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
=============================================================================
MELI   MERCADOLIBR  MELI US 06/18/11 C67.5    99.5  76.2  19.30    9.0    600
SPY    SPDR S&P 50  SPY US 06/18/11 C118      80.7  27.1  14.09   -2.4    211
BEXP   BRIGHAM EXP  BEXP US 06/18/11 C23      67.5  72.6   7.30   21.7    500
ARNA   ARENA PHARM  ARNA US 06/18/11 C1.5     54.7  77.7   0.11  450.0   1031
AVNR   AVANIR PHAR  AVNR US 06/18/11 C3.5     41.8  73.7   1.00    0.0    294
RST    ROSETTA STO  RST US 06/18/11 P12.5     38.8  76.3   0.70  250.0   1932
C      CITIGROUP I  C1 US 09/17/11 P5.5       38.4  30.5   1.50   -2.6    948
SPY    SPDR S&P 50  SPY US 06/18/11 C115      37.1  30.2  17.19   -1.1    204
IWM    ISHARES-RUS  IWM US 06/18/11 C74       31.7  27.8   8.09   -0.2    263
CSC    COMPUTER SC  CSC US 06/18/11 C37.5     28.3  39.2   1.20  -82.1   1126
CIM    CHIMERA INV  CIM US 12/17/11 P3.5      28.1  22.0   0.20    0.0    225
SIRI   SIRIUS XM R  SIRI US 06/18/11 C2       27.4  62.6   0.34   -2.9    893
HRBN   HARBIN ELEC  HRBN US 06/18/11 P15      26.9 144.6   1.75   66.7   1863
YGE    YINGLI GREE  YGE US 07/16/11 P7        25.8  60.2   0.20    0.0   1639
FEED   AGFEED INDU  FEED US 01/21/12 P1       25.0 108.7   0.35   16.7    268
XLE    SPDR-ENERGY  XLE US 06/30/11 C61       24.9  40.2  14.45   28.4    210
ARNA   ARENA PHARM  ARNA US 06/18/11 P1.5     24.2  81.6   0.12  -42.9    262
ARNA   ARENA PHARM  ARNA US 07/16/11 C1.5     24.2  88.4   0.20   66.7    695
EBIX   EBIX INC     EBIX US 06/18/11 P19      22.5  51.3   0.65    0.0    236
SPU    SKYPEOPLE F  SPU US 06/18/11 P2.5      21.1 258.0   0.40    0.0    235
HRBN   HARBIN ELEC  HRBN US 09/17/11 P12.5    20.3 130.7   2.60   44.4    752
SD     SANDRIDGE E  SD US 01/19/13 C2.5       20.3  74.9   8.80   12.1    601
SONS   SONUS NETWO  SONS US 10/22/11 C2.5     19.5  63.7   0.85   13.3    201
HRBN   HARBIN ELEC  HRBN US 06/18/11 C10      19.0 167.2   6.50  -14.5    875
DWA    DREAMWORKS   DWA US 06/18/11 P25       18.8  36.6   0.40  -48.0   1030
HRBN   HARBIN ELEC  HRBN US 09/17/11 P15      18.8 116.6   3.40   33.3   2070
IWM    ISHARES-RUS  IWM US 06/18/11 C75       18.7  26.7   7.18    1.1    293
ABT    ABBOTT LABS  ABT US 06/18/11 P52.5     17.4  16.9   1.25   92.3    602
QPSA   QUEPASA COR  QPSA US 07/16/11 C7.5     17.1  94.6   1.00   81.8    263
DPZ    DOMINO'S PI  DPZ US 07/16/11 P24       16.4  29.5   0.85   21.4   1438
HRBN   HARBIN ELEC  HRBN US 06/18/11 P12.5    15.8 161.9   0.95   86.3   2470
SPY    SPDR S&P 50  SPY US 06/18/11 C126      15.6  19.1   6.33   -6.9    525
HRBN   HARBIN ELEC  HRBN US 09/17/11 P10      15.3 143.4   1.80  111.8    327
EBIX   EBIX INC     EBIX US 06/18/11 P20      15.2  48.4   1.15   -8.0    787
DIA    SPDR DJIA T  DIA US 06/18/11 C120      14.8  17.2   3.95   -9.2    379
HWD    HARRY WINST  HWD US 06/18/11 P15       13.8  60.0   0.25   25.0    750
SPY    SPDR S&P 50  SPY US 06/18/11 C127      13.7  18.3   5.55   -9.8    432
HRBN   HARBIN ELEC  HRBN US 07/16/11 P12.5    13.4 148.5   1.60   45.5    435
COH    COACH INC    COH US 06/18/11 P55       13.3  36.5   0.20  -33.3    519
GEN    GENON ENERG  GEN US 08/20/11 C4        12.5  43.9   0.35    0.0    250
ABT    ABBOTT LABS  ABT US 06/18/11 C52.5     12.5  16.7   0.55  -48.1   1340
JBLU   JETBLUE AIR  JBLU US 06/18/11 P6       12.4  35.9   0.30   20.0    224
