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

Sept. 30 (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
=============================================================================
PBH    PRESTIGE BR  PBH US 11/20/10 C10       62.4  40.1   0.60    0.0    221
SPY    SPDR S&P 50  SPY US 10/16/10 P120      52.4  16.5   6.15    8.8    469
OREX   OREXIGEN TH  OREX US 10/16/10 C6       26.5  68.6   0.25  150.0    687
GIGM   GIGAMEDIA L  GIGM US 10/16/10 C2       25.4  27.8   0.10    0.0   1375
SPY    SPDR S&P 50  SPY US 10/16/10 P119      24.0  17.3   5.25    8.9   2892
QQQQ   POWERSH-QQQ  QQQQ US 10/16/10 P51      22.9  19.3   2.27   18.9   3387
APWR   A-POWER ENE  APWR US 10/16/10 C8       20.8  72.3   0.55  129.2    429
CIM    CHIMERA INV  CIM US 12/18/10 C4        18.7  25.6   0.15    0.0    293
SPY    SPDR S&P 50  SPY US 10/16/10 P118      18.2  18.0   4.43   11.6  17706
SOL    RENESOLA LT  SOL US 10/16/10 C12       17.5  65.2   0.60  -11.8    791
CSIQ   CANADIAN SO  CSIQ US 10/16/10 P15      17.4  65.1   0.65  -35.0    221
CY     CYPRESS SEM  CY US 10/16/10 P13        16.5  42.8   0.65   85.7   1957
HUN    HUNTSMAN CO  HUN US 11/20/10 C11       15.7  49.5   1.10    4.8   3702
TWX    TIME WARNER  TWX US 10/16/10 C30       15.5  32.4   1.32   16.8  10121
NVS    NOVARTIS AG  NVS US 10/16/10 C60       14.9  25.3   0.40   33.3   4687
CSIQ   CANADIAN SO  CSIQ US 10/16/10 C15      14.9  63.3   1.05  133.3   2094
XLF    SPDR-FINL S  XLF US 10/16/10 P15       14.6  25.5   0.72    1.4   3403
TWX    TIME WARNER  TWX US 10/16/10 P30       14.2  32.0   0.55   27.9    283
SPY    SPDR S&P 50  SPY US 10/16/10 P117      13.5  18.6   3.69   11.5  32177
NLY    ANNALY CAPI  NLY US 11/20/10 C18       13.2  19.0   0.35  -14.6    803
CIGX   STAR SCIENT  CIGX US  1/22/11 C2       13.1 102.5   0.45   12.5    250
CAR    AVIS BUDGET  CAR US 10/16/10 C12       12.5  63.3   0.40   14.3    568
TWX    TIME WARNER  TWX US 10/16/10 C31       12.5  29.6   0.57    5.6    245
DTG    DOLLAR THRI  DTG US 11/20/10 C50       12.1  20.1   1.75   40.0    637
CSIQ   CANADIAN SO  CSIQ US 10/16/10 C16      11.2  62.7   0.55  120.0   2721
SPY    SPDR S&P 50  SPY US 10/16/10 P116      11.2  19.2   3.04   17.4  31372
SDRL   SEADRILL LT  SDRL US 11/20/10 P30      11.0  32.3   2.10   -2.3    593
PAY    VERIFONE SY  PAY US 10/16/10 C32       11.0  39.1   0.50  233.3    218
FE     FIRSTENERGY  FE US 10/16/10 C39        10.9  16.8   0.35    0.0    287
CSIQ   CANADIAN SO  CSIQ US 11/20/10 C16      10.7  61.6   1.17   80.0    234
SPY    SPDR S&P 50  SPY US 10/16/10 P115      10.4  20.0   2.45   19.5  45072
CRUS   CIRRUS LOGI  CRUS US 10/16/10 P18      10.1  62.8   1.16  132.0    466

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= NLY ANNALY CAPI NLY US 10/16/10 C17 -54.8 23.5 0.76 -45.3 656 IVR INVESCO MOR IVR US 11/20/10 C22.5 -31.9 15.7 0.25 -44.4 1363 XRTX XYRATEX LTD XRTX US 10/16/10 C15 -29.1 60.7 0.77 -71.5 560 NZ NETEZZA COR NZ US 11/20/10 C27.5 -27.0 8.4 0.10 -60.0 1860 XRTX XYRATEX LTD XRTX US 10/16/10 P15 -23.9 63.5 0.90 157.1 1453 ERF ENERPLUS RE ERF US 10/16/10 C26 -23.8 17.7 0.15 0.0 320 NLY ANNALY CAPI NLY US 10/16/10 C18 -20.4 17.0 0.11 -72.5 3931 CCE COCA-COLA E CCE US 10/16/10 P31 -17.8 15.4 0.25 -39.0 220 LUFK LUFKIN INDS LUFK US 10/16/10 C45 -15.2 38.0 0.70 -54.8 1160 NLY ANNALY CAPI NLY US 10/16/10 P18 -15.0 17.4 0.46 0.0 1106 QCOR QUESTCOR PH QCOR US 4/16/11 C10 -13.8 56.5 1.70 -15.0 288 NLY ANNALY CAPI NLY US 10/16/10 P17 -13.5 23.6 0.10 -23.1 1182 LUV SOUTHWEST A LUV US 10/16/10 P13 -12.5 30.3 0.30 15.4 801 CCE COCA-COLA E CCE US 10/16/10 C31 -12.0 15.9 0.55 41.0 200 PFE PFIZER INC PFE US 10/16/10 P18 -11.3 16.5 0.69 0.0 339 THOR THORATEC CO THOR US 10/16/10 C35 -11.2 38.6 2.05 -55.4 540 ACOR ACORDA THER ACOR US 10/16/10 P34 -11.0 34.8 1.20 4.3 200 CLNE CLEAN ENERG CLNE US 10/16/10 C15 -10.8 47.4 0.35 -30.0 294 XRTX XYRATEX LTD XRTX US 12/18/10 C15 -10.7 61.2 1.80 -47.1 367 XRTX XYRATEX LTD XRTX US 11/20/10 P15 -10.2 62.9 1.40 75.0 240 NLY ANNALY CAPI NLY US 1/22/11 C17.5 -10.2 20.1 0.77 -14.4 853


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


-- Bloomberg News


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