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
=============================================================================
BLL    BALL CORP    BLL US 08/20/11 C32.5     67.6  31.4   6.90   35.3   2100
MHS    MEDCO HEALT  MHS US 06/18/11 C55       55.9  36.7   9.78    2.4    280
EWT    ISHARES-TAI  EWT US 06/18/11 C14       45.4  31.1   1.58    2.6    200
AUY    YAMANA GOLD  AUY US 06/18/11 C10       33.3  46.3   2.16    8.0   3020
CHRW   CH ROBINSON  CHRW US 01/21/12 C62.5    32.4  27.7  18.80   50.4    392
ARIA   ARIAD PHARM  ARIA US 06/18/11 P8       31.1  83.7   0.35   75.0    306
CHRW   CH ROBINSON  CHRW US 08/20/11 C67.5    29.7  26.5  13.15    0.0    750
GS     GOLDMAN SAC  GS US 06/18/11 C120       21.3  36.0  19.55   -7.8    211
AET    AETNA INC    AET US 07/16/11 C35       21.0  39.4  10.55   34.4    400
DPZ    DOMINO'S PI  DPZ US 09/17/11 C20       20.6  33.1   4.90   22.5    285
TMO    THERMO FISH  TMO US 06/18/11 P60       20.2  26.1   0.25  -73.7   1004
HRB    H&R BLOCK I  HRB US 06/18/11 P12       18.9  83.2   0.05    0.0    200
SNY    SANOFI-ADR   SNY US 09/17/11 C30       18.9  33.4   9.10   12.3    200
CTL    CENTURYLINK  CTL US 06/18/11 C41       18.7  21.9   2.10   -1.4    597
DOLE   DOLE FOOD C  DOLE US 10/22/11 P10      15.7  47.6   0.30   20.0    293
FIRE   SOURCEFIRE   FIRE US 06/18/11 C25      13.8  51.6   1.15   32.2    553
BAC    BANK OF AME  BAC US 06/18/11 C10       13.6  38.1   1.76   -2.2    245
PCS    METROPCS CO  PCS US 06/18/11 C17       13.5  36.7   1.70   -5.6    205
CCJ    CAMECO CORP  CCJ US 06/18/11 C26       13.1  42.3   1.95   -9.3    473
LVLT   LEVEL 3 COM  LVLT US 09/17/11 C1.5     13.0  53.6   0.45    4.7    384
MDY    SPDR S&P MI  MDY US 06/18/11 C175      12.3  21.0   7.03   -2.4    405
HERO   HERCULES OF  HERO US 06/18/11 C6       12.1  60.6   0.55   22.2    319
SD     SANDRIDGE E  SD US 06/18/11 C9         11.7  65.3   1.89    6.2   5500
WTS    WATTS WATER  WTS US 06/18/11 P35       11.4  28.6   1.00   -4.8    200
VXX    IPATH-S&P S  VXX US 06/18/11 P20       11.1  52.0   0.29   26.1   1229
ENTR   ENTROPIC CO  ENTR US 06/18/11 P7.5     11.0  60.0   0.11  -26.7    500
S      SPRINT NEXT  S US 06/18/11 C4          11.0  66.1   1.21   -0.8    628
VXX    IPATH-S&P S  VXX US 06/18/11 C23       10.7  63.2   1.64    2.5   1968
SHZ    CHINA SHEN   SHZ US 06/18/11 C2.5      10.5 102.8   1.90   -2.6    209
SLE    SARA LEE CO  SLE US 07/16/11 C20       10.5  22.5   0.55   83.3   1841
VGR    VECTOR GROU  VGR US 11/19/11 P17.5     10.1  29.1   1.00   -4.8    200