TIF    TIFFANY & C  TIF US 06/18/11 P62.5     12.3  46.4   0.16  -68.0    660
BKS    BARNES & NO  BKS US 01/19/13 C20       11.6  20.9   2.00   11.1   6806
XOM    EXXON MOBIL  XOM US 06/18/11 P85       11.3  17.3   3.65   12.0    201
TIF    TIFFANY & C  TIF US 08/20/11 P57.5     11.2  41.0   0.46  -47.1    667
SPY    SPDR S&P 50  SPY US 06/18/11 C128      11.2  17.6   4.71   -6.9   2378
LDK    LDK SOLAR C  LDK US 06/18/11 P6        11.2  86.8   0.29  -27.5    280
DIA    SPDR DJIA T  DIA US 06/18/11 C122      11.1  15.5   2.41  -19.7   1356
FDO    FAMILY DOLL  FDO US 06/18/11 C57.5     11.0  23.9   0.70  133.3    542
COH    COACH INC    COH US 06/18/11 P57.5     10.6  32.1   0.35  -46.1    747
HRBN   HARBIN ELEC  HRBN US 06/18/11 C12.5    10.3 145.6   4.20  -22.2    578
IWM    ISHARES-RUS  IWM US 06/18/11 C77       10.1  25.1   5.34   -1.8    269
QPSA   QUEPASA COR  QPSA US 06/18/11 C7.5     10.0  88.8   0.75  150.0   3531

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
LVLT   LEVEL 3 COM  LVLT US 06/18/11 C2      -46.0  29.1   0.25    4.2    650
GES    GUESS? INC   GES US 07/16/11 P45      -45.5  33.0   2.40    0.0    315
GES    GUESS? INC   GES US 06/18/11 P44      -39.1  32.9   1.10  -75.0    258
CHBT   CHINA-BIOTI  CHBT US 06/18/11 C5      -37.4  96.9   3.30    3.1    478
CSC    COMPUTER SC  CSC US 06/18/11 P32.5    -37.0  42.8   0.20  300.0    240
GES    GUESS? INC   GES US 06/18/11 P43      -34.7  33.6   0.75  -83.4   1423
NDN    99 CENTS ON  NDN US 06/18/11 P20      -31.4  20.0   0.30  -33.3   2096
COCO   CORINTHIAN   COCO US 06/18/11 P3.5    -31.1  52.4   0.10    0.0    549
GES    GUESS? INC   GES US 06/18/11 C45      -30.1  32.1   1.30  225.0   1412
GES    GUESS? INC   GES US 06/18/11 P45      -29.9  32.2   1.65  -76.4    507
UPI    UROPLASTY I  UPI US 08/20/11 P7.5     -28.2  49.3   0.75  -58.3    520
WBC    WABCO HOLDI  WBC US 06/18/11 P70      -28.0  33.0   3.30  -23.3    219
HGG    HHGREGG INC  HGG US 06/18/11 C15      -28.0  44.4   0.50  100.0   1174
GES    GUESS? INC   GES US 06/18/11 C46      -27.5  31.2   0.95  295.8    248
BIG    BIG LOTS IN  BIG US 06/18/11 C32.5    -27.1  31.7   0.65  -49.2    727
SU     SUNCOR ENER  SU US 06/18/11 C35       -26.2  35.7   6.50    0.0    625
FBP    FIRST BANCO  FBP US 06/18/11 C4.5     -26.1  54.1   0.35    0.0    200
JNJ    JOHNSON&JOH  JNJ US 10/22/11 C50      -25.3  26.3  15.65   -4.6    231
SIG    SIGNET JEWE  SIG US 06/18/11 C40      -25.0  36.6   5.00   19.1    391
FSIN   FUSHI COPPE  FSIN US 06/18/11 P5      -24.9 109.9   0.10  -66.7    200
NTAP   NETAPP INC   NTAP US 06/18/11 C55     -24.9  28.4   1.65  103.7   4027
NTAP   NETAPP INC   NTAP US 06/18/11 C52.5   -24.6  29.8   3.30   90.8   1369
NTAP   NETAPP INC   NTAP US 06/18/11 P55     -24.1  28.4   1.46  -64.0    480
HNZ    HJ HEINZ CO  HNZ US 06/18/11 C55      -23.7  11.5   0.15  -25.0    737
BIG    BIG LOTS IN  BIG US 06/18/11 P32.5    -23.2  32.2   1.45    0.0    509
NTAP   NETAPP INC   NTAP US 06/18/11 P52.5   -23.0  29.8   0.58  -76.4    786
NTAP   NETAPP INC   NTAP US 06/18/11 C57.5   -22.2  28.2   0.69  130.0   5154
NTAP   NETAPP INC   NTAP US 06/18/11 P50     -21.8  32.7   0.21  -84.7   5482
AVNR   AVANIR PHAR  AVNR US 06/18/11 C4.5    -21.6  39.5   0.15    0.0    225
DVAX   DYNAVAX TEC  DVAX US 06/18/11 C2.5    -21.4 142.4   0.25  -37.5    276
GES    GUESS? INC   GES US 06/18/11 P40      -20.4  39.5   0.21  -89.8    409
