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
=============================================================================
QQQ    POWERSH-QQQ  QQQ US 08/20/11 C49       55.4  31.2   8.92    0.9    248
BGZ    LARGE CAP B  BGZ US 10/22/11 C28       36.5  45.4   7.13    3.3    450
SPWRA  SUNPOWER CO  SPWRA US 09/17/11 C19     33.3  20.6   1.68   -3.5    538
CIM    CHIMERA INV  CIM US 09/17/11 C3        32.2  42.1   0.35  -41.7    230
MRX    MEDICIS PHA  MRX US 08/20/11 P38       31.0  45.3   1.75    0.0    401
MRX    MEDICIS PHA  MRX US 08/20/11 P35       29.2  49.1   0.75  -37.5    298
XLF    SPDR-FINL S  XLF US 08/20/11 C11       26.6  55.1   4.10   -1.2    296
CIM    CHIMERA INV  CIM US 12/17/11 P3        23.8  29.1   0.15    0.0    202
VRUS   PHARMASSET   VRUS US 08/20/11 P95      23.3  69.9   0.70  -53.3    200
UUP    POWERSHARES  UUP US 09/17/11 C20       21.9  13.6   1.52    3.4    668
PBI    PITNEY BOWE  PBI US 08/20/11 C23       20.8  24.4   0.35   75.0   2223
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C50       20.8  27.8   8.13   -3.8    529
S      SPRINT NEXT  S US 08/20/11 C4          20.3  61.4   1.37   -8.7    612
SPWRA  SUNPOWER CO  SPWRA US 08/20/11 C19     20.2  21.1   1.65    0.0    315
KCI    KINETIC CON  KCI US 09/17/11 C70       20.1  10.0   0.60  100.0   5144
NLY    ANNALY CAPI  NLY US 08/20/11 P17       19.8  22.1   0.12   71.4   4947
QQQ    POWERSH-QQQ  QQQ US 08/20/11 C53       18.4  26.0   5.15    1.4   1431
TIN    TEMPLE-INLA  TIN US 08/20/11 P30       18.3  30.0   0.65   -7.1   7562
TIN    TEMPLE-INLA  TIN US 08/20/11 C30       16.8  31.1   1.80   28.6    395
XLF    SPDR-FINL S  XLF US 08/20/11 C12       16.5  44.9   3.10   -3.1    242
ZAGG   ZAGG INC     ZAGG US 08/20/11 C10      16.3  78.2   4.00   -9.1    306
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C51       16.0  26.8   7.22    1.6    233
ZAGG   ZAGG INC     ZAGG US 11/19/11 C10      16.0  47.9   4.30   -4.4    238
HOGS   ZHONGPIN IN  HOGS US 08/20/11 P10      14.3 130.2   1.45   38.1   2491
EXK    ENDEAVOUR S  EXK US 08/20/11 C10       14.2  74.5   1.08    2.9    317
HOGS   ZHONGPIN IN  HOGS US 08/20/11 P5       13.7 197.1   0.20  100.0    276
AGNC   AMERICAN CA  AGNC US 08/20/11 C29      13.6  16.7   0.80  -11.1    335
TIN    TEMPLE-INLA  TIN US 08/20/11 C29       13.6  36.8   2.65   32.5    720
EUO    PROSH-UL/SH  EUO US 08/20/11 C16       13.4  28.3   1.60   -3.0    878
STX    SEAGATE TEC  STX US 08/20/11 C14       13.4  53.3   2.95    6.9   3500
QQQ    POWERSH-QQQ  QQQ US 08/20/11 C54       13.4  24.4   4.19   -5.2    234
GDXJ   MARKET VECT  GDXJ US 08/20/11 C30      13.0  53.1   8.70    4.8    403
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C52       13.0  25.8   6.16   -4.8    262
SPWRA  SUNPOWER CO  SPWRA US 12/17/11 C19     12.4  12.2   1.77    2.3   2081
TIN    TEMPLE-INLA  TIN US 08/20/11 C31       11.7  27.5   1.10   22.2    660
QQQ    POWERSH-QQQ  QQQ US 08/20/11 C56       11.2  22.3   2.58   -0.8   1900
QQQ    POWERSH-QQQ  QQQ US 08/20/11 C55       11.0  23.3   3.36    3.4    805
DRC    DRESSER-RAN  DRC US 08/20/11 P50       10.7  38.1   1.18    7.3    201
COP    CONOCOPHILL  COP US 08/20/11 P80       10.5  23.3   4.00  -33.3   3175
CTL    CENTURYLINK  CTL US 08/20/11 P40       10.5  17.7   1.55   -3.1    290
COP    CONOCOPHILL  COP US 08/20/11 C77.5     10.4  24.0   2.20  228.4   1788
STEC   STEC INC     STEC US 08/20/11 P16      10.3  69.2   0.90   30.4   3240
AGNC   AMERICAN CA  AGNC US 09/17/11 C27      10.3  25.0   2.60   -8.8    200
NLY    ANNALY CAPI  NLY US 01/19/13 P15       10.3  18.7   1.61    7.3    220
STEC   STEC INC     STEC US 11/19/11 P16      10.2  63.5   1.90   25.8   2804
STEC   STEC INC     STEC US 08/20/11 C18      10.2  65.5   1.04   -9.6    218
EWG    ISHARES-GER  EWG US 08/20/11 P22       10.1  42.8   0.10    0.0   1500
LIFE   LIFE TECHNO  LIFE US 08/20/11 C45      10.1  45.1   6.60    8.2    300

