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 06/30/11 C120      51.1  23.2   9.87   -8.6    254
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C48       46.3  29.3   8.34  -15.1    218
SPY    SPDR S&P 50  SPY US 06/30/11 C125      34.2  19.3   5.35  -10.1   1481
CMED   CHINA MEDIC  CMED US 12/17/11 P7       30.6  92.5   1.10    0.0    412
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C49       28.2  22.7   7.36  -10.1    387
XLF    SPDR-FINL S  XLF US 07/16/11 C14       27.6  27.0   1.14  -11.6    850
SPWRA  SUNPOWER CO  SPWRA US 01/21/12 C20     27.0  15.5   1.50  -14.3    745
LO     LORILLARD I  LO US 07/16/11 P80        25.6  74.6   1.75  182.3    202
CYH    COMMUNITY H  CYH US 07/16/11 P20       25.0  73.7   0.55    0.0    761
CYOU   CHANGYOU.CO  CYOU US 10/22/11 P35      23.0  54.6   3.50   34.6    463
INCY   INCYTE CORP  INCY US 07/16/11 C15      22.8  65.1   2.35    6.8    214
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C52       21.4  22.8   4.49   -2.2    220
PTRY   PANTRY INC   PTRY US 07/16/11 C17.5    21.4  44.8   1.20  -31.4    316
CMED   CHINA MEDIC  CMED US 09/17/11 P7       21.1  97.1   0.60   33.3   1000
CYH    COMMUNITY H  CYH US 07/16/11 P23       19.4  64.4   1.15  283.3    466
PPL    PPL CORPORA  PPL US 07/16/11 C26       19.3  20.4   1.70   -8.1    513
LO     LORILLARD I  LO US 07/16/11 P90        19.3  67.7   3.70  107.9   5623
XLF    SPDR-FINL S  XLF US 08/20/11 C13       18.9  28.4   2.09   -9.1   1163
LO     LORILLARD I  LO US 07/16/11 P100       17.5  60.7   6.90   73.4   1164
SPY    SPDR S&P 50  SPY US 06/30/11 C126      17.0  18.6   4.58  -13.6    618
LO     LORILLARD I  LO US 07/16/11 P95        16.9  64.8   5.10   84.1   1039
LO     LORILLARD I  LO US 07/16/11 P105       16.9  57.2   9.45   68.8    562
DXD    PROSHARES U  DXD US 07/16/11 C16       16.8  25.0   2.20    7.3    517
SGI    SILICON GRA  SGI US 07/16/11 C18       15.7  76.3   1.70   36.0    849
PTRY   PANTRY INC   PTRY US 09/17/11 P15      15.3  41.5   0.55   48.6    204
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C53       15.0  21.6   3.76   -0.3    259
FII    FEDERATED I  FII US 10/22/11 P22.5     15.0  35.7   1.35  125.0    771
SINA   SINA CORP    SINA US 07/16/11 P80      14.9  86.9   1.15   -4.2   2081
SPY    SPDR S&P 50  SPY US 07/16/11 C124      14.8  19.3   6.40  -15.1    676
LO     LORILLARD I  LO US 07/16/11 C105       14.7  55.9   6.10  -25.6    211
SPY    SPDR S&P 50  SPY US 06/30/11 C127      13.7  17.9   3.78  -10.2   1917
HOG    HARLEY-DAVI  HOG US 07/16/11 C35       13.6  35.2   3.20   61.6    500
SPY    SPDR S&P 50  SPY US 07/16/11 C125      13.5  18.8   5.84   -3.5    627
CYTX   CYTORI THER  CYTX US 12/17/11 C2.5     13.4 113.9   2.90   -1.0    619
SGI    SILICON GRA  SGI US 07/16/11 C17       13.1  77.1   2.35   30.6   1572
HOG    HARLEY-DAVI  HOG US 07/16/11 P35       12.9  34.7   0.66  -32.0    258
FMCN   FOCUS MEDIA  FMCN US 07/16/11 P25      12.7  59.1   0.55   83.3   8031
SINA   SINA CORP    SINA US 07/16/11 P85      12.6  83.8   2.00    9.9    234
MYGN   MYRIAD GENE  MYGN US 07/16/11 P21      12.6  50.4   0.35    0.0    500
XLF    SPDR-FINL S  XLF US 07/16/11 C15       12.3  22.1   0.44  -15.4   5599
LO     LORILLARD I  LO US 09/17/11 P80        12.3  55.8   3.25   79.6    343
LO     LORILLARD I  LO US 09/17/11 C100       12.2  47.3  10.60  -21.0   1014
SPY    SPDR S&P 50  SPY US 07/16/11 C126      12.1  18.2   5.05   -6.7   1730
SINA   SINA CORP    SINA US 07/16/11 P100     12.1  78.6   5.60    9.8   1194
MCO    MOODY'S COR  MCO US 08/20/11 C33       12.1  36.5   6.25    4.2    400
ABT    ABBOTT LABS  ABT US 07/16/11 P48       12.0  21.6   0.39    2.6    467
GPRO   GEN-PROBE    GPRO US 08/20/11 P75      11.8  41.5   6.79  188.9    227
RAI    REYNOLDS AM  RAI US 07/16/11 P39       11.8  21.0   1.55   -3.1   1013
RF     REGIONS FIN  RF US 07/16/11 C6         11.7  42.2   0.40  -24.5    597
RF     REGIONS FIN  RF US 07/16/11 P6         11.7  42.9   0.26   44.4    601
C      CITIGROUP I  C1 US 09/17/11 C5         11.6  29.5   0.02    0.0    437
HOG    HARLEY-DAVI  HOG US 07/16/11 P37       11.5  33.4   1.31  -29.6    334
SPY    SPDR S&P 50  SPY US 06/30/11 C128      11.3  17.3   3.12   -9.6   2582
HOG    HARLEY-DAVI  HOG US 07/16/11 P36       11.3  33.9   0.99  -34.4    272
PKD    PARKER DRIL  PKD US 10/22/11 C5        10.9  52.5   1.20  -14.3    683
CMED   CHINA MEDIC  CMED US 01/21/12 P7.5     10.7  83.3   1.40   33.3   1485
FMCN   FOCUS MEDIA  FMCN US 07/16/11 C27      10.7  54.3   3.30  -35.3    904
JNPR   JUNIPER NET  JNPR US 07/16/11 P25      10.7  51.3   0.17  -15.0    304
NLY    ANNALY CAPI  NLY US 07/16/11 P18       10.4  11.3   0.48   -5.9    342
SPY    SPDR S&P 50  SPY US 06/30/11 C129      10.4  16.7   2.46  -10.6   3291
C      CITIGROUP I  C1 US 07/16/11 C4.5       10.4  28.9   0.01  -50.0   2089
RF     REGIONS FIN  RF US 08/20/11 P6         10.2  43.2   0.39   34.5    225
SINA   SINA CORP    SINA US 07/16/11 P90      10.1  81.1   2.78    6.5    317

