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
=============================================================================
FAZ    FINANCIAL B  FAZ1 US 01/21/12 P14     151.3 216.2   5.40  -20.0    250
C      CITIGROUP I  C1 US 01/21/12 P5         40.2  27.1   1.30   -1.5  21425
SPY    SPDR S&P 50  SPY US 06/30/11 C120      36.7  22.2   9.41    6.1    244
PEB    PEBBLEBROOK  PEB US 07/16/11 P20       25.7  23.1   0.65   62.5    323
KWK    QUICKSILVER  KWK US 07/16/11 C12       24.0  47.6   3.10    8.0    238
CALP   CALIPER LIF  CALP US 08/20/11 C7.5     22.2  38.6   0.50   42.9   1678
FSL    FREESCALE S  FSL US 07/16/11 P17.5     21.4  39.9   1.10    0.0    200
LNG    CHENIERE EN  LNG US 07/16/11 P9        18.1  88.2   1.10   37.5   2156
CHBT   CHINA-BIOTI  CHBT US 08/20/11 C1       18.1 210.5   4.10    0.0    250
VRGY   VERIGY LTD   VRGY US 07/16/11 P13      17.6  55.4   0.70   75.0    726
HRBN   HARBIN ELEC  HRBN US 07/16/11 C10      17.1 163.3   5.75   -8.7    227
FSL    FREESCALE S  FSL US 09/17/11 P17.5     16.4  38.7   1.35    0.0    309
YOKU   YOUKU.COM I  YOKU US 07/16/11 P25      14.7 112.2   1.25   38.9   3494
NLY    ANNALY CAPI  NLY US 07/16/11 C17       14.4  20.3   1.30  -11.6    228
ONTY   ONCOTHYREON  ONTY US 08/20/11 C6       13.8  81.0   1.20   33.3   1003
NLY    ANNALY CAPI  NLY US 07/16/11 C18       13.0  13.4   0.39  -22.0   5492
YOKU   YOUKU.COM I  YOKU US 07/16/11 P23      12.7 114.3   0.94   38.2    607
IPG    INTERPUBLIC  IPG US 07/16/11 P11       11.9  38.1   0.25  -16.7    500
SRS    PROSHARES U  SRS US 01/21/12 C15       11.7  51.4   2.22   11.0    534

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
UNG    US NAT GAS   UNG1 US 07/16/11 P11     -26.3  61.8   4.90    1.0    258
C      CITIGROUP I  C1 US 01/21/12 P10       -26.2  57.0   6.30   -2.3    353
VRTX   VERTEX PHAR  VRTX US 07/16/11 P46     -21.0  44.2   1.60   45.5    819
YHOO   YAHOO! INC   YHOO US 07/16/11 C10     -19.2  57.6   5.20   -0.9    200
SPY    SPDR S&P 50  SPY US 06/30/11 P134     -16.9  13.3   5.43  -16.2   3786
VRTX   VERTEX PHAR  VRTX US 07/16/11 P50     -16.7  42.8   3.80   90.0    343
SJM    JM SMUCKER   SJM US 07/16/11 P80      -16.5  19.1   3.00  -33.3    236
BRCD   BROCADE COM  BRCD US 07/16/11 C6      -15.6  48.5   1.00   11.1    373
QQQ    POWERSH-QQQ  QQQ US 07/16/11 P58      -14.8  14.9   2.89   -2.0    362
OAS    OASIS PETRO  OAS US 07/16/11 C20      -14.3  55.0   8.00   21.2    500
TIN    TEMPLE-INLA  TIN US 07/16/11 C30      -14.1  26.0   1.05    0.0   2538
VRTX   VERTEX PHAR  VRTX US 07/16/11 C50     -13.9  43.1   2.10  -61.1   1270
C      CITIGROUP I  C1 US 12/17/11 C5        -13.8  24.1   0.02  -33.3    829
QQQ    POWERSH-QQQ  QQQ US 06/30/11 P57      -13.6  15.6   1.91   -3.5    709
IWM    ISHARES-RUS  IWM US 06/30/11 P82      -12.5  20.3   3.14  -14.2    308
CIM    CHIMERA INV  CIM US 07/16/11 C3.5     -10.8  42.3   0.20   33.3    394
C      CITIGROUP I  C1 US 01/19/13 C2        -10.8  38.2   1.79   -0.6    200
CALP   CALIPER LIF  CALP US 08/20/11 P5      -10.5  60.9   0.05    0.0   1004
SPY    SPDR S&P 50  SPY US 06/30/11 P132     -10.5  14.0   3.82  -18.7   8490

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

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