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SUG    SOUTHERN UN  SUG US 12/17/11 C45      -54.5   8.6   0.43  -52.2    815
SUG    SOUTHERN UN  SUG US 08/20/11 C40      -52.8  10.6   3.65   84.3   1000
SUG    SOUTHERN UN  SUG US 08/20/11 C42.5    -47.8  10.9   1.20   64.4   4291
SUG    SOUTHERN UN  SUG US 08/20/11 P42.5    -44.3  10.5   0.20  -86.7   1547
SUG    SOUTHERN UN  SUG US 08/20/11 C45      -42.4  13.4   0.20    0.0   3774
NGD    NEW GOLD IN  NGD US 08/20/11 C8       -41.8  48.1   3.40   38.8    868
SUG    SOUTHERN UN  SUG US 09/17/11 C45      -35.3  10.9   0.25  -16.7    842
JPM    JPMORGAN CH  JPM US 08/20/11 C25      -25.9  56.6  15.95   -0.3    201
ALU    ALCATEL-LUC  ALU US 01/21/12 C3       -21.9  58.0   2.25  -13.5    410
VIP    VIMPELCOM L  VIP US 09/17/11 C12.5    -17.3  24.9   0.40  -20.0  10052
YUM    YUM! BRANDS  YUM US 08/20/11 C55      -16.5  22.6   2.75   23.3    421
BRFS   BRASIL FOOD  BRFS US 12/17/11 C17.5   -16.3  36.2   2.60   62.5    218
IMMU   IMMUNOMEDIC  IMMU US 08/20/11 C4      -16.2  71.2   0.45    0.0    200
MAR    MARRIOTT IN  MAR US 08/20/11 P34      -15.4  32.7   1.17   85.7   3530
MAR    MARRIOTT IN  MAR US 08/20/11 P36      -14.7  30.9   2.25   80.0    487
MAR    MARRIOTT IN  MAR US 08/20/11 P35      -13.8  31.8   1.70   88.9    213
MAR    MARRIOTT IN  MAR US 08/20/11 C36      -13.7  31.3   0.80  -63.6    836
KITD   KIT DIGITAL  KITD US 01/21/12 P10     -12.6  56.5   1.00    0.0    300
DMND   DIAMOND FOO  DMND US 08/20/11 C80     -12.4  23.5   1.10  -21.4    200
YUM    YUM! BRANDS  YUM US 08/20/11 P55      -12.0  23.4   0.87  -44.9   1698
ADLR   ADOLOR CORP  ADLR US 10/22/11 C2.5    -11.9  81.1   0.45   28.6   3000
OGZPY  GAZPROM-ADR  GAZ GR 08/20/11 P14      -11.6  33.9   0.45  -11.8    200
FCS    FAIRCHILD S  FCS US 08/20/11 P15      -11.0  50.0   0.35  -46.1    405
CIGX   STAR SCIENT  CIGX US 08/20/11 C3.5    -10.8  89.2   0.90    0.0    236
FCS    FAIRCHILD S  FCS US 08/20/11 P17      -10.0  47.2   1.10  -29.0    633

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

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