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
=============================================================================
AGNC   AMERICAN CA  AGNC US 08/20/11 C30     176.8  16.5   0.25   66.7    472
FAZ    FINANCIAL B  FAZ1 US 07/16/11 P15     124.0 174.6   5.30  -20.9    224
NLY    ANNALY CAPI  NLY US 07/16/11 C18       63.9  14.7   0.60   22.4   1504
DXD    PROSHARES U  DXD US 07/16/11 C17       38.4  28.4   1.10  -15.4    223
QCOM   QUALCOMM IN  QCOM US 07/16/11 C48      30.1  35.3   6.25   14.7    200
CSCO   CISCO SYSTE  CSCO US 07/16/11 C12.5    28.6  44.8   2.85    7.5    255
BJRI   BJ'S RESTAU  BJRI US 07/16/11 C35      22.9  65.1  12.95   12.6    502
NLY    ANNALY CAPI  NLY US 10/22/11 C17       22.4  23.6   1.60    6.7    360
CB     CHUBB CORP   CB US 07/16/11 C55        21.6  37.9   7.90    4.0    600
LZB    LA-Z-BOY IN  LZB US 07/16/11 P10       21.0  74.3   0.40  -11.1    427
INCY   INCYTE CORP  INCY US 09/17/11 P15      18.3  64.5   0.70   16.7    584
CIGX   STAR SCIENT  CIGX US 07/16/11 P3       17.0 151.5   0.10  -33.3   1250
ONTY   ONCOTHYREON  ONTY US 08/20/11 C6       16.4  99.1   3.30   25.9    295
TLB    TALBOTS INC  TLB US 08/20/11 P2        14.9 127.0   0.05    0.0    610
YOKU   YOUKU.COM I  YOKU US 07/16/11 C24      14.8 144.5   7.00   27.3    345
WFM    WHOLE FOODS  WFM US 07/16/11 C57.5     14.7  33.0   3.95  176.2    229
FTR    FRONTIER CO  FTR US 02/18/12 C8        14.7  23.1   0.47    4.4    593
CSR    CHINA SECUR  CSR US 07/16/11 P2.5      13.8 209.3   0.05  -50.0    226
FXI    ISHARES FTS  FXI US 07/16/11 P43       13.7  21.6   1.94   -3.0   2003
INCY   INCYTE CORP  INCY US 09/17/11 C17.5    13.5  52.5   2.45   25.6    679
DAL    DELTA AIR L  DAL US 07/16/11 P5        12.2 116.0   0.01    0.0    310
NLY    ANNALY CAPI  NLY US 07/16/11 C17       11.8  28.4   1.60    6.7   1272
CAAS   CHINA AUTOM  CAAS US 07/16/11 C7.5     11.3 140.7   1.05   50.0    409
CSCO   CISCO SYSTE  CSCO US 07/16/11 P12.5    11.3  44.5   0.02    0.0    705
AFFX   AFFYMETRIX   AFFX US 11/19/11 C7.5     11.2  73.6   1.34   27.6   2510
IP     INTL PAPER   IP US 07/16/11 P25        11.2  44.0   0.17  -37.0   2455
BBY    BEST BUY CO  BBY US 07/16/11 P28       11.1  40.4   0.12  -29.4    375
HAYN   HAYNES INTL  HAYN US 08/20/11 C55      10.9  44.8   4.40    0.0    540
QUIK   QUICKLOGIC   QUIK US 11/19/11 C2.5     10.6  76.8   1.00   11.1    335
IP     INTL PAPER   IP US 07/16/11 C27        10.5  37.0   1.85   54.2    539
SPWRA  SUNPOWER CO  SPWRA US 09/17/11 P17     10.3  63.9   1.99  -10.4    607
NLY    ANNALY CAPI  NLY US 07/16/11 C16       10.3  43.1   2.60    4.0    855
MNTA   MOMENTA PHA  MNTA US 07/16/11 P18      10.2  77.9   0.95   -5.0    363
LYG    LLOYDS BANK  LYG US 10/22/11 P3        10.1  45.3   0.35    0.0    670
HW     HEADWATERS   HW US 11/19/11 C3         10.1  70.3   0.50   -9.1    283
CROX   CROCS INC    CROX US 07/16/11 C22      10.1  48.6   3.00    3.5    602

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
