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U.S. Stock Options With Biggest Changes in Implied Volatility

Sept. 24 (Bloomberg) -- 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
=============================================================================
CYOU   CHANGYOU.CO  CYOU US 10/16/10 C30      21.2  41.0   0.90  157.1   1323
MJN    MEAD JOHNSO  MJN US 10/16/10 P55       20.8  36.1   0.96  -20.0    540
MJN    MEAD JOHNSO  MJN US 10/16/10 C55       19.7  36.7   3.33   41.7    321
QQQQ   POWERSH-QQQ  QQQQ US 10/16/10 P52      19.5  17.0   2.55  -28.2   1083
HNZ    HJ HEINZ CO  HNZ US 10/16/10 C49       16.6  18.7   0.35   20.7    319
ARMH   ARM HOLDING  ARMH US 10/16/10 C19      16.4  44.7   1.20  140.0    470
MHLD   MAIDEN HOLD  MHLD US  2/19/11 C7.5     16.1  27.8   0.50    0.0   1015
HUN    HUNTSMAN CO  HUN US 10/16/10 C11       16.1  44.6   0.65   44.4    614
VIA/B  VIACOM INC-  VIAB US 10/16/10 P35      13.5  31.2   0.65  -27.8    227
SPY    SPDR S&P 50  SPY US 10/16/10 P119      13.3  15.3   4.78  -28.1    304
BRK/B  BERKSHIRE H  BRKB US 10/16/10 P85      13.3  19.7   2.00  -52.4   4057
MJN    MEAD JOHNSO  MJN US 10/16/10 C60       12.7  39.2   1.09   78.7   1673
GIS    GENERAL MIL  GIS US 10/16/10 P37.5     12.6  28.6   1.35  -22.4   1524
CIM    CHIMERA INV  CIM US  3/19/11 C4        12.4  28.2   0.25   25.0    987
SCCO   SOUTHERN CO  SCCO US 10/16/10 C36      11.9  28.1   0.45   50.0    376
AMZN   AMAZON.COM   AMZN US 10/16/10 P155     10.9  37.4   3.90  -38.0   1926
BRK/B  BERKSHIRE H  BRKB US 10/16/10 C85      10.7  18.9   1.12  330.8   3777
HNZ    HJ HEINZ CO  HNZ US 10/16/10 C50       10.6  21.0   0.20  100.0    381
AMLN   AMYLIN PHAR  AMLN US 10/16/10 C22.5    10.3  46.3   0.57   50.0   2498
VZ     VERIZON COM  VZ1 US 10/16/10 C34       10.2  45.7   0.72   14.3    234

