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
=============================================================================
USL    US 12-MO OI  USL US 10/22/11 C40      100.8  79.6   2.35  -76.7   2000
USL    US 12-MO OI  USL US 10/22/11 P40       89.9  76.7   2.31  208.0   2000
HOGS   ZHONGPIN IN  HOGS US 09/17/11 C7.5     57.1  73.3   2.60   48.6    416
SPRD   SPREADTRUM-  SPRD US 09/17/11 C19      54.9  60.1   1.05  600.0    568
CIGX   STAR SCIENT  CIGX US 10/22/11 C1.5     41.1 138.3   1.10    0.0    637
PPDI   PHARM PROD   PPDI US 10/22/11 C32.5    39.0  74.0   2.00   60.0    200
SPRD   SPREADTRUM-  SPRD US 09/17/11 C18      38.5  58.6   1.40  300.0    668
UNG    US NAT GAS   UNG US 09/17/11 C9        35.0  39.7   1.17   -4.1    745
LDK    LDK SOLAR C  LDK US 09/17/11 C5        32.1  63.7   0.61  -18.7    339
NLY    ANNALY CAPI  NLY US 10/22/11 C18       30.2  28.8   0.37  -28.9   2246
SPRD   SPREADTRUM-  SPRD US 09/17/11 C20      28.4  58.3   0.60 1100.0   1233
NLY    ANNALY CAPI  NLY US 09/17/11 C17       27.8  37.0   0.80  -33.9    900
NLY    ANNALY CAPI  NLY US 09/17/11 C18       26.9  28.2   0.20  -48.7   2598
HTS    HATTERAS FI  HTS US 09/17/11 C28       26.6  25.5   0.15  -57.1    246
NLY    ANNALY CAPI  NLY US 10/22/11 C17       25.6  33.5   0.92  -28.1   2090
AGNC   AMERICAN CA  AGNC US 09/17/11 C29      25.1  37.8   0.35  -30.0    399
NLY    ANNALY CAPI  NLY US 10/22/11 P17       24.8  33.5   0.92   80.4   3690
NLY    ANNALY CAPI  NLY US 01/21/12 C16       24.7  33.7   1.76  -20.7    780
NLY    ANNALY CAPI  NLY US 10/22/11 C15       24.0  44.3   2.51  -17.7    570
NLY    ANNALY CAPI  NLY US 09/17/11 P18       23.3  28.3   0.72  132.3   1573
NLY    ANNALY CAPI  NLY US 10/22/11 P18       22.8  29.0   1.50   64.8    554
SPRD   SPREADTRUM-  SPRD US 09/17/11 P16      22.6  75.2   0.15  -57.1    888
EWM    ISHARES-MAL  EWM US 09/17/11 P14       22.3  33.7   0.25   25.0   1258
PDLI   PDL BIOPHAR  PDLI US 11/19/11 C6       22.2  43.3   0.40    0.0    274
SPRD   SPREADTRUM-  SPRD US 10/22/11 C19      21.6  59.3   1.55  106.7    371
JAG    JAGUAR MINI  JAG US 09/17/11 C6        21.2  59.4   0.35    0.0   1068
MTZ    MASTEC INC   MTZ US 10/22/11 C20       21.1  57.6   3.00   33.3    469
SPRD   SPREADTRUM-  SPRD US 10/22/11 C20      21.1  58.2   1.15  187.5    406
HRBN   HARBIN ELEC  HRBN US 09/17/11 C2       19.9 488.6  15.10    3.4   2820
NLY    ANNALY CAPI  NLY US 10/22/11 C16       19.8  38.4   1.66  -24.2    653
BCSI   BLUE COAT S  BCSI US 09/17/11 C16      19.6  66.1   0.80  300.0    779
SPRD   SPREADTRUM-  SPRD US 09/17/11 P19      19.6  63.4   0.80    0.0    345
SFI    ISTAR FINAN  SFI US 09/17/11 P7        19.6  68.7   0.30   20.0    295
CBG    CB RICHARD   CBG US 09/17/11 C15       19.4  64.5   0.80   14.3   3807
NLY    ANNALY CAPI  NLY US 10/22/11 P16       18.8  37.5   0.57  103.6   2596
SPRD   SPREADTRUM-  SPRD US 10/22/11 C18      18.8  60.9   2.20   83.3    220
LYG    LLOYDS BANK  LYG US 04/21/12 C2        18.5  71.9   0.65    0.0   1000
