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

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Jan. 4 (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
=============================================================================
SAP    SAP AG-SPON  SAP US 01/22/11 C49      160.6  23.6   2.35    8.3    250
STM    STMICROELEC  STM US 01/22/11 C10       68.4  44.8   0.95   46.1    247
TZA    SMALL CAP B  TZA US 01/22/11 C12       59.3  61.5   3.25   -3.0   5150
QQQQ   POWERSH-QQQ  QQQQ US 01/22/11 C51      53.0  22.4   4.34   -0.7    250
IWM    ISHARES-RUS  IWM US 01/22/11 C70       49.5  28.6   9.05   -6.8    346
ARLP   ALLIANCE RE  ARLP US 01/22/11 C65      39.9  22.7   2.79  -10.0    280
C      CITIGROUP I  C US 01/22/11 C4          37.6  64.0   0.85   -4.5   5158
PMI    PMI GROUP I  PMI US 02/19/11 C3.5      33.3  84.0   0.55   57.1   2903
SIG    SIGNET JEWE  SIG US 01/22/11 C40       33.0  40.5   3.50   -5.4    414
XLF    SPDR-FINL S  XLF US 01/22/11 C15       32.4  26.4   1.27   -5.9   1809
SPY    SPDR S&P 50  SPY US 01/22/11 C118      31.8  23.2   8.82   -4.3    229
VZ     VERIZON COM  VZ US 01/22/11 C34        31.6  30.2   2.69   12.1    500
VZ     VERIZON COM  VZ US 01/22/11 C35        29.3  21.5   1.79   26.9    520
AA     ALCOA INC    AA US 01/22/11 C12.5      28.9  62.9   3.85   16.7    940
GOOG   GOOGLE INC-  GOOG US 01/22/11 C490     28.4  43.9 113.40    0.3    301
FRG    FRONTEER GO  FRG US 03/19/11 C7.5      26.5  64.1   3.30  -17.5    963
RVBD   RIVERBED TE  RVBD US 01/22/11 C30      25.9  78.0   8.80   10.0    268
SOA    SOLUTIA INC  SOA US 01/22/11 P22.5     25.7  46.0   0.35    0.0    200
VZ     VERIZON COM  VZ US 01/22/11 C31        25.1  63.0   5.55    2.8    204
AA     ALCOA INC    AA US 01/22/11 C14        25.0  50.2   2.36   26.9   1189
MTG    MGIC INVT C  MTG US 01/22/11 C11       24.7  63.5   0.55   37.5   1433
ZMH    ZIMMER HLDG  ZMH US 01/22/11 C50       24.7  28.3   4.70   -2.1    358
UNG    US NAT GAS   UNG US 01/22/11 C5        23.5  62.0   1.27   -1.6   2555
SPY    SPDR S&P 50  SPY US 01/22/11 C119      23.5  22.0   8.12    0.4    323
AA     ALCOA INC    AA US 01/22/11 P15        22.4  46.3   0.17  -19.1  20107
AA     ALCOA INC    AA US 01/22/11 P14        22.2  49.5   0.07   16.7   6011
NG     NOVAGOLD RE  NG US 01/22/11 C12.5      22.1  57.9   1.20  -27.3    322
GNK    GENCO SHIPP  GNK US 01/22/11 P14       21.6  42.4   0.23   -8.0    602
WNR    WESTERN REF  WNR US 01/22/11 C9        21.1  57.7   1.60  -11.1    261
PAL    NORTH AMER   PAL US 01/22/11 C6        21.0  72.4   0.85  -20.6    280
BAC    BANK OF AME  BAC US 01/22/11 C10       20.5  76.6   4.10   -2.4    446
C      CITIGROUP I  C US 02/19/11 C3          20.4  75.2   1.90    0.0    205
PUDA   PUDA COAL I  PUDA US 01/22/11 C12.5    20.1  60.8   1.75  -18.6    293
VZ     VERIZON COM  VZ US 01/22/11 C36        19.4  18.8   0.85   44.1   1084
AA     ALCOA INC    AA US 01/22/11 P12.5      19.4  63.7   0.02    0.0    460
MTG    MGIC INVT C  MTG US 01/22/11 P10       18.9  60.9   0.19   11.8    459
C      CITIGROUP I  C US 03/19/11 C3          18.9  65.2   1.86   -2.1   1126