AGNC   AMERICAN CA  AGNC US 07/16/11 C25     -52.8  36.7   3.70  -24.5    365
AGNC   AMERICAN CA  AGNC US 07/16/11 C26     -52.3  28.2   2.55  -34.6    200
AGNC   AMERICAN CA  AGNC US 07/16/11 C28     -47.9  19.5   0.93  -46.9    610
HRBN   HARBIN ELEC  HRBN US 09/17/11 C7.5    -47.7  54.7   7.10   17.6    826
GTXI   GTX INC      GTXI US 07/16/11 C4      -43.1  66.9   1.35  -52.6    262
AGNC   AMERICAN CA  AGNC US 08/20/11 P28     -41.4  18.5   0.55  -15.4    447
CIM    CHIMERA INV  CIM US 07/16/11 C3.5     -40.9  30.6   0.10    0.0    280
DISCA  DISCOVERY C  DISCA US 07/16/11 C40    -33.2  13.8   1.80   24.1   1001
BKS    BARNES & NO  BKS US 07/16/11 C21      -32.6  36.8   0.45  -50.0    382
WAG    WALGREEN CO  WAG US 07/16/11 P40      -29.4  27.2   0.31   24.0   1135
WAG    WALGREEN CO  WAG US 07/16/11 C42      -29.4  24.7   1.33  -63.1    317
WAG    WALGREEN CO  WAG US 07/16/11 P42      -29.2  24.9   0.78   62.5   2812
BKS    BARNES & NO  BKS US 07/16/11 P19      -29.2  43.3   0.45  -43.8    393
AGNC   AMERICAN CA  AGNC US 07/16/11 P30     -29.1  14.9   1.40  -22.2   2177
WAG    WALGREEN CO  WAG US 07/16/11 P38      -28.9  30.7   0.13   -7.1    235
WAG    WALGREEN CO  WAG US 07/16/11 P41      -28.7  25.8   0.48   45.5   3787
WAG    WALGREEN CO  WAG US 07/16/11 P43      -28.5  24.1   1.23   78.3   1052
WAG    WALGREEN CO  WAG US 07/16/11 C43      -27.6  24.1   0.90  -68.3   3016
CP     CANADIAN PA  CP US 07/16/11 C55       -27.5  25.2   6.50   14.0   2200
SPWRA  SUNPOWER CO  SPWRA US 07/16/11 C16    -26.7  35.6   1.43   43.0    527
BKS    BARNES & NO  BKS US 07/16/11 C20      -26.4  39.6   0.90  -33.3    938
WAG    WALGREEN CO  WAG US 07/16/11 P44      -25.2  24.0   1.81   84.7   1361
AGNC   AMERICAN CA  AGNC US 07/16/11 P29     -24.7  15.3   0.65  -33.7   1077
TZA    SMALL CAP B  TZA US 07/16/11 C33      -24.3  51.2   5.50  -31.2    513
SPRD   SPREADTRUM-  SPRD US 07/16/11 C10     -24.2 160.5   3.60  -21.7    830
TIVO   TIVO INC     TIVO US 08/20/11 P6      -23.8  66.7   0.05  150.0    240
HRBN   HARBIN ELEC  HRBN US 07/16/11 C15     -23.5 105.7   1.30    0.0   1119
WEN    WENDY'S/ARB  WEN US 08/20/11 C5       -23.4  24.5   0.30    0.0    211
WRLD   WORLD ACCEP  WRLD US 01/21/12 P40     -21.7  53.8   1.29   -4.4    251
RENN   RENREN INC-  RENN US 07/16/11 P5      -21.4 156.6   0.20  -33.3    358
MMC    MARSH & MCL  MMC US 07/16/11 C32      -20.9  18.8   0.05    0.0    500
RENN   RENREN INC-  RENN US 07/16/11 P7      -19.7 138.9   0.84  -20.0    235
CCL    CARNIVAL CO  CCL US 08/20/11 P37      -19.4  30.9   2.00  -39.4    232
KBE    SPDR KBW BA  KBE US 07/16/11 C24      -18.8  21.0   0.40    8.1   3032
AGNC   AMERICAN CA  AGNC US 07/16/11 P28     -18.6  18.1   0.30  -31.8   1136
WRLD   WORLD ACCEP  WRLD US 01/21/12 P60     -18.5  36.9   5.99    0.0    250
HRBN   HARBIN ELEC  HRBN US 07/16/11 P15     -18.4 193.6   3.20  -23.8    728
GORO   GOLD RESOUR  GORO US 07/16/11 C25     -18.2  44.5   2.20  100.0    248
HRBN   HARBIN ELEC  HRBN US 07/16/11 C10     -18.1 127.0   4.90   22.5    783