LGF    LIONS GATE   LGF US 09/17/11 C7        18.2  37.3   0.45   80.0    220
NLY    ANNALY CAPI  NLY US 09/17/11 P17       18.1  37.7   0.34  161.5   4172
ITUB   ITAU UNIBAN  ITUB US 09/17/11 C19      17.8  37.9   0.65  225.0   1247
NLY    ANNALY CAPI  NLY US 01/21/12 P17.5     17.7  27.2   1.90   31.9    269
LDK    LDK SOLAR C  LDK US 10/22/11 C4        16.9  49.5   1.51    0.0    280
AGNC   AMERICAN CA  AGNC US 09/17/11 C28      16.9  39.6   0.70  -36.4    657
WEN    WENDY'S CO/  WEN US 01/21/12 C5        16.4  42.3   0.51   45.7   1161
NOK    NOKIA CORP-  NOK US 09/17/11 P5.5      16.3  82.3   0.05  -16.7    303
NLY    ANNALY CAPI  NLY US 01/21/12 C17.5     15.6  27.1   0.78  -25.7    963
AGNC   AMERICAN CA  AGNC US 10/22/11 C29      15.0  33.5   0.55  -21.4    385
NLY    ANNALY CAPI  NLY US 01/21/12 P16       14.6  31.0   1.16   52.6    988
NLY    ANNALY CAPI  NLY US 09/17/11 C16       14.5  45.8   1.62  -25.0    277
AGNC   AMERICAN CA  AGNC US 09/17/11 P28      14.4  38.6   1.10  100.0    631
NLY    ANNALY CAPI  NLY US 10/22/11 P15       14.2  42.9   0.36  100.0    430
ITUB   ITAU UNIBAN  ITUB US 10/22/11 P16      14.1  52.3   0.30  -25.0   5000
AWI    ARMSTRONG W  AWI US 09/17/11 P35       13.8  65.2   0.30  -25.0   1002
KCI    KINETIC CON  KCI US 09/17/11 C70       13.4  26.2   0.55   37.5   1368
SVM    SILVERCORP   SVM US 09/17/11 P6        13.2 194.8   0.30   20.0    577
BK     BANK NY MEL  BK US 09/17/11 P15        13.1  94.6   0.03  -72.7    200
XLV    SPDR-HEALTH  XLV US 09/17/11 C30       13.1  39.7   3.60    2.9    600
EWI    ISHARES-ITA  EWI US 09/17/11 P13       12.9  58.2   0.40  -11.1    500
MHS    MEDCO HEALT  MHS US 09/17/11 C52.5     12.8  34.6   2.55    2.0    220
BPZ    BPZ RESOURC  BPZ US 03/17/12 C2        12.6  39.8   1.70   41.7    235
NLY    ANNALY CAPI  NLY US 09/17/11 P15       12.3  58.3   0.08  100.0    489
NLY    ANNALY CAPI  NLY US 09/17/11 P16       12.1  47.6   0.16  166.7   1362
TMV    DIR-D 20Y+T  TMV US 02/18/12 C19       12.0  61.1   6.20   37.8    316
NLY    ANNALY CAPI  NLY US 04/21/12 C17       11.7  27.4   1.27   -5.9    323
NLY    ANNALY CAPI  NLY US 01/21/12 P15       11.6  33.5   0.83   53.7    346
BBD    BRADESCO-AD  BBD US 09/17/11 C17.92    11.4  42.4   1.09  118.0    220
BCSI   BLUE COAT S  BCSI US 10/22/11 C15      11.4  65.4   2.10   61.5   2358
AGNC   AMERICAN CA  AGNC US 09/17/11 C27      11.2  45.0   1.25  -32.4    215
AGNC   AMERICAN CA  AGNC US 01/21/12 C26      11.0  35.6   2.55  -10.5    518
WNC    WABASH NATI  WNC US 01/21/12 C2.5      10.7 112.7   3.60    9.1    300
CAAS   CHINA AUTOM  CAAS US 09/17/11 C5       10.2  76.3   0.25  -16.7    285
FAZ    FINANCIAL B  FAZ1 US 01/21/12 C39      10.1 145.7   0.55   48.6    865
XME    SPDR S&P ME  XME US 09/17/11 P58       10.1  46.2   1.82   -8.5    502

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
CHRS   CHARMING SH  CHRS US 09/17/11 C2.5    -38.8  82.5   0.55    0.0    500
CIEN   CIENA CORP   CIEN US 09/17/11 P15     -35.3  72.3   1.13  -60.4    447