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
UTHR   UNITED THER  UTHR US 07/16/11 P55     -61.5  34.2   0.90  -76.9    308
UTHR   UNITED THER  UTHR US 07/16/11 C60     -60.6  36.7   2.25  -74.1    805
UTHR   UNITED THER  UTHR US 08/20/11 P55     -52.2  32.7   1.70  -58.5   1423
UTHR   UNITED THER  UTHR US 08/20/11 P60     -51.9  32.0   3.50  -45.3    259
UTHR   UNITED THER  UTHR US 08/20/11 C60     -51.5  34.2   3.20  -70.1    203
YNDX   YANDEX NV-A  YNDX US 11/19/11 P36     -32.1  44.8   5.80  -26.6   1031
YNDX   YANDEX NV-A  YNDX US 11/19/11 P34     -32.0  45.5   4.60    0.0   1144
YNDX   YANDEX NV-A  YNDX US 11/19/11 P30     -31.4  48.1   2.35    0.0    254
YNDX   YANDEX NV-A  YNDX US 11/19/11 P32     -31.0  47.7   3.40    0.0   1118
JPM    JPMORGAN CH  JPM US 01/21/12 C25      -27.7  34.6  15.60  -10.9    600
YNDX   YANDEX NV-A  YNDX US 08/20/11 P32     -27.7  50.2   2.60    0.0    294
YNDX   YANDEX NV-A  YNDX US 07/16/11 P34     -25.0  50.0   2.70    0.0    268
AMR    AMR CORP     AMR US 07/16/11 C5       -21.9  53.5   0.93  -17.0    250
SYMC   SYMANTEC CO  SYMC US 07/16/11 C15     -19.8  37.6   3.45  -23.3    334
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1      -17.7  42.5   1.14   -2.6   4381
SPY    SPDR S&P 50  SPY US 07/16/11 P135     -17.4  12.7   6.26    4.9    720
C      CITIGROUP I  C1 US 01/21/12 C2.5      -17.1  33.3   1.40   -7.9    463
SPY    SPDR S&P 50  SPY US 06/30/11 P133     -15.2  13.4   4.27    0.5   1071
CM     CAN IMPL BK  CM US 07/16/11 P75       -15.1  21.4   1.10  -18.5    205
UTHR   UNITED THER  UTHR US 11/19/11 P60     -14.6  48.5   8.10   -1.2    211
VXX    IPATH-S&P S  VXX US 07/16/11 C18      -14.2  47.9   4.45   -2.2    235
MWE    MARKWEST EN  MWE US 07/16/11 C45      -14.1  26.5   2.45    0.0    826
SPY    SPDR S&P 50  SPY US 07/16/11 P134     -14.0  13.2   5.38    1.5   1108
QQQ    POWERSH-QQQ  QQQ US 07/16/11 P59      -13.8  14.5   2.94   -6.4   1119
SPY    SPDR S&P 50  SPY US 07/16/11 P133     -13.1  13.8   4.71    1.3   1600
UTHR   UNITED THER  UTHR US 01/21/12 C60     -12.4  47.1   8.70  -26.3    507
XLU    SPDR-UTIL S  XLU US 09/17/11 P32      -12.4  15.8   0.88   11.4   2441
NLY    ANNALY CAPI  NLY US 07/16/11 C18      -12.3   8.5   0.34   13.3    688
SPY    SPDR S&P 50  SPY US 06/30/11 P132     -12.2  14.1   3.60    2.6    753
TLAB   TELLABS INC  TLAB US 09/17/11 P4      -12.0  36.0   0.20    0.0    200
CNTF   CHINA TECHF  CNTF US 12/17/11 C2.5    -11.3 103.5   2.25  -29.7    526
PVR    PENN VIRGIN  PVR US 08/20/11 C25      -10.9  26.2   1.15  -11.5    250
UTHR   UNITED THER  UTHR US 01/21/12 P60     -10.6  46.4   9.00    4.7   1301
CYTX   CYTORI THER  CYTX US 12/17/11 C5      -10.2  87.2   1.35   -7.5    315
SPY    SPDR S&P 50  SPY US 06/30/11 P131     -10.1  14.8   3.00    4.5    521

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

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