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
=============================================================================
ODP    OFFICE DEPO  ODP US 07/16/11 C3.5      26.0  68.0   0.35    0.0  10793
WWE    WORLD WREST  WWE US 10/22/11 P10       25.8  29.1   0.90   38.5    200
YUII   YUHE INTERN  YUII US 07/16/11 P2.5     25.7 218.1   0.25    0.0    520
C      CITIGROUP I  C1 US 09/17/11 P4.5       24.2  26.7   0.74    0.0  17020
AMD    ADV MICRO D  AMD US 07/16/11 C6        21.1  61.0   1.87    6.9    260
C      CITIGROUP I  C1 US 07/16/11 P4         19.8  28.8   0.29   20.8    300
OCLR   OCLARO INC   OCLR US 07/16/11 P7.5     16.9  63.2   0.35   40.0    205
C      CITIGROUP I  C1 US 01/21/12 P7.5       15.6  49.6   3.75    0.0    243
NLY    ANNALY CAPI  NLY US 07/16/11 C17       13.4  17.6   1.47   10.5   1023
NKTR   NEKTAR THER  NKTR US 11/19/11 P8       13.1  52.2   1.10   37.5    402
QQQ    POWERSH-QQQ  QQQ US 07/16/11 P58       13.1  15.2   2.81    8.5    522
DBC    POWERSHARES  DBC US 01/21/12 C21       12.7  21.0   9.45    1.6    370
NXG    NORTHGATE M  NXG US 12/17/11 C2.5      12.3  52.2   0.50   -5.7    499
AMD    ADV MICRO D  AMD US 07/16/11 C8        11.2  43.9   0.34   21.4  24941
WM     WASTE MANAG  WM US 07/16/11 P35        11.0  35.7   0.75   15.4   1982
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1.5     10.9  50.0   0.65   -7.1    238
INCY   INCYTE CORP  INCY US 07/16/11 P17.5    10.8  52.0   1.55    0.0    352
BVN    BUENAVENTUR  BVN US 07/16/11 C37       10.6  48.8   1.75  -12.5    575

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SOMX   SOMAXON PHA  SOMX US 11/19/11 C2      -62.1  14.2   0.55   37.5    325
ENER   ENERGY CONV  ENER US 01/19/13 C1      -36.5 114.7   0.70    7.7    200
CHBT   CHINA-BIOTI  CHBT US 08/20/11 C3      -33.3  61.2   2.75   52.8    242
CIM    CHIMERA INV  CIM US 07/16/11 C3.5     -29.2  20.4   0.15  -25.0    640
OXY    OCCIDENTAL   OXY US 08/20/11 C60      -28.9  61.6  44.00    5.6    265
CIEN   CIENA CORP   CIEN US 01/21/12 C10     -28.7  53.3  10.80  -29.9    200
CSCO   CISCO SYSTE  CSCO US 07/16/11 C12.5   -28.0  39.0   2.83  -23.5   7129
AVNR   AVANIR PHAR  AVNR US 01/21/12 C2.5    -27.9  41.5   1.30  -10.3    250
DAL    DELTA AIR L  DAL US 07/16/11 C5       -27.2 112.9   4.55    0.0   1247
CIEN   CIENA CORP   CIEN US 07/16/11 P19     -20.9  49.5   0.50  108.3    881
CIEN   CIENA CORP   CIEN US 07/16/11 P18     -20.8  53.4   0.42  121.0    508
CIEN   CIENA CORP   CIEN US 07/16/11 P20     -20.6  46.1   0.84  154.6   3685
CIEN   CIENA CORP   CIEN US 07/16/11 P21     -20.1  43.5   1.13  145.7   1588
CIEN   CIENA CORP   CIEN US 07/16/11 C20     -20.0  46.3   1.42  -68.4    328
CIEN   CIENA CORP   CIEN US 07/16/11 C22     -19.5  42.3   0.73  -74.8    945
CIEN   CIENA CORP   CIEN US 07/16/11 P16     -19.4  63.8   0.16    6.7    355
CIEN   CIENA CORP   CIEN US 07/16/11 P22     -19.1  41.7   1.66  144.1    386
CIEN   CIENA CORP   CIEN US 07/16/11 C21     -18.9  43.9   1.20  -73.6    313
C      CITIGROUP I  C1 US 01/21/12 C2.5      -18.2  34.4   1.30   -0.8    518
ATML   ATMEL CORP   ATML US 07/16/11 C14     -18.0  39.1   0.60  -36.8   2170
INTC   INTEL CORP   INTC US 10/22/11 C16     -17.6  35.4   6.05  -12.9    782
BJ     BJ'S WHOLES  BJ US 07/16/11 C50       -15.9  31.2   1.40    7.7   2668
LDK    LDK SOLAR C  LDK US 07/16/11 P6       -15.5  76.9   0.30  -14.3    740
CMTL   COMTECH TEL  CMTL US 07/16/11 P25     -15.2  32.6   0.80   37.9    206
IRE    BANK IRELAN  IRE US 01/21/12 C1       -14.7  66.4   0.45  -25.0    552
LDK    LDK SOLAR C  LDK US 07/16/11 C7       -14.6  71.2   0.58  -26.6    487
BAX    BAXTER INTL  BAX US 08/20/11 C43      -14.0  38.4  15.10    0.0    400
NOK    NOKIA CORP-  NOK US 07/16/11 P5       -13.9  51.1   0.04    0.0    560
BJ     BJ'S WHOLES  BJ US 07/16/11 C47.5     -13.8  32.7   2.95    1.7   1269
DAL    DELTA AIR L  DAL US 07/16/11 C6       -13.2  91.4   3.55    0.0    578
YNDX   YANDEX NV-A  YNDX US 11/19/11 P34     -11.9  36.8   2.80   -9.7   1885
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C52      -11.7  21.6   3.78  -13.1    208
NLY    ANNALY CAPI  NLY US 07/16/11 C18      -11.7   9.6   0.48   33.3   2949
YNDX   YANDEX NV-A  YNDX US 11/19/11 P36     -11.0  35.7   3.80  -11.6   1880

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

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