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 09/17/11 C49      122.7  37.8   6.60    6.5    333
VNDA   VANDA PHARM  VNDA US 09/17/11 C5       92.1  86.3   1.10   83.3    210
SPY    SPDR S&P 50  SPY US 09/17/11 C100      84.3  50.1  23.15    9.6    236
AYI    ACUITY BRAN  AYI US 09/17/11 C45       64.9  64.5   3.10  148.0    300
SPY    SPDR S&P 50  SPY US 09/17/11 C110      59.3  38.9  13.18    3.4    204
SPY    SPDR S&P 50  SPY US 10/22/11 C100      50.8  41.5  23.15    8.6    945
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C50       48.0  36.4   5.52    6.8   1064
XLI    SPDR-INDU S  XLI US 09/17/11 C29       44.0  42.9   3.91   26.1   1501
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C38       40.7  49.8  17.38    5.1    287
S      SPRINT NEXT  S US 09/17/11 C2.5        39.4 150.9   1.36   22.5    730
XME    SPDR S&P ME  XME US 09/17/11 C60       36.2  41.5   1.62   24.6    978
SMH    SEMICONDUCT  SMH US 10/22/11 P29       35.9  43.6   1.45   12.4    461
HUN    HUNTSMAN CO  HUN US 09/17/11 C12       35.8  68.2   1.75   40.0    300
ERX    ENERGY BULL  ERX US 09/17/11 C36       33.5 143.9  16.10   19.3    201
RVBD   RIVERBED TE  RVBD US 09/17/11 C20      32.0 121.2   5.70    9.6    213
EAT    BRINKER INT  EAT US 09/17/11 C22.5     30.1  54.2   1.05    5.0   2500
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C51       27.9  34.4   4.59    4.1   3825
SPY    SPDR S&P 50  SPY US 09/17/11 C113      27.4  36.6  10.55   10.7    516
SMH    SEMICONDUCT  SMH US 10/22/11 C30       25.4  39.0   1.15   27.8    459
LNCR   LINCARE HOL  LNCR US 09/17/11 C20      24.9  56.8   2.25   34.7    298
IMMU   IMMUNOMEDIC  IMMU US 11/19/11 C3       21.2 121.5   1.35   35.0    275
SPY    SPDR S&P 50  SPY US 09/17/11 C114      20.9  35.3   9.30    9.4    804
TIVO   TIVO INC     TIVO US 09/17/11 C10      20.9  56.8   0.90  -10.0    581
CALX   CALIX INC    CALX US 09/17/11 C12.5    20.6  63.2   2.50  150.0    200
SLW    SILVER WHEA  SLW US 09/17/11 C31       19.0  89.1   9.47    5.8    503
EK     EASTMAN KOD  EK US 09/17/11 C3         17.3 134.7   0.46  -16.4   1305
XLU    SPDR-UTIL S  XLU US 09/17/11 C34       17.2  18.2   0.44   12.8   2314
SPY    SPDR S&P 50  SPY US 09/17/11 C115      17.1  34.1   8.34    8.4   1211
S      SPRINT NEXT  S US 09/17/11 P3          16.9  91.5   0.03  -40.0    302
SGMO   SANGAMO BIO  SGMO US 10/22/11 C5       16.8 161.5   1.45   16.0    280
EXM    EXCEL MARIT  EXM US 09/17/11 C2        16.7  61.3   0.15    0.0    305
UNG    US NAT GAS   UNG US 09/17/11 C9        16.6  39.0   1.18   32.6    644
IWM    ISHARES-RUS  IWM US 09/17/11 C68       15.8  43.3   5.75   -3.7    243
AMR    AMR CORP     AMR US 09/17/11 C3.5      14.9  78.8   0.34   47.8    717
WIN    WINDSTREAM   WIN US 09/17/11 C13       14.7  18.4   0.05   66.7    402
EMC    EMC CORP/MA  EMC US 09/17/11 C21       14.5  48.0   2.01   45.6    493
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C52       14.3  32.4   3.71   10.8  13919
XLV    SPDR-HEALTH  XLV US 10/22/11 C34       14.3  19.4   0.67   11.7  12271
