEEL HL  AKS US 06/18/11 P11      -12.0  48.9   0.02  -77.8    324
TGT    TARGET CORP  TGT US 06/18/11 C50      -11.7  22.1   1.00  -47.6    916
SFN    SFN GROUP I  SFN US 09/17/11 P10      -11.7  46.3   1.05    5.0    200
DE     DEERE & CO   DE US 06/18/11 P80       -11.6  30.9   1.02    1.0    503
XLI    SPDR-INDU S  XLI US 06/18/11 P37      -11.6  19.7   0.76  -22.4   4573
SPLS   STAPLES INC  SPLS US 06/18/11 C17     -11.5  29.9   0.40  -85.7    426
DE     DEERE & CO   DE US 06/18/11 P75       -11.4  34.6   0.35  -16.7    315
DE     DEERE & CO   DE US 06/18/11 P87.5     -11.4  27.9   3.94   11.0    310
EK     EASTMAN KOD  EK US 07/16/11 C2.5      -10.7  86.1   1.01   21.7   1549
NEOP   NEOPROBE CO  NEOP US 10/22/11 C5      -10.5  42.2   0.70    2.9    250
XLF    SPDR-FINL S  XLF US 06/18/11 P15      -10.3  20.9   0.09  -30.8   5027
XLF    SPDR-FINL S  XLF US 06/18/11 P16      -10.2  17.2   0.41   -8.9  19257
BEXP   BRIGHAM EXP  BEXP US 06/18/11 P26     -10.2  52.6   0.60  -55.6    250

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

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