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
JACK   JACK IN THE  JACK US 06/18/11 C22.5   -30.4  30.3   0.55    0.0    703
AAP    ADVANCE AUT  AAP US 06/18/11 P60      -28.4  29.1   0.95  216.7    266
MBT    MOBILE TELE  MBT US 01/21/12 P17.5    -27.7  33.9   1.10   46.7   1000
AAP    ADVANCE AUT  AAP US 06/18/11 P65      -26.0  26.1   3.19  275.3    690
BIG    BIG LOTS IN  BIG US 06/18/11 P32.5    -25.4  37.8   0.80  100.0   1292
BIG    BIG LOTS IN  BIG US 06/18/11 P35      -25.1  37.5   2.10  110.0   2882
WTNY   WHITNEY HLD  WTNY US 12/17/11 C12.5   -24.9  28.1   1.65    0.0    253
BIG    BIG LOTS IN  BIG US 06/18/11 C35      -24.4  37.4   0.95  -81.7   2799
VIP    VIMPELCOM L  VIP US 06/18/11 C14      -23.9  25.1   0.30  -33.3    200
BIG    BIG LOTS IN  BIG US 07/16/11 P32.5    -23.9  34.9   1.20   50.0    938
MWE    MARKWEST EN  MWE US 06/18/11 P45      -21.4  25.9   1.55  -11.4    300
PETM   PETSMART IN  PETM US 06/18/11 C45     -21.3  22.7   1.00  100.0    365
WSM    WILLIAMS-SO  WSM US 06/18/11 P40      -20.8  33.2   1.30   62.5    410
UNG    US NAT GAS   UNG US 06/18/11 P9       -20.0  33.2   0.01    0.0    327
GME    GAMESTOP CO  GME US 06/18/11 C26      -19.6  32.2   0.59  -61.9    336
NDN    99 CENTS ON  NDN US 06/18/11 P20      -19.6  24.1   0.40  -27.3    726
XCO    EXCO RESOUR  XCO US 06/18/11 C21      -17.2  22.0   0.20  -33.3   1324
USU    USEC INC     USU US 07/16/11 C4       -16.8  57.4   0.45  -10.0    207
GSIC   GSI COMMERC  GSIC US 07/16/11 C26     -16.4  22.5   3.30   -2.9   3150
NTES   NETEASE.COM  NTES US 06/18/11 P47     -16.3  38.5   2.21  -35.0    240
WRLD   WORLD ACCEP  WRLD US 07/16/11 C60     -16.1  40.6   3.90  -53.0    627
MPEL   MELCO CROWN  MPEL US 06/18/11 C10     -15.8  53.0   0.85    6.2   1407
ROST   ROSS STORES  ROST US 06/18/11 P80     -14.9  25.6   2.10    5.0    320
ROST   ROSS STORES  ROST US 06/18/11 C82.5   -14.3  24.4   1.40  -38.3    368
C      CITIGROUP I  C1 US 06/18/11 P4.5      -13.8  18.3   0.38   -2.6    554
GME    GAMESTOP CO  GME US 07/16/11 C26      -13.7  32.7   0.85  -54.0    242
TLCR   TALECRIS BI  TLCR US 06/18/11 P27.5   -13.6  39.9   0.95  -17.4    681
NTES   NETEASE.COM  NTES US 06/18/11 C46     -13.5  39.8   2.64    7.8    232
NTES   NETEASE.COM  NTES US 06/18/11 C47     -13.4  39.3   1.90    0.0    340
CEDC   CENTRAL EUR  CEDC US 12/17/11 P11     -13.0  48.4   1.45   -9.4   2938
DG     DOLLAR GENE  DG US 06/18/11 P35       -12.8  25.1   1.35    0.0    800
MWE    MARKWEST EN  MWE US 06/18/11 P41      -12.8  32.9   0.25  -64.3    301
LTD    LIMITED BRA  LTD US 06/18/11 C42      -12.2  28.6   0.70  -61.1    420
EGLE   EAGLE BULK   EGLE US 09/17/11 P2.5    -12.2  45.2   0.20    0.0    599
CEDC   CENTRAL EUR  CEDC US 09/17/11 P7.5    -11.8  69.5   0.30  -40.0    298
CHU    CHINA UNICO  CHU US 06/18/11 P20      -11.8  32.5   0.60  -50.0    200
EGLE   EAGLE BULK   EGLE US 06/18/11 P2.5    -11.7  59.2   0.10    0.0    851
NLY    ANNALY CAPI  NLY US 07/16/11 C15      -11.7  21.9   2.95    5.4    200
HANS   HANSEN NATU  HANS US 06/18/11 C65     -11.2  30.1   4.50    4.7   1500
CEDC   CENTRAL EUR  CEDC US 09/17/11 P10     -11.2  53.8   0.65  -27.8    562
MPEL   MELCO CROWN  MPEL US 07/16/11 C10     -11.2  53.4   1.10   10.0    277
EK     EASTMAN KOD  EK US 06/18/11 C3.5      -10.8  72.2   0.35   -2.8    357
SPWRB  SUNPOWER CO  SPWRB US 06/18/11 P21    -10.7  29.4   0.60  -33.3    622
AMD    ADV MICRO D  AMD US 06/18/11 C6       -10.4  55.5   2.61    0.4    215
FLO    FLOWERS FOO  FLO US 06/18/11 C32.5    -10.1  21.4   0.90  260.0    255
AAP    ADVANCE AUT  AAP US 09/17/11 P60      -10.0  28.3   2.70   86.2   1461

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

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