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 P2.5      247.1 157.9   0.03    0.0   2000
XME    SPDR S&P ME  XME US 08/20/11 P68       44.9  32.0   2.23   -1.8    500
SPY    SPDR S&P 50  SPY US 08/20/11 P140      27.6  11.9   6.84    6.0    610
ZAGG   ZAGG INC     ZAGG US 08/20/11 P10      23.5 163.9   1.25   78.6    290
COGO   COGO GROUP   COGO US 09/17/11 P5       22.0 103.3   0.90   20.0    521
SPY    SPDR S&P 50  SPY US 08/20/11 P139      21.8  12.4   6.03    6.0    254
ZAGG   ZAGG INC     ZAGG US 08/20/11 P5       20.0 184.1   0.10  100.0    250
AGNC   AMERICAN CA  AGNC US 08/20/11 C30      19.8  12.6   0.57   26.7   1129
COGO   COGO GROUP   COGO US 08/20/11 P5       19.4 115.7   0.90   63.6    576
CSR    CHINA SECUR  CSR US 08/20/11 C5        18.5  79.8   0.65    0.0    250
KCI    KINETIC CON  KCI US 08/20/11 C65       16.2  27.4   2.80    0.0    776
WEN    WENDY'S/ARB  WEN US 08/20/11 C5        14.8  29.6   0.30    0.0    220
ZAGG   ZAGG INC     ZAGG US 08/20/11 C12.5    14.2  78.4   1.60  -21.9    405
SPY    SPDR S&P 50  SPY US 08/20/11 P138      14.1  12.6   5.21    3.2    845
SPY    SPDR S&P 50  SPY US 09/17/11 P140      13.9  12.6   7.80    4.4    563
BAC    BANK OF AME  BAC US 08/20/11 C11       13.2  35.5   0.39  -18.8   9779
GLD    SPDR GOLD T  GLD US 08/20/11 C140      13.2  16.7   9.50   15.2    216
SPY    SPDR S&P 50  SPY US 08/20/11 P137      12.7  13.2   4.59    7.2   1299
BAC    BANK OF AME  BAC US 08/20/11 C9        12.3  46.0   1.80  -10.9    493
BAC    BANK OF AME  BAC US 08/20/11 C10       12.2  40.0   0.97  -17.1   2267
EWJ    ISHARES-JAP  EWJ US 09/17/11 C10       12.0  21.2   0.74    5.7    613
SPY    SPDR S&P 50  SPY US 09/17/11 P139      11.9  13.1   7.11    5.5    622
BAC    BANK OF AME  BAC US 08/20/11 P10       11.6  39.4   0.28   64.7  81824
BAC    BANK OF AME  BAC US 09/17/11 C11       11.0  34.4   0.52  -14.8   4348
XCO    EXCO RESOUR  XCO US 09/17/11 P17       10.9  51.4   1.35   12.5    212
PAA    PLAINS ALL   PAA US 08/20/11 C65       10.7  13.4   0.65   -7.1    240
IBM    IBM          IBM US 08/20/11 P180      10.7  16.2   6.80   -2.9    326
ZAGG   ZAGG INC     ZAGG US 08/20/11 P4       10.6 204.3   0.05  -75.0    200
BAC    BANK OF AME  BAC US 09/17/11 P10       10.3  37.2   0.39   50.0  40105
BAC    BANK OF AME  BAC US 09/17/11 C9        10.1  43.3   1.89  -10.4    202
NWSA   NEWS CORP-A  NWSA US 08/20/11 C18      10.0  30.9   0.50   25.0    503

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SPU    SKYPEOPLE F  SPU US 08/20/11 C2.5     -24.1  93.1   0.40  -11.1    300
NTCT   NETSCOUT SY  NTCT US 08/20/11 C15     -20.8  54.6   2.25  -25.0    251
LVLT   LEVEL 3 COM  LVLT US 09/17/11 C1.5    -15.7  63.6   0.95   -9.5    627
SZYM   SOLAZYME IN  SZYM US 08/20/11 C25     -15.1  53.0   1.95   30.0   1658
LUV    SOUTHWEST A  LUV US 09/17/11 C12      -13.1  24.0   0.30    0.0   1460
T      AT&T INC     T US 01/19/13 C25        -12.9  22.3   6.40   -3.8    577
LVLT   LEVEL 3 COM  LVLT US 09/17/11 C2      -12.3  43.8   0.55    0.0    572
SUG    SOUTHERN UN  SUG US 08/20/11 C40      -12.2  16.5   2.30   -6.1    250
GPC    GENUINE PAR  GPC US 02/18/12 P45      -12.1  24.7   0.85  -39.3    200
SIFY   SIFY TECHNO  SIFY US 01/21/12 C5      -10.9  56.2   1.20    9.1    200
PWR    QUANTA SERV  PWR US 08/20/11 P17      -10.3  39.5   0.10  -75.0    300
PXP    PLAINS EXPL  PXP US 08/20/11 C33      -10.2  44.1   5.62   78.4    500
MAKO   MAKO SURGIC  MAKO US 01/19/13 P25     -10.2  54.6   4.20  -12.5   1000

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

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