RBCN   RUBICON TEC  RBCN US 07/16/11 P24     -20.3  51.4   2.40    0.0    213
FRPT   FORCE PROTE  FRPT US 06/18/11 C5      -20.3  36.3   0.10  -33.3   1066
CSC    COMPUTER SC  CSC US 06/18/11 P35      -20.2  40.6   0.75  650.0   1678
NTAP   NETAPP INC   NTAP US 06/18/11 P57.5   -20.1  29.0   3.01  -50.2    230
SPY    SPDR S&P 50  SPY US 06/18/11 P136     -19.1  11.2   4.94    4.4    843
BMTI   BIOMIMETIC   BMTI US 06/18/11 C8      -19.0  45.3   0.40  -11.1    321
TIF    TIFFANY & C  TIF US 06/18/11 C80      -18.8  26.4   0.60  328.6    834
TIF    TIFFANY & C  TIF US 06/18/11 C77.5    -18.2  27.1   1.33  329.0    926
JNJ    JOHNSON&JOH  JNJ US 01/21/12 C50      -17.5  24.2  15.75   -3.1    584
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1      -17.3  44.5   1.35    2.3    510
NTAP   NETAPP INC   NTAP US 06/18/11 C50     -17.3  33.9   5.42   74.8    936
RBCN   RUBICON TEC  RBCN US 09/17/11 P24     -17.1  58.2   3.60  -12.2    408
NTAP   NETAPP INC   NTAP US 06/18/11 P48     -16.9  35.9   0.13  -82.9    450
TIF    TIFFANY & C  TIF US 06/18/11 C75      -15.9  28.5   2.46  251.4   2541
TSLA   TESLA MOTOR  TSLA US 06/18/11 P29     -15.8  52.6   1.70  -15.0    201
TSLA   TESLA MOTOR  TSLA US 06/18/11 P26     -15.7  54.3   0.55  -15.4    462
GES    GUESS? INC   GES US 06/18/11 P38      -15.1  43.8   0.15  -88.5    207
RBCN   RUBICON TEC  RBCN US 07/16/11 P22     -15.0  53.7   1.30  -31.6    397
TIF    TIFFANY & C  TIF US 06/18/11 P75      -14.9  29.2   1.71  -71.3   1013
CRR    CARBO CERAM  CRR US 06/18/11 P125     -14.9  47.7   0.40  -46.0    856
GLUU   GLU MOBILE   GLUU US 06/18/11 C5      -14.3  82.8   0.35    0.0    836
TKLC   TEKELEC      TKLC US 11/19/11 P9      -14.2  39.8   1.20  -11.8   1134
BAC    BANK OF AME  BAC US 06/18/11 C10      -13.3  31.9   1.46    2.8    395
TIF    TIFFANY & C  TIF US 06/18/11 P72.5    -13.3  30.8   1.02  -75.4   1563
CIT    CIT GROUP I  CIT US 06/18/11 C40      -13.2  23.2   1.73  -41.0   1380
VXX    IPATH-S&P S  VXX US 06/18/11 C22      -12.3  51.4   1.65   -5.7    312
AIG    AMERICAN IN  AIG US 06/18/11 P28      -12.2  31.0   0.54  -39.3    548
JNJ    JOHNSON&JOH  JNJ US 10/22/11 C55      -12.2  22.7  10.87   -3.0    368
SMT    SMART TECHN  SMT US 06/18/11 P7.5     -12.0  47.3   0.50  -16.7    300
UUP    POWERSHARES  UUP US 06/18/11 C21      -11.7   9.2   0.68   -9.3    367
AMR    AMR CORP     AMR US 01/21/12 C5       -11.6  53.8   1.79   -3.2    246
TIF    TIFFANY & C  TIF US 06/18/11 C72.5    -11.6  31.0   4.50  208.2    988
AMAT   APPLIED MAT  AMAT US 06/18/11 C13     -10.9  27.7   0.62  -31.1    385
WIN    WINDSTREAM   WIN US 06/18/11 C13      -10.8  16.1   0.33  -28.3    259
FE     FIRSTENERGY  FE US 06/18/11 C43       -10.5  18.8   1.48  -10.3    213
RL     POLO RALPH   RL US 06/18/11 C120      -10.4  25.6   1.25   -7.4    679
GLD    SPDR GOLD T  GLD US 06/18/11 C142     -10.4  15.4   6.30  -10.0    201
NTAP   NETAPP INC   NTAP US 07/16/11 C57.5   -10.4  29.9   1.50   92.3    276
SPY    SPDR S&P 50  SPY US 06/18/11 P128     -10.4  17.3   0.94    2.2  24450
ALEX   ALEXANDER &  ALEX US 06/18/11 C50     -10.2  28.3   1.25  -21.9    380
JNJ    JOHNSON&JOH  JNJ US 01/21/12 C52.5    -10.1  22.8  13.40   -2.9    667
NTAP   NETAPP INC   NTAP US 07/16/11 P55     -10.1  30.6   2.33  -47.6    210

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

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