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
=============================================================================
C      CITIGROUP I  C1 US 01/21/12 C2.5      102.0  41.5   1.24   -4.6    230
DAR    DARLING INT  DAR US 07/16/11 C15       67.6  54.7   3.70   23.3    401
SPY    SPDR S&P 50  SPY US 06/30/11 C120      65.6  21.7   7.75  -17.6    247
DEER   DEER CONSUM  DEER US 07/16/11 C2.5     59.1 251.4   4.70   20.2    218
TRE    TANZANIAN R  TRE US 07/16/11 P5        35.5  98.7   0.15   50.0    362
CFSG   CHINA FIRE   CFSG US 07/16/11 P5       29.3 163.9   0.25   66.7   1144
LLEN   L&L ENERGY   LLEN US 07/16/11 P4       25.1 186.2   0.75   36.4   1010
JASO   JA SOLAR HO  JASO US 07/16/11 P5       23.9  57.4   0.35   75.0   1473
STP    SUNTECH POW  STP US 07/16/11 C7        23.5  38.3   0.46  -11.5    277
HRBN   HARBIN ELEC  HRBN US 07/16/11 P10      18.6 252.3   1.55   40.9   2161
HRBN   HARBIN ELEC  HRBN US 07/16/11 P7.5     17.9 269.9   0.85   13.3    863
SPWRA  SUNPOWER CO  SPWRA US 07/16/11 P17     17.3 105.6   0.95   35.7   4690
HRBN   HARBIN ELEC  HRBN US 07/16/11 P15      17.1 194.7   3.20   12.3    421
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C51       16.9  23.3   3.95  -15.6    417
AGNC   AMERICAN CA  AGNC US 07/16/11 P30      15.0  15.3   1.20    0.0    464
CIM    CHIMERA INV  CIM US 09/17/11 C3.5      14.9  39.4   0.20  -20.0    259
HRBN   HARBIN ELEC  HRBN US 09/17/11 P10      14.9 212.9   2.75   12.2   1480
STP    SUNTECH POW  STP US 07/16/11 P6        14.8  76.7   0.21  110.0    522
AREX   APPROACH RE  AREX US 10/22/11 P22.5    14.7  64.1   3.90   56.0    954
EEM    ISHARES-EMG  EEM US 08/20/11 C39       14.6  35.8   7.75   -4.9    319
TRE    TANZANIAN R  TRE US 07/16/11 P6        14.3  70.1   0.30  100.0    483
AREX   APPROACH RE  AREX US 10/22/11 P20      14.0  66.1   2.45   96.0   2776
HRBN   HARBIN ELEC  HRBN US 07/16/11 P12.5    13.9 213.6   2.10    2.4    309
XLV    SPDR-HEALTH  XLV US 07/16/11 C35       12.8  15.1   0.55  -32.9   1373
BEXP   BRIGHAM EXP  BEXP US 07/16/11 C28      12.1  47.6   1.40   21.7   5221
HRBN   HARBIN ELEC  HRBN US 09/17/11 P15      11.9 169.7   4.60    2.2    203
BTU    PEABODY ENE  BTU US 07/16/11 C57.5     11.9  38.5   2.00    5.3    289
ISS    ISOFTSTONE   ISS US 08/20/11 P12.5     11.5  83.1   1.95  200.0    434
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C52       11.5  22.1   3.23  -12.2    205
XLF    SPDR-FINL S  XLF US 07/16/11 C15       10.9  22.6   0.24  -29.4  13545
BTU    PEABODY ENE  BTU US 07/16/11 P55       10.8  39.5   2.23   19.9    636
CPN    CALPINE COR  CPN US 01/19/13 P5        10.7  61.0   0.20    0.0    378
ELN    ELAN CORP-A  ELN US 10/22/11 C10       10.4  57.1   1.60    6.7   1077
VXX    IPATH-S&P S  VXX US 09/17/11 P15       10.3  61.2   0.23    4.5    364
SIRI   SIRIUS XM R  SIRI US 01/19/13 C1       10.3  62.8   1.17    5.4    250

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
VRGY   VERIGY LTD   VRGY US 11/19/11 P15     -96.4   1.4   0.10  -90.5    223
VRGY   VERIGY LTD   VRGY US 08/20/11 C14     -67.8  10.1   1.00  100.0    463
VRGY   VERIGY LTD   VRGY US 07/16/11 C14     -61.1  14.7   0.95  137.5    282
ASTM   AASTROM BIO  ASTM US 11/19/11 C2.5    -21.8  60.2   0.70  -26.3   1605
AMRN   AMARIN CORP  AMRN US 09/17/11 C15     -21.1  69.8   1.95  -44.3    538
CLSN   CELSION COR  CLSN US 01/21/12 C2.5    -20.7  63.7   0.85  -22.7    496
C      CITIGROUP I  C1 US 01/19/13 P5.5      -19.4  27.6   1.88    5.0  24488
UEC    URANIUM ENE  UEC US 08/20/11 C2.5     -18.9  49.3   0.55   22.2    414
AMRN   AMARIN CORP  AMRN US 09/17/11 P12.5   -18.9  68.9   1.00    0.0   1170
AMRN   AMARIN CORP  AMRN US 07/16/11 P14     -17.6  68.1   0.90   28.6    792
LULU   LULULEMON A  LULU US 07/16/11 C92.5   -15.1  42.6   3.30   13.8    384
LULU   LULULEMON A  LULU US 07/16/11 P90     -14.3  43.7   5.00  -36.2    209
AMRN   AMARIN CORP  AMRN US 09/17/11 P14     -13.4  71.1   1.50   -3.2    667
LULU   LULULEMON A  LULU US 07/16/11 C90     -12.7  43.8   4.80   23.1    308
LULU   LULULEMON A  LULU US 07/16/11 C87.5   -12.2  44.4   5.98   19.6    310
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1      -11.6  49.0   1.02   -4.7    353
UCO    PRSH-ULT CR  UCO US 07/16/11 C40      -11.4  52.6   7.80   -3.7    500
LULU   LULULEMON A  LULU US 07/16/11 P85     -11.3  45.8   2.75  -45.9    323
CBLI   CLEVELAND B  CBLI US 07/16/11 C5      -11.2  68.6   0.40  -11.1    231
LULU   LULULEMON A  LULU US 07/16/11 P80     -11.2  47.8   1.60  -47.0    238
DVAX   DYNAVAX TEC  DVAX US 07/16/11 C2.5    -10.5 196.7   0.60   -7.7    273

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

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