BWA    BORGWARNER   BWA US 01/22/11 P70       18.5  34.7   0.85   18.1   1294
AA     ALCOA INC    AA US 01/22/11 C15        18.2  46.2   1.50   48.5   3056
AMGN   AMGEN INC    AMGN US 01/22/11 P52.5    18.0  27.4   0.16  -15.8    935
XLF    SPDR-FINL S  XLF US 01/22/11 C16       17.4  22.4   0.46   -8.0   3630
AHD    ATLAS PIPEL  AHD US 02/19/11 P15       17.4  87.1   1.75   12.9    470
ONXX   ONYX PHARM   ONXX US 01/21/12 C22.5    17.4  52.7  16.00    0.0    969
AA     ALCOA INC    AA US 01/22/11 P16        17.4  44.8   0.48  -26.1   9166
SIRI   SIRIUS XM R  SIRI US 01/22/11 C1       17.3 151.3   0.68   -4.2    211
LIFE   LIFE TECHNO  LIFE US 01/22/11 C40      17.1  94.2  17.00    5.8    200
GA     GIANT INTER  GA US 01/22/11 C7.5       16.4  33.5   0.10    0.0    934
GNK    GENCO SHIPP  GNK US 02/19/11 C14       16.3  46.3   1.25   19.1  10284
PWER   POWER-ONE I  PWER US 01/22/11 P9       16.3  57.7   0.05  -50.0    274
LUV    SOUTHWEST A  LUV US 01/19/13 C10       15.9  39.7   4.60    4.5    200
SPY    SPDR S&P 50  SPY US 01/22/11 C122      15.7  19.0   5.07   -4.9   3680
QQQQ   POWERSH-QQQ  QQQQ US 01/22/11 C50      15.6  22.9   5.31    0.2    205
AMGN   AMGEN INC    AMGN US 01/22/11 C55      15.5  23.6   2.17   61.9    686
GNK    GENCO SHIPP  GNK US 02/19/11 C15       15.2  41.9   0.70   27.3    249
NG     NOVAGOLD RE  NG US 02/19/11 C12        15.2  60.1   1.90  -19.1    240
FMCN   FOCUS MEDIA  FMCN US 01/22/11 C24      15.1  46.8   0.80  128.6   1552
AUXL   AUXILIUM PH  AUXL US 01/22/11 C22.5    14.7  59.5   0.70   27.3    921
DIA    SPDR DJIA T  DIA US 01/22/11 C116      14.7  13.2   1.59   10.4    257
AA     ALCOA INC    AA US 01/22/11 C16        14.7  45.0   0.80   77.8   9852
WCRX   WARNER CHIL  WCRX US 01/22/11 P21.5    14.3  36.9   0.20    0.0    240
AAPL   APPLE INC    AAPL US 01/22/11 C270     14.1  49.2  60.59    1.0    690
SPY    SPDR S&P 50  SPY US 01/22/11 C123      14.1  18.1   4.25   -7.6   3755
SVU    SUPERVALU I  SVU US 02/19/11 P9        14.1  50.0   0.75  127.3    507
WERN   WERNER ENT   WERN US 03/19/11 C23.4    14.1  28.9   0.95  -23.4    302
FCX    FREEPORT-MC  FCX US 01/22/11 P120      14.1  44.1   6.70   45.6    859
IOC    INTEROIL CO  IOC US 01/21/12 C40       14.0  65.8  40.15   -3.8    200
GM     GENERAL MOT  GM US 01/22/11 P38        13.7  30.7   1.25    4.2    512
IDCC   INTERDIGITA  IDCC US 01/22/11 P37      13.6  68.6   0.25  -16.7    249
IWM    ISHARES-RUS  IWM US 01/22/11 C75       13.6  25.6   4.36  -13.2    327
TASR   TASER INTL   TASR US 03/19/11 C5       13.6  55.0   0.45    0.0    240
IDCC   INTERDIGITA  IDCC US 01/22/11 C44      13.2  57.7   1.85   49.2    852
MO     ALTRIA GROU  MO US 01/22/11 C25        13.2  14.2   0.06  -40.0    621
GM     GENERAL MOT  GM US 01/22/11 P37        13.1  31.1   0.75    0.0   5298
FCX    FREEPORT-MC  FCX US 01/22/11 P119      13.0  44.6   5.90   43.9   1760
SVU    SUPERVALU I  SVU US 01/22/11 C9        12.8  60.7   0.35  -53.3   1560
GM     GENERAL MOT  GM US 01/22/11 P36        12.8  31.6   0.36  -20.0    442
ENP    ENCORE ENER  ENP US 02/19/11 C22.5     12.8  29.6   0.50  -23.1    200