IWM    ISHARES-RUS  IWM US 09/17/11 C70       14.2  41.0   4.16    3.7   2140
SPY    SPDR S&P 50  SPY US 09/17/11 C118      14.2  31.8   6.01   16.7  24444
MHS    MEDCO HEALT  MHS US 10/22/11 P55       14.1  34.2   2.60  -16.1   1000
T      AT&T INC     T US 09/17/11 C29         14.0  26.3   0.32  -66.7   6329
SKX    SKECHERS US  SKX US 09/17/11 C14       13.9  77.9   2.85   18.8    201
TRW    TRW AUTOMOT  TRW US 09/17/11 C40       13.9  58.3   3.60   50.0    251
FAZ    FINANCIAL B  FAZ US 09/17/11 C45       13.7  79.9   7.30  -17.5   1908
SPY    SPDR S&P 50  SPY US 09/17/11 C117      13.4  32.5   6.66   10.1   1652
YNDX   YANDEX NV-A  YNDX US 09/17/11 C31      13.2  41.2   1.35  145.4    300
C      CITIGROUP I  C1 US 01/21/12 P5         12.8  44.6   1.89   -1.6  14981
SPY    SPDR S&P 50  SPY US 09/17/11 C119      12.6  30.9   5.24   15.7  17383
SFLY   SHUTTERFLY   SFLY US 03/17/12 C45      12.6  54.2  13.09   42.3    380
EK     EASTMAN KOD  EK US 09/17/11 C2.5       12.5 102.9   0.79  -12.2    576
IWM    ISHARES-RUS  IWM US 09/17/11 C71       12.5  39.7   3.49    1.8   2737
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C53       12.2  31.1   2.85    9.2  14589
XLY    SPDR-CONS D  XLY US 09/17/11 C38       12.2  29.4   0.79   23.4    435
TIBX   TIBCO SOFTW  TIBX US 11/19/11 C20      12.0  64.7   3.99   69.8    508
T      AT&T INC     T US 09/17/11 P29         11.8  25.9   1.12  273.3   1924
STP    SUNTECH POW  STP US 10/22/11 P3        11.6 122.0   0.04  -63.6    250
EMC    EMC CORP/MA  EMC US 09/17/11 P20       11.5  52.4   0.13  -23.5   1022
CRZO   CARRIZO OIL  CRZO US 09/17/11 P30      11.4  68.3   1.75  -12.5    934
JNK    SPDR BARCLA  JNK US 09/17/11 P35       11.4  36.0   0.10  -41.2    300
XLB    SPDR-MATERI  XLB US 09/17/11 C35       11.4  33.4   1.34   11.7   1311
YCS    PROSH-UL/SH  YCS US 09/17/11 C14       11.1  27.9   0.20  100.0   2000
XLV    SPDR-HEALTH  XLV US 12/17/11 C34       10.9  19.8   1.09    4.8  12210
TZA    SMALL CAP B  TZA US 01/21/12 C35       10.9  88.3   9.95  -41.6    208
S      SPRINT NEXT  S US 09/17/11 C3.5        10.9  78.0   0.35   34.6   7089
IWM    ISHARES-RUS  IWM US 09/17/11 C72       10.7  38.2   2.79    4.5   3144
SPY    SPDR S&P 50  SPY US 09/30/11 C116      10.6  32.7   8.15    2.8    453
SPY    SPDR S&P 50  SPY US 10/22/11 C110      10.5  34.8  14.43    7.3    282
T      AT&T INC     T US 09/17/11 P28         10.5  29.7   0.62  342.9   5054
GE     GENERAL ELE  GE US 09/17/11 P7.5       10.4 161.5   0.01  -50.0   1256
EMC    EMC CORP/MA  EMC US 09/17/11 P21       10.3  47.0   0.27  -25.0   1080
FCX    FREEPORT-MC  FCX US 09/17/11 P46       10.3  47.0   1.03  -28.0   1085
IWM    ISHARES-RUS  IWM US 09/17/11 C73       10.2  36.9   2.17   -3.1   5414
MUR    MURPHY OIL   MUR US 09/17/11 C55       10.0  40.4   1.25  177.8    266

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
XME    SPDR S&P ME  XME US 09/17/11 C62      -67.2  38.8   0.82   54.7   4093
XME    SPDR S&P ME  XME US 09/17/11 P53      -61.5  55.6   0.64  -12.3    512