CCL    CARNIVAL CO  CCL US 08/20/11 P36      -18.0  31.9   1.55  -43.6   3316
BP     BP PLC-ADR   BP US 08/20/11 P43       -17.7  24.4   1.69  -38.1    251
CCL    CARNIVAL CO  CCL US 07/16/11 C34      -17.4  33.9   3.30   29.4    276
PSEC   PROSPECT CA  PSEC US 08/20/11 P10     -17.3  20.4   0.30   20.0    219
AGNC   AMERICAN CA  AGNC US 09/17/11 C28     -17.2  19.2   1.30  -25.7    276
SIFY   SIFY TECHNO  SIFY US 01/21/12 C2.5    -17.2  74.8   1.60  -23.8    250
UUP    POWERSHARES  UUP US 07/16/11 C21      -16.9  10.0   0.43  -20.4    423
BSFT   BROADSOFT I  BSFT US 07/16/11 C35     -16.6  54.0   2.00   33.3   1126
WAG    WALGREEN CO  WAG US 10/22/11 P38      -16.5  27.5   0.98   18.1    454
TIN    TEMPLE-INLA  TIN US 07/16/11 C29      -16.5  31.8   1.00   25.0   4154
CCL    CARNIVAL CO  CCL US 07/16/11 C35      -16.4  32.7   2.50   33.0    748
PMC    PHARMERICA   PMC US 07/16/11 C12.5    -16.3  44.5   0.90  200.0    287
WAG    WALGREEN CO  WAG US 10/22/11 P39      -16.3  26.6   1.19   17.8    426
TIN    TEMPLE-INLA  TIN US 07/16/11 C30      -16.1  32.2   0.60   33.3   2808
STD    BANCO SANTA  STD US 07/16/11 C12      -16.1  31.2   0.20   33.3   2992
AAPL   APPLE INC    AAPL US 07/16/11 P335    -16.0  22.1  15.00  -32.7    381
SLXP   SALIX PHARM  SLXP US 07/16/11 C37     -16.0  35.6   1.50   20.0   1010
WAG    WALGREEN CO  WAG US 10/22/11 P37      -15.9  28.3   0.75   10.3    752
HRBN   HARBIN ELEC  HRBN US 07/16/11 P9      -15.8 237.7   0.90  -40.0   1025
WAG    WALGREEN CO  WAG US 10/22/11 P43      -15.8  24.1   2.72   28.9    378
FXC    CRYSHS-CAN   FXC US 07/16/11 C97      -15.8  10.7   5.20   15.6    500
AGNC   AMERICAN CA  AGNC US 07/16/11 C29     -15.6  15.1   0.30  -60.0    931
DBA    POWERSHARES  DBA US 07/16/11 C34      -15.6  17.2   0.15    0.0    368
WAG    WALGREEN CO  WAG US 10/22/11 C41      -15.6  25.6   3.15  -41.1   1935
DD     DU PONT (EI  DD US 08/20/11 P52.5     -15.5  22.5   2.54  -34.0    331
CPB    CAMPBELL SO  CPB US 07/16/11 P34      -15.5  10.7   0.50    0.0   1115
WAG    WALGREEN CO  WAG US 10/22/11 C44      -15.4  23.8   1.65  -51.5    230
WAG    WALGREEN CO  WAG US 10/22/11 C42      -15.3  24.8   2.65  -43.0    414
FAZ    FINANCIAL B  FAZ US 07/16/11 C41      -15.2  42.8   6.82  -22.1    503
HRBN   HARBIN ELEC  HRBN US 07/16/11 P12.5   -15.2 205.3   1.90  -35.4    853
WAG    WALGREEN CO  WAG US 10/22/11 P44      -15.2  23.7   3.30   36.9   1292
AAPL   APPLE INC    AAPL US 07/16/11 C330    -15.1  23.3   4.83   32.3   6434
FXI    ISHARES FTS  FXI US 07/16/11 C41      -14.8  23.4   1.39    6.1    321
AAPL   APPLE INC    AAPL US 07/16/11 P325    -14.8  23.4   8.90  -40.7   1138
AAPL   APPLE INC    AAPL US 07/16/11 P330    -14.8  22.8  11.65  -36.5    619
SPY    SPDR S&P 50  SPY US 09/17/11 P134     -14.7  14.7   7.09  -14.3    568
AAPL   APPLE INC    AAPL US 07/16/11 C335    -14.7  22.9   3.15   27.5   6045
HRBN   HARBIN ELEC  HRBN US 07/16/11 P11     -14.7 221.1   1.50  -30.2    352
