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
=============================================================================
SPWRA  SUNPOWER CO  SPWRA US 12/17/11 C18    141.4  38.6   1.75    0.0    274
SLE    SARA LEE CO  SLE US 07/16/11 C17       69.3  32.1   2.10   -6.7    200
CYS    CYPRESS SHA  CYS US 07/16/11 C12.5     62.8  32.8   0.65    8.3    222
SPY    SPDR S&P 50  SPY US 06/30/11 P133      55.4  14.4   5.18   14.6    225
SPRD   SPREADTRUM-  SPRD US 07/16/11 P14      28.6 112.4   1.70   36.0    721
ALU    ALCATEL-LUC  ALU US 12/17/11 C2        28.2  79.4   3.30   -2.9    210
ISTA   ISTA PHARMA  ISTA US 01/21/12 C5       26.1 105.9   3.70    0.0    240
SPRD   SPREADTRUM-  SPRD US 07/16/11 P13      25.4 116.5   1.35   58.8    909
UUP    POWERSHARES  UUP US 07/16/11 C20       24.2  13.5   1.46   16.8    205
SPRD   SPREADTRUM-  SPRD US 07/16/11 P12      23.7 123.8   1.00  122.2   1017
AMR    AMR CORP     AMR US 07/16/11 C3        22.8 134.5   2.67   -7.6    443
SPY    SPDR S&P 50  SPY US 07/16/11 P134      22.6  13.7   6.51   17.9   1631
CLSN   CELSION COR  CLSN US 10/22/11 C2.5     22.4  84.9   0.95   18.8   1110
NLY    ANNALY CAPI  NLY US 07/16/11 C18       21.7  14.4   0.47   17.5    961
IWM    ISHARES-RUS  IWM US 06/30/11 P82       21.5  21.9   3.49   20.8    405
SPRD   SPREADTRUM-  SPRD US 08/20/11 P14      21.2  98.1   2.11   13.4    256
FNSR   FINISAR COR  FNSR US 07/16/11 C18      20.4  90.4   1.89   -0.5    266
SPY    SPDR S&P 50  SPY US 07/16/11 P133      19.5  14.2   5.75   17.4    504
SPRD   SPREADTRUM-  SPRD US 08/20/11 P13      18.9 101.0   1.85   76.2    799
BSX    BOSTON SCIE  BSX US 07/16/11 C7        17.7  40.0   0.34   88.9    202
WMS    WMS INDS IN  WMS US 07/16/11 C25       17.3  43.2   5.50   30.9    300
DST    DST SYSTEMS  DST US 11/19/11 P50       16.1  31.3   1.75  -58.3    214
SPY    SPDR S&P 50  SPY US 06/30/11 P131      15.8  14.9   3.81   27.0   2497
MR     MINDRAY MED  MR US 07/16/11 P25        15.4  39.8   0.45    0.0    375
FNSR   FINISAR COR  FNSR US 07/16/11 P18      15.0  90.4   1.50   15.4   2706
SPY    SPDR S&P 50  SPY US 06/30/11 P130      13.5  15.7   3.07   32.9  11303
INCY   INCYTE CORP  INCY US 09/17/11 P15      13.4  58.2   0.60   -7.7    244
CYS    CYPRESS SHA  CYS US 09/17/11 P12.5     13.3  22.1   0.55   -8.3    200
AVL    AVALON RARE  AVL US 07/16/11 C6        13.0  66.5   0.75   15.4    215
MIC    MACQUARIE I  MIC US 10/22/11 C25       12.6  34.7   3.80    8.6   1013
SPY    SPDR S&P 50  SPY US 07/16/11 P132      12.5  14.6   4.95   19.3   2458
DIA    SPDR DJIA T  DIA US 06/30/11 P123      12.3  13.3   3.55   27.2    200
FNSR   FINISAR COR  FNSR US 07/16/11 C19      12.2  86.7   1.46  -16.6    378
IWM    ISHARES-RUS  IWM US 07/16/11 P82       11.9  21.2   3.94    6.2    599
PDLI   PDL BIOPHAR  PDLI US 08/20/11 C6       11.7  34.5   0.35   20.7    499
LLY    ELI LILLY &  LLY US 07/16/11 C39       11.7  18.2   0.26    0.0   1296
MTG    MGIC INVT C  MTG US 07/16/11 C6        11.6  59.8   0.60    3.5    298
TTMI   TTM TECHNOL  TTMI US 09/17/11 C15      11.4  51.1   1.50   15.4   1006
FNSR   FINISAR COR  FNSR US 09/17/11 P18      11.1  69.7   2.35   11.9    653
XLE    SPDR-ENERGY  XLE US 06/30/11 P75       11.0  23.9   2.80  -22.2    200
HRB    H&R BLOCK I  HRB US 07/16/11 P16       11.0  40.4   0.90   -9.1   6483
DB     DEUTSCHE BA  DB US 07/16/11 P57.5      10.9  35.6   2.75   52.8   1000
FNSR   FINISAR COR  FNSR US 07/16/11 P19      10.9  84.3   2.15   26.5    731
LLY    ELI LILLY &  LLY US 07/16/11 C38       10.7  18.7   0.57    5.6   5630
KKD    KRISPY KREM  KKD US 08/20/11 C7.5      10.4  62.5   1.65   -5.7    261
CROX   CROCS INC    CROX US 07/16/11 C21      10.2  47.0   2.35   11.9    323

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SPWRB  SUNPOWER CO  SPWRB US 07/16/11 P18    -61.7  57.3   1.75    0.0    286
ADY    FEIHE INTER  ADY US 10/22/11 C5       -32.5  41.5   2.70   -8.5    315
NBG    NATL BANK G  NBG US 01/21/12 C1       -28.4  83.3   0.50   -9.1    279
PPD    PREPAID LEG  PPD US 08/20/11 P60      -27.0  15.3   0.20  -60.0    200
UEC    URANIUM ENE  UEC US 08/20/11 C2.5     -23.3  48.4   0.45  -18.2    835
PWER   POWER-ONE I  PWER US 01/21/12 C5      -22.4  33.7   3.10   -3.1    714
YHOO   YAHOO! INC   YHOO US 07/16/11 C10     -21.4  67.1   4.90  -11.7    204
OMEX   ODYSSEY MAR  OMEX US 12/17/11 C2.5    -19.5  90.7   1.20    0.0    500
XME    SPDR S&P ME  XME US 09/17/11 P58      -19.2  35.8   1.78  -16.0   1805
HSOL   HANWHA SOLA  HSOL US 07/16/11 P5      -15.1  57.4   0.10  -73.0    400
SPY    SPDR S&P 50  SPY US 06/30/11 C123     -13.0  21.7   5.43  -15.2    250
SPY    SPDR S&P 50  SPY US 06/30/11 C124     -11.4  20.5   4.56  -18.9   1836

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

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