XME    SPDR S&P ME  XME US 09/17/11 P54      -61.0  53.0   0.79   -6.0    599
VXX    IPATH-S&P S  VXX US 09/17/11 C30      -53.7  55.4   8.35   -5.5    280
TLVT   TELVENT GIT  TLVT US 09/17/11 C40     -52.1   3.8   0.40   33.3    490
QLD    PROSHARES U  QLD US 09/17/11 C62      -38.1  61.2  19.50  101.0    516
XLI    SPDR-INDU S  XLI US 10/22/11 P34      -37.3  28.1   2.18    0.0    418
VRA    VERA BRADLE  VRA US 09/17/11 C35      -34.6  57.8   1.00   11.1    468
KERX   KERYX BIOPH  KERX US 10/22/11 P4      -34.3  72.0   0.38    0.0    499
IAU    ISHARES GOL  IAU US 10/22/11 C14      -31.3  27.5   3.85   10.0    200
SPY    SPDR S&P 50  SPY US 09/17/11 P128     -28.1  23.0   6.61  -11.0    697
TLVT   TELVENT GIT  TLVT US 09/17/11 P40     -27.8   5.8   0.05  -83.3    602
SPY    SPDR S&P 50  SPY US 09/17/11 P124     -25.7  26.4   3.94  -21.2   6781
SPY    SPDR S&P 50  SPY US 09/17/11 P127     -24.4  23.8   5.83  -11.0   2344
XME    SPDR S&P ME  XME US 09/17/11 P58      -23.9  45.3   1.74  -16.4   2000
QQQ    POWERSH-QQQ  QQQ US 09/17/11 P58      -23.8  23.7   3.05   -6.7    719
CMO    CAPSTEAD MO  CMO US 09/17/11 P12.5    -23.2  29.8   0.05  -58.3   2064
OAS    OASIS PETRO  OAS US 09/17/11 P25      -22.5  56.4   0.75    0.0    389
S      SPRINT NEXT  S US 09/17/11 C3         -21.5  65.9   0.90   42.9    746
SPY    SPDR S&P 50  SPY US 09/30/11 P127     -19.1  23.4   6.45   -5.2    221
HRBN   HARBIN ELEC  HRBN US 09/17/11 C3      -19.0 329.5  13.90    5.5    329
SPY    SPDR S&P 50  SPY US 09/17/11 P125     -18.9  25.4   4.51  -21.1   3805
DRYS   DRYSHIPS IN  DRYS US 09/17/11 C3      -18.7  71.1   0.18  -48.6   4372
XLV    SPDR-HEALTH  XLV US 09/17/11 C30      -17.9  34.3   3.50   54.2   1500
VXX    IPATH-S&P S  VXX US 09/17/11 C38      -17.1  82.2   2.80  -13.8    561
XLB    SPDR-MATERI  XLB US 09/17/11 P36      -16.6  31.0   1.28  -14.7    483
IWM    ISHARES-RUS  IWM US 09/17/11 P76      -16.5  33.0   4.00   -2.2   1575
TLT    ISHARES BAR  TLT US 09/17/11 C96      -16.4  36.7  12.45   12.9    486
XLI    SPDR-INDU S  XLI US 09/17/11 P33      -15.5  30.2   1.01  -23.5    238
QQQ    POWERSH-QQQ  QQQ US 09/17/11 P56      -15.4  26.4   1.69  -19.1   3326
XLV    SPDR-HEALTH  XLV US 09/17/11 P33      -15.3  21.7   0.51  -30.1   1300
VXX    IPATH-S&P S  VXX US 09/17/11 C39      -14.7  84.7   2.50  -13.5    765
HRBN   HARBIN ELEC  HRBN US 09/17/11 C2      -14.0 408.6  14.90    3.5   2274
SPY    SPDR S&P 50  SPY US 09/30/11 P125     -13.8  25.0   5.39   -8.9    236
DRYS   DRYSHIPS IN  DRYS US 09/17/11 P3      -13.6  73.0   0.17    6.2    860
YRCW   YRC WORLDWI  YRCW US 10/22/11 C0.5    -13.6  82.4   0.24    9.1    565
P      PANDORA MED  P US 10/22/11 C13        -13.5  56.8   1.55  -10.4    480
XLE    SPDR-ENERGY  XLE US 09/17/11 P70      -13.3  32.4   2.58  -13.7    393
SPY    SPDR S&P 50  SPY US 09/17/11 P122     -12.9  28.2   2.96  -24.7  33787
VXX    IPATH-S&P S  VXX US 09/17/11 C40      -12.8  87.5   2.14  -23.6   1653
IWM    ISHARES-RUS  IWM US 09/17/11 P75      -12.8  34.5   3.44   -8.3   1558