HRBN   HARBIN ELEC  HRBN US 07/16/11 P10     -14.6 231.8   1.20   -7.7    254
HOGS   ZHONGPIN IN  HOGS US 07/16/11 P5      -14.5 268.9   0.30  -40.0    274
AAPL   APPLE INC    AAPL US 07/16/11 P320    -14.3  24.2   6.65  -44.6   3858
GMXR   GMX RESOURC  GMXR US 07/16/11 P4      -14.2  54.7   0.10  -33.3    202
FXI    ISHARES FTS  FXI US 07/16/11 C42      -13.9  22.2   0.82    5.1    673
AAPL   APPLE INC    AAPL US 07/16/11 C325    -13.9  24.0   7.08   34.9   5232
ITMN   INTERMUNE I  ITMN US 07/16/11 C36     -13.8  50.1   1.29   43.3    369
MFC    MANULIFE FI  MFC US 07/16/11 C17      -13.7  26.1   0.40  100.0    353
EUO    PROSH-UL/SH  EUO US 07/16/11 C16      -13.6  25.7   1.15   -8.0    216
IBB    ISHARES-NDQ  IBB US 07/16/11 P105     -13.6  17.7   2.65  -24.3   1095
IPG    INTERPUBLIC  IPG US 07/16/11 P11      -13.4  36.1   0.20  -33.3    270
HRBN   HARBIN ELEC  HRBN US 07/16/11 C12.5   -13.3 120.3   2.80   24.4    940
AAPL   APPLE INC    AAPL US 07/16/11 P315    -13.2  25.4   5.00  -47.9   5470
SPRD   SPREADTRUM-  SPRD US 08/20/11 P7.5    -13.1 186.4   1.05  -25.0    210
AAPL   APPLE INC    AAPL US 07/16/11 C320    -13.1  24.9   9.85   34.0   5091
TWC    TIME WARNER  TWC US 07/16/11 P75      -13.1  20.6   1.35  -34.1    742
IPG    INTERPUBLIC  IPG US 07/16/11 C11      -12.8  35.1   0.88   17.3   1000
RDS/A  ROYAL DUTCH  RDSA US 07/16/11 P65     -12.8  25.2   0.29  -55.4    276
GIS    GENERAL MIL  GIS US 08/20/11 P38      -12.8  18.1   1.02    0.0    410
HRBN   HARBIN ELEC  HRBN US 07/16/11 C7.5    -12.8 138.8   7.00   16.7    224
HRBN   HARBIN ELEC  HRBN US 07/16/11 P5      -12.8 303.2   0.25  -51.0    429
ROC    ROCKWOOD HO  ROC US 07/16/11 C50      -12.7  29.4   1.85   37.0    699
EPI    WISDOMTREE   EPI US 07/16/11 C23      -12.6  22.2   0.30   20.0    278
FXI    ISHARES FTS  FXI US 07/16/11 C43      -12.6  21.4   0.42    2.4   1112
QQQ    POWERSH-QQQ  QQQ US 07/16/11 C50      -12.6  22.6   4.84   12.6    272
SPRD   SPREADTRUM-  SPRD US 07/16/11 P11     -12.5 181.8   1.45  -23.7    740
SPY    SPDR S&P 50  SPY US 09/17/11 P132     -12.5  15.6   5.92  -15.2    443
EK     EASTMAN KOD  EK US 08/20/11 C3.5      -12.4  69.1   0.35    0.0   5928
IVR    INVESCO MOR  IVR US 10/22/11 P20      -12.4  17.3   0.96    1.1    285
SWKS   SKYWORKS SO  SWKS US 07/16/11 P24     -12.4  45.9   1.70  -37.7    298
HRBN   HARBIN ELEC  HRBN US 08/20/11 P15     -12.3 200.6   5.10  -12.1   1066
CCL    CARNIVAL CO  CCL US 07/16/11 P34      -12.3  36.5   0.35  -56.2    619
AAPL   APPLE INC    AAPL US 07/16/11 P310    -12.2  26.5   3.65  -51.7   3744
AAPL   APPLE INC    AAPL US 07/16/11 C315    -12.2  26.0  13.15   32.8   2105
SPY    SPDR S&P 50  SPY US 09/17/11 P131     -12.1  16.0   5.40  -16.7    852
XLE    SPDR-ENERGY  XLE US 07/16/11 C76      -12.0  19.9   0.53   32.5    232
CSCO   CISCO SYSTE  CSCO US 07/16/11 P16     -11.9  23.2   0.83  -18.6   1185
BAC    BANK OF AME  BAC US 07/16/11 C11      -11.8  30.1   0.22    0.0   3919
WAG    WALGREEN CO  WAG US 07/16/11 P33      -11.8  48.9   0.25  257.1    300