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= AGNC AMERICAN CA AGNC US 10/16/10 C27 -47.1 26.4 1.28 -43.1 382 EDU NEW ORIENTA EDU US 10/16/10 C100 -31.7 35.6 2.75 -76.1 336 XLP SPDR-CONS S XLP US 10/16/10 C29 -31.5 9.6 0.04 0.0 5000 NOVL NOVELL INC NOVL US 10/16/10 C6 -28.8 32.3 0.35 0.0 732 VALE VALE SA-SP VALE US 10/16/10 P31 -23.6 31.0 1.67 -20.1 415 MIR MIRANT CORP MIR US 10/16/10 C10 -23.4 31.5 0.35 40.0 370 CLDX CELLDEX THE CLDX US 10/16/10 C4 -21.4 60.2 0.30 -14.3 300 IRM IRON MOUNTA IRM US 10/16/10 C22.5 -19.7 24.5 0.20 0.0 1201 DTG DOLLAR THRI DTG US 10/16/10 C50 -19.6 20.2 1.50 -47.4 1450 DTG DOLLAR THRI DTG US 10/16/10 P50 -19.1 20.0 0.60 71.4 1554 PBR PETROBRAS S PBR US 10/16/10 P37 -18.9 34.7 2.11 -2.8 348 C CITIGROUP I C US 10/16/10 C4 -18.6 25.4 0.05 0.0 53130 VALE VALE SA-SP VALE US 10/16/10 P30 -17.6 31.3 1.08 -33.7 1019 TEN TENNECO INC TEN US 10/16/10 C29 -17.6 44.4 0.85 6.2 2536 NKE NIKE INC -C NKE US 10/16/10 C80 -17.5 22.0 2.22 101.8 5830 PBR PETROBRAS S PBR US 10/16/10 P36 -16.9 34.8 1.34 -18.3 4602 NKE NIKE INC -C NKE US 10/16/10 P80 -16.4 22.3 1.34 -61.2 1854 LYG LLOYDS BANK LYG US 10/16/10 C5 -15.7 38.8 0.10 100.0 559 PBR PETROBRAS S PBR US 10/16/10 C36 -15.0 35.0 0.94 -27.1 3772 PBR PETROBRAS S PBR US 10/16/10 C37 -14.4 35.3 0.60 -33.3 1270 NLC NALCO HLDG NLC US 11/20/10 C26 -14.2 27.7 0.80 6.7 668 PBR PETROBRAS S PBR US 10/16/10 C34 -13.8 35.8 2.03 -12.5 3176 PBR PETROBRAS S PBR US 10/16/10 P35 -13.8 35.2 0.93 -14.7 3393 OEF ISHARES-SP1 OEF US 10/16/10 C50 -13.7 19.9 2.25 40.6 2149 NUVA NUVASIVE IN NUVA US 10/16/10 C35 -13.7 36.0 0.49 -18.3 248 KBH KB HOME KBH US 10/16/10 P12 -13.6 48.8 0.48 -40.7 2077 PFE PFIZER INC PFE US 10/16/10 C18 -13.3 18.6 0.10 25.0 291 BAC BANK OF AME BAC US 10/16/10 P14 -13.3 31.9 0.76 -24.0 1412 ADBE ADOBE SYS I ADBE US 10/16/10 P27 -13.2 32.3 0.92 -29.2 339 HTS HATTERAS FI HTS US 10/16/10 C29 -13.2 13.2 0.70 40.0 332 PBR PETROBRAS S PBR US 10/16/10 P34 -13.2 35.2 0.55 -19.1 1543 TIBX TIBCO SOFTW TIBX US 11/20/10 C17.5 -13.2 41.6 1.40 64.7 297 AVB AVALONBAY C AVB US 10/16/10 P110 -13.2 27.1 6.00 -16.7 320 NLY ANNALY CAPI NLY US 10/16/10 C19 -13.1 17.5 0.02 -33.3 561 LVLT LEVEL 3 COM LVLT US 12/18/10 C1 -13.1 74.1 0.10 0.0 203 KBH KB HOME KBH US 10/16/10 C12 -13.0 49.2 0.66 20.0 414 ADBE ADOBE SYS I ADBE US 10/16/10 C28 -12.9 33.5 0.41 -2.4 1647 PBR PETROBRAS S PBR US 10/16/10 C35 -12.8 35.4 1.43 -20.6 3242 ADBE ADOBE SYS I ADBE US 10/16/10 C27 -12.7 32.9 0.76 5.6 2040 XLF SPDR-FINL S XLF US 10/16/10 P15 -12.4 24.3 0.61 -31.5 863 DTG DOLLAR THRI DTG US 10/16/10 P49 -12.4 21.2 0.34 36.0 4253 SDS PROSHARES U SDS US 10/16/10 C28 -12.3 34.1 1.73 -37.5 1267 VALE VALE SA-SP VALE US 10/16/10 P29 -12.3 32.6 0.63 -39.4 430 SDS PROSHARES U SDS US 10/16/10 P28 -11.4 33.3 0.39 56.0 685 AMX AMERICA MO- AMX US 10/16/10 P55 -11.3 20.7 2.10 -27.6 630 ADBE ADOBE SYS I ADBE US 10/16/10 P26 -11.0 32.6 0.48 -37.7 877 TBT PROSHARES U TBT US 10/16/10 C33 -10.5 31.0 0.64 16.4 1018 DIA SPDR DJIA T DIA US 10/16/10 C113 -10.2 12.9 0.15 87.5 537


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


-- Bloomberg News


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