XLF    SPDR-FINL S  XLF US 09/17/11 P14      -12.8  31.0   0.82   -7.9   4718
EEM    ISHARES-EMG  EEM US 09/17/11 P43      -12.6  33.1   1.36  -28.0   1292
SPY    SPDR S&P 50  SPY US 10/22/11 P127     -12.5  23.2   7.40   -1.7    510
QQQ    POWERSH-QQQ  QQQ US 09/17/11 P55      -12.4  28.0   1.19  -25.2  10186
T      AT&T INC     T US 09/17/11 P24        -12.1  46.4   0.05   66.7    442
JOYG   JOY GLOBAL   JOYG US 09/17/11 P87.5   -12.0  46.0   4.25  -47.0    268
T      AT&T INC     T US 09/17/11 C27        -11.9  32.9   1.50  -47.5    766
BBBB   BLACKBOARD   BBBB US 10/22/11 C44     -11.7  21.9   0.65    8.3   5095
IWM    ISHARES-RUS  IWM US 09/17/11 P73      -11.7  37.3   2.38  -13.1  15773
JOYG   JOY GLOBAL   JOYG US 09/17/11 C90     -11.7  44.7   1.70   54.5   1209
ATPG   ATP OIL & G  ATPG US 09/17/11 P11     -11.5 107.0   0.20  -28.6   2165
T      AT&T INC     T US 09/17/11 C26        -11.2  37.5   2.25  -40.8    323
JOYG   JOY GLOBAL   JOYG US 09/17/11 C87.5   -11.2  46.3   2.66   41.5    378
SPY    SPDR S&P 50  SPY US 09/30/11 P126     -11.0  24.2   5.36  -17.9    498
SPY    SPDR S&P 50  SPY US 10/22/11 P126     -11.0  23.8   6.73   -8.2   1485
JOYG   JOY GLOBAL   JOYG US 09/17/11 C85     -11.0  48.1   4.05   46.2   1132
MMC    MARSH & MCL  MMC US 09/17/11 C29      -11.0  29.8   1.15    9.5   1000
SPY    SPDR S&P 50  SPY US 09/17/11 P120     -10.9  30.1   2.21  -27.8  74967
QQQ    POWERSH-QQQ  QQQ US 09/30/11 P56      -10.8  26.1   2.15   -0.9   2023
SPY    SPDR S&P 50  SPY US 09/17/11 P121     -10.7  29.2   2.57  -25.9  17335
QQQ    POWERSH-QQQ  QQQ US 09/17/11 P53      -10.7  31.2   0.59  -30.6  98297
QCOM   QUALCOMM IN  QCOM US 10/22/11 C25     -10.6  84.2  27.05   19.8    225
XLE    SPDR-ENERGY  XLE US 09/17/11 P69      -10.6  33.4   2.14  -17.4    901
SDS    PROSHARES U  SDS US 09/17/11 P20      -10.6  42.0   0.10   -9.1   1403
BSBR   BANCO SANTA  BSBR US 09/17/11 P10     -10.5  42.8   0.55  -59.3    601
TM     TOYOTA MOTO  TM US 09/17/11 C75       -10.5  27.6   0.57   18.8    602
IWM    ISHARES-RUS  IWM US 09/17/11 P72      -10.5  38.6   1.97  -12.4   4095
CLWR   CLEARWIRE -  CLWR US 09/17/11 P2      -10.5 170.4   0.05    0.0    226
NLY    ANNALY CAPI  NLY US 09/17/11 P16      -10.5  42.3   0.06  -33.3   5454
IWM    ISHARES-RUS  IWM US 09/17/11 P71      -10.4  40.0   1.58  -16.8  26204
IWM    ISHARES-RUS  IWM US 09/30/11 P75      -10.4  34.1   3.73  -15.2    380
GLD    SPDR GOLD T  GLD US 01/21/12 C125     -10.4  27.4  52.65   -3.4    206
JOYG   JOY GLOBAL   JOYG US 09/17/11 P82.5   -10.4  50.0   2.17  -45.1    224
JOYG   JOY GLOBAL   JOYG US 09/17/11 P85     -10.3  48.2   3.05  -42.5    533
IMAX   IMAX CORP    IMAX US 09/17/11 C17.5   -10.3  82.9   1.15   -4.2    240
KERX   KERYX BIOPH  KERX US 10/22/11 C4      -10.3  92.2   0.70   40.0    253
SPY    SPDR S&P 50  SPY US 09/30/11 P124     -10.3  25.7   4.82   -9.9   1022
SPY    SPDR S&P 50  SPY US 10/22/11 C70      -10.0  71.1  52.71   17.7    300

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

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