HRBN   HARBIN ELEC  HRBN US 07/16/11 P7.5    -11.8 262.0   0.60  -40.0   1294
RVBD   RIVERBED TE  RVBD US 07/16/11 P35     -11.8  45.6   2.30  -42.5    255
AMSC   AMER SUPERC  AMSC US 07/16/11 P7      -11.8 116.8   0.55  -21.4    262
CCL    CARNIVAL CO  CCL US 07/16/11 P36      -11.7  33.4   0.80  -48.4    380
EMC    EMC CORP/MA  EMC US 07/16/11 C28      -11.6  24.2   0.28   86.7    425
SPRD   SPREADTRUM-  SPRD US 07/16/11 P10     -11.5 199.4   1.20  -25.0    609
AAPL   APPLE INC    AAPL US 07/16/11 P305    -11.5  27.6   2.70  -53.9   1596
F      FORD MOTOR   F US 07/16/11 C14        -11.5  27.3   0.16   77.8   5453
RVBD   RIVERBED TE  RVBD US 07/16/11 C35     -11.4  45.9   1.00   78.6    420
AGNC   AMERICAN CA  AGNC US 09/17/11 P29     -11.4  16.3   1.11   -9.0    262
SPY    SPDR S&P 50  SPY US 09/17/11 P130     -11.4  16.4   4.97  -15.3    570
CCL    CARNIVAL CO  CCL US 07/16/11 C36      -11.3  33.1   1.65   32.0    255
WAG    WALGREEN CO  WAG US 01/21/12 C40      -11.3  26.3   4.58  -31.6    224
CVX    CHEVRON COR  CVX US 08/20/11 P97.5    -11.3  22.8   2.45  -18.3    454
AMSC   AMER SUPERC  AMSC US 07/16/11 C8      -11.2  88.2   0.65    8.3    276
CCL    CARNIVAL CO  CCL US 07/16/11 P37      -11.1  31.8   1.20  -44.2    481
SPRD   SPREADTRUM-  SPRD US 07/16/11 P12     -11.0 164.3   1.80  -18.2    666
SPRD   SPREADTRUM-  SPRD US 07/16/11 P9      -10.9 212.3   0.95  -26.9    941
XLE    SPDR-ENERGY  XLE US 07/16/11 C75      -10.7  20.6   0.84   35.5    566
NETL   NETLOGIC MI  NETL US 07/16/11 C39     -10.7  33.1   0.75   66.7    358
T      AT&T INC     T US 07/16/11 P31        -10.6  14.9   0.62  -24.4    601
VXX    IPATH-S&P S  VXX US 07/16/11 P20      -10.6  48.3   0.19   72.7    983
AAPL   APPLE INC    AAPL US 07/16/11 C310    -10.6  27.2  16.80   31.2   1209
ITW    ILLINOIS TO  ITW US 07/16/11 C55      -10.5  19.1   0.90    0.0    519
IL     INTRALINKS   IL US 07/16/11 P17.5     -10.5  49.1   0.70  -36.4  10000
XLB    SPDR-MATERI  XLB US 07/16/11 P38      -10.4  22.3   1.04  -34.6    412
YOKU   YOUKU.COM I  YOKU US 07/16/11 C25     -10.4 121.6   6.40   16.4    301
EK     EASTMAN KOD  EK US 07/16/11 P3        -10.3  98.9   0.15  -31.8   2937
SPRD   SPREADTRUM-  SPRD US 08/20/11 P11     -10.3 166.1   2.40  -12.7    260
MOTR   MOTRICITY I  MOTR US 07/16/11 C7.5    -10.3  62.5   0.65   18.2    294
GE     GENERAL ELE  GE US 12/17/11 P10       -10.2  48.0   0.08   60.0    217
MFC    MANULIFE FI  MFC US 07/16/11 P17      -10.2  33.2   0.70  -44.0    711
AVEO   AVEO PHARMA  AVEO US 01/21/12 P12.5   -10.2  73.4   1.40  -20.0    620
XOM    EXXON MOBIL  XOM US 07/16/11 P82.5    -10.1  16.9   2.64  -20.0    327
FCX    FREEPORT-MC  FCX US 07/16/11 C50      -10.1  34.6   1.23   36.7   7129
QID    PROSHARES Q  QID US 07/16/11 P51      -10.1  30.1   0.43   30.3    608
WFC    WELLS FARGO  WFC US 07/16/11 P28      -10.0  25.8   1.12  -25.3   1615

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

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