ZUMZ   ZUMIEZ INC   ZUMZ US 09/17/11 C17.5   -33.8  63.7   1.30  -35.0    897
YRCW   YRC WORLDWI  YRCW US 10/22/11 C0.5    -30.1  61.8   0.19  -26.9  13731
TLT    ISHARES BAR  TLT US 01/21/12 C92      -30.0  18.8  15.80    0.0    339
XLU    SPDR-UTIL S  XLU US 01/21/12 C30      -29.9  24.7   4.15    0.0    323
CIEN   CIENA CORP   CIEN US 09/17/11 C15     -29.4  72.4   0.72  176.9   2714
SMH    SEMICONDUCT  SMH US 09/17/11 P29      -28.5  30.7   0.61  -36.5    296
EK     EASTMAN KOD  EK US 10/22/11 C2        -28.1  92.4   1.30   -0.8    234
CIEN   CIENA CORP   CIEN US 09/17/11 C14     -26.8  75.4   1.25  177.8   3042
CIEN   CIENA CORP   CIEN US 09/17/11 P14     -26.7  74.7   0.58  -74.7   5242
TLT    ISHARES BAR  TLT US 09/17/11 C101     -26.6  18.7   6.15  -19.0    461
CIEN   CIENA CORP   CIEN US 09/17/11 C13     -24.2  79.0   1.98  160.5   2417
CIEN   CIENA CORP   CIEN US 09/17/11 P13     -23.0  80.7   0.35  -77.4    644
MMI    MOTOROLA MO  MMI US 10/22/11 P38      -20.4   8.4   0.65  -18.8    262
XLF    SPDR-FINL S  XLF US 09/17/11 C11      -18.7  50.4   2.33   -4.5    244
CIEN   CIENA CORP   CIEN US 09/17/11 C12     -17.9  88.5   2.81  128.5    922
CIEN   CIENA CORP   CIEN US 09/17/11 P12     -17.9  89.8   0.17  -83.2   1723
EM     EMDEON INC-  EM US 01/21/12 P17.5     -17.7  11.0   0.15    0.0    398
IEF    ISHARES 7-1  IEF US 09/17/11 C102     -17.1   8.9   1.55   34.8   1025
DRN    DIREXION-R   DRN US 11/19/11 P26      -16.9 125.8   1.15    0.0    332
IDCC   INTERDIGITA  IDCC US 09/17/11 C46     -15.3 109.0  26.10    0.0    431
YRCW   YRC WORLDWI  YRCW US 09/17/11 C0.5    -15.1 112.9   0.20  -23.1   1781
OPTR   OPTIMER PHA  OPTR US 10/22/11 P10     -14.5  59.8   0.90  -14.3   1009
INTC   INTEL CORP   INTC US 09/17/11 C18     -14.5  35.1   2.23    0.9    471
GPS    GAP INC/THE  GPS US 09/17/11 P16      -14.1  39.8   0.44    7.3   3087
CMO    CAPSTEAD MO  CMO US 10/22/11 P12.5    -13.7  23.8   0.50   42.9    208
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C51      -13.4  34.5   4.45    1.6    213
CIEN   CIENA CORP   CIEN US 10/22/11 C15     -13.0  66.8   1.28  141.5    597
GPS    GAP INC/THE  GPS US 09/17/11 C16      -11.8  40.9   0.60  -33.3    325
CIEN   CIENA CORP   CIEN US 10/22/11 P14     -11.8  70.1   1.22  -54.0    661
DANG   E-COMMERCE   DANG US 09/17/11 C8      -11.7  88.4   0.45  -18.2    239
JWN    NORDSTROM I  JWN US 09/17/11 C47      -11.6  44.6   1.02    1.0    225
JWN    NORDSTROM I  JWN US 09/17/11 C46      -11.5  45.7   1.48    0.0    261
CIEN   CIENA CORP   CIEN US 10/22/11 C14     -11.3  69.2   1.82  130.4    323
TGT    TARGET CORP  TGT US 09/17/11 C52.5    -10.9  25.4   0.60  -32.6   3327
CIEN   CIENA CORP   CIEN US 10/22/11 P13     -10.6  72.3   0.78  -55.4    599
TGT    TARGET CORP  TGT US 09/17/11 C50      -10.2  29.4   2.05  -13.5    237
CIEN   CIENA CORP   CIEN US 10/22/11 C13     -10.0  71.9   2.33  104.4    223

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

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