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
=============================================================================
MRK    MERCK & CO   MRK US 07/16/11 P35       30.3  17.6   0.47  -17.5    340
KO     COCA-COLA C  KO US 07/16/11 P65        25.9  14.3   0.83  -17.0   4385
GSIC   GSI COMMERC  GSIC US 07/16/11 C28      25.4  13.1   1.55    3.3   1020
WMB    WILLIAMS CO  WMB US 01/21/12 C17.5     23.0  42.2  12.15   -2.0    500
JCP    J.C. PENNEY  JCP US 07/16/11 C31       18.0  43.7   2.05  113.5    427
MO     ALTRIA GROU  MO US 07/16/11 P25        17.4  22.3   0.09  -30.8   1655
BZ     BOISE INC    BZ US 12/17/11 P6.6       17.2  52.4   0.65    0.0    647
HTZ    HERTZ GLOBA  HTZ US 07/16/11 C14       16.2  44.6   1.60    0.0   1880
SOLR   GT SOLAR IN  SOLR US 07/16/11 C10      15.5  70.8   3.20   36.2    205
JCP    J.C. PENNEY  JCP US 07/16/11 P33       15.0  40.7   1.91  -43.0    220
QQQ    POWERSH-QQQ  QQQ US 07/16/11 P58       13.5  13.9   2.86  -20.3    609
CMA    COMERICA IN  CMA US 07/16/11 P36       12.7  24.3   2.02  -20.5   1006
INSU   INSITUFORM   INSU US 09/17/11 P20      12.1  41.5   1.00  233.3   1000
JCP    J.C. PENNEY  JCP US 07/16/11 P31       11.8  41.1   0.93  -51.6    492
KOG    KODIAK OIL   KOG US 07/16/11 C5        11.7  74.3   0.85    6.2   3400
TBL    TIMBERLAND   TBL US 07/16/11 C45       11.5  13.2   0.10    0.0    228
TZA    SMALL CAP B  TZA US 07/16/11 C35       11.4  56.6   5.67  -28.2    665
UNG    US NAT GAS   UNG US 07/16/11 C11       11.2  36.7   0.88   -9.3    518
JCP    J.C. PENNEY  JCP US 07/16/11 P32       10.8  40.2   1.41  -44.9    333
JCP    J.C. PENNEY  JCP US 07/16/11 C32       10.2  40.7   1.70  169.8   1730

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
IVR    INVESCO MOR  IVR US 07/16/11 C22.5    -53.7   8.3   0.05  -50.0    474
DTG    DOLLAR THRI  DTG US 07/16/11 C72.5    -49.3  20.5   2.10  -77.4   1157
DTG    DOLLAR THRI  DTG US 07/16/11 C70      -42.6  23.3   3.90  -62.5   1435
DTG    DOLLAR THRI  DTG US 07/16/11 C75      -42.1  20.9   0.95  -87.2   1398
DTG    DOLLAR THRI  DTG US 07/16/11 P70      -41.6  23.5   2.20  243.8   1020
DTG    DOLLAR THRI  DTG US 07/16/11 P65      -32.2  29.1   1.35  800.0   1020
PCYC   PHARMACYCLI  PCYC US 07/16/11 P8      -30.4  40.1   0.20  -55.6    770
ONTY   ONCOTHYREON  ONTY US 08/20/11 C5      -29.4  44.9   2.40    9.1    260
MO     ALTRIA GROU  MO US 07/16/11 C27       -27.5  15.4   0.61   17.3   1743
GRMN   GARMIN LTD   GRMN US 07/16/11 C34     -24.5  22.0   0.39   50.0    293
BBY    BEST BUY CO  BBY US 07/16/11 P31      -23.5  29.5   2.03  -24.8    922
BBY    BEST BUY CO  BBY US 07/16/11 C29      -23.5  31.0   1.33    3.1    677
DTG    DOLLAR THRI  DTG US 10/22/11 C72.5    -22.9  21.6   3.50   16.7   1000
DTG    DOLLAR THRI  DTG US 10/22/11 P70      -22.7  20.3   2.50   61.3   1000
BBY    BEST BUY CO  BBY US 07/16/11 C31      -22.6  30.2   0.49   -7.5   1679
BBY    BEST BUY CO  BBY US 07/16/11 P30      -22.5  30.4   1.50  -26.1   1384
BBY    BEST BUY CO  BBY US 07/16/11 C30      -22.5  30.7   0.82   -2.4    911
BBY    BEST BUY CO  BBY US 07/16/11 P29      -21.2  31.6   0.89  -42.6    802
BBY    BEST BUY CO  BBY US 07/16/11 P28      -20.9  32.8   0.50  -52.4   1327
DTG    DOLLAR THRI  DTG US 07/16/11 P55      -20.4  45.0   0.05   25.0    260
MRK    MERCK & CO   MRK US 07/16/11 C36      -17.8  16.3   0.48   14.3    269
CHBT   CHINA-BIOTI  CHBT US 08/20/11 P1      -16.9 226.3   0.05  -66.7    200
DANG   E-COMMERCE   DANG US 07/16/11 C10     -16.2  85.3   2.80   64.7    306
SPY    SPDR S&P 50  SPY US 09/17/11 P134     -16.0  14.7   7.65  -14.0    244
ABVT   ABOVENET IN  ABVT US 07/16/11 P70     -15.6  40.4   1.85  -21.3    200
DIA    SPDR DJIA T  DIA US 08/20/11 P126     -15.6  12.9   6.65  -16.9    250
ALU    ALCATEL-LUC  ALU US 12/17/11 C2       -15.5  82.7   3.40    0.0    200
SPWRA  SUNPOWER CO  SPWRA US 07/16/11 C17    -15.2  27.7   3.90   -7.1    433
HOGS   ZHONGPIN IN  HOGS US 07/16/11 C12.5   -14.4  87.6   1.25   19.1    303
HD     HOME DEPOT   HD US 01/21/12 C20       -13.8  42.7  14.50    5.8    247
DANG   E-COMMERCE   DANG US 09/17/11 C10     -13.3  80.0   3.40   36.0    340
CTCM   CTC MEDIA I  CTCM US 07/16/11 C20     -13.3  32.1   0.80   -1.2    269
XLU    SPDR-UTIL S  XLU US 09/17/11 P32      -12.8  16.1   0.79   -2.5    273
HPQ    HEWLETT-PAC  HPQ US 07/16/11 C33      -12.6  24.5   2.10    1.9    309
CIGX   STAR SCIENT  CIGX US 01/21/12 C4.5    -12.4  84.9   1.10  -15.4    621
BC     BRUNSWICK C  BC US 07/16/11 P19       -12.2  53.0   1.30  -33.3   1503
MRK    MERCK & CO   MRK US 10/22/11 C35      -12.2  18.9   1.79    5.3   1015
KFN    KKR FINANCI  KFN US 07/16/11 C10      -12.0  25.6   0.25  -16.7   1066
OIS    OIL STATES   OIS US 07/16/11 C70      -11.7  38.4   4.30    0.0    205
XME    SPDR S&P ME  XME US 01/21/12 P62      -11.6  33.3   5.05  -18.6    321
LYG    LLOYDS BANK  LYG US 10/22/11 P3       -11.2  34.5   0.20  -20.0    200
GDXJ   MARKET VECT  GDXJ US 07/16/11 C34     -10.3  37.5   1.60   15.9   1520
IWM    ISHARES-RUS  IWM US 06/30/11 P82      -10.2  19.6   3.02  -31.2    205

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

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