GNK    GENCO SHIPP  GNK US 01/22/11 C14       12.6  41.1   0.86   14.7    500
F      FORD MOTOR   F US 01/22/11 C15         12.5  41.3   2.45    7.5    954
DIA    SPDR DJIA T  DIA US 01/22/11 C117      12.5  12.5   0.99   10.0    284
GNK    GENCO SHIPP  GNK US 01/22/11 C15       12.5  38.3   0.35   40.0    711
MTL    MECHEL-SPON  MTL US 01/22/11 P31       12.4  44.0   0.75  -31.8    459
MTL    MECHEL-SPON  MTL US 01/22/11 P30       12.4  45.4   0.45  -40.0    355
LYG    LLOYDS BANK  LYG US 07/16/11 C4        12.4  45.1   0.65    8.3    605
MMR    MCMORAN EXP  MMR US 01/22/11 C14       12.2  79.5   3.45    0.0    209
EBIX   EBIX INC     EBIX US 01/22/11 C24      12.1  38.9   0.80    8.1    205
AA     ALCOA INC    AA US 01/19/13 C12.5      12.0  39.3   5.30    9.5   1124
VXX    IPATH-S&P S  VXX US 01/22/11 P36       12.0  56.8   1.25  -19.4   7340
THC    TENET HEALT  THC US 05/21/11 C7        12.0  29.1   0.40    0.0  20143
QQQQ   POWERSH-QQQ  QQQQ US 01/22/11 C53      11.9  20.0   2.36   -6.0    990
INTC   INTEL CORP   INTC US 01/22/11 C19      11.7  36.4   2.18   12.9    256
UAL    UNITED CONT  UAL US 01/22/11 P24       11.6  45.8   0.35  -20.4    204
KOL    MKT VECT-CO  KOL US 01/22/11 P45       11.5  34.3   0.25  -72.2    300
BP     BP PLC-ADR   BP US 01/22/11 C43        11.4  31.9   3.15   27.0    545
S      SPRINT NEXT  S US 01/22/11 P4          11.4  50.2   0.03    0.0    258
MNKD   MANNKIND CO  MNKD US 01/22/11 C7.5     11.3 100.5   1.25   -3.9    278
MMR    MCMORAN EXP  MMR US 01/22/11 C15       11.2  71.4   2.30   -3.4   2695
NXY    NEXEN INC    NXY US 02/19/11 P20       11.2  41.6   0.25  -28.6    630
VXX    IPATH-S&P S  VXX US 01/22/11 P33       11.1  50.8   0.27  -32.5   6261
HANS   HANSEN NATU  HANS US 01/22/11 C46      11.1  50.5   7.16   -3.2    400
CMG    CHIPOTLE ME  CMG US 01/22/11 P230      11.1  40.2  13.60   22.5    314
NG     NOVAGOLD RE  NG US 01/22/11 C10        11.1  76.2   3.40  -15.0    711
XLF    SPDR-FINL S  XLF US 02/19/11 C14       11.0  29.2   2.31   -2.5    974
AMZN   AMAZON.COM   AMZN US 01/22/11 C160     10.9  40.4  25.90    5.7    299
GM     GENERAL MOT  GM US 02/19/11 P36        10.9  32.0   0.90  -14.3    208
PEP    PEPSICO INC  PEP US 01/22/11 C67.5     10.9  11.8   0.08  -33.3    300
GM     GENERAL MOT  GM US 01/22/11 C35        10.8  32.5   2.70   17.4    893
MTL    MECHEL-SPON  MTL US 01/22/11 C31       10.8  45.0   1.80   89.5    274
MCP    MOLYCORP IN  MCP US 02/19/11 P55       10.7 109.9   6.70   -4.3    450
MTL    MECHEL-SPON  MTL US 01/22/11 C29       10.7  47.2   3.40   36.0    500
MMR    MCMORAN EXP  MMR US 01/22/11 P15       10.6  67.9   0.24   26.3    405
MCP    MOLYCORP IN  MCP US 01/22/11 P50       10.6 117.8   2.00   -4.8   1047
ISIS   ISIS PHARM   ISIS US 04/16/11 C10      10.4  42.6   1.10   10.0    400
BWA    BORGWARNER   BWA US 02/19/11 P70       10.4  37.0   2.25    9.8    589
AAPL   APPLE INC    AAPL US 01/22/11 C260     10.3  51.6  70.35    1.1    283
DIS    WALT DISNEY  DIS US 01/22/11 C36       10.3  25.0   2.60   21.5    268
KBR    KBR INC      KBR US 01/22/11 P29       10.2  34.6   0.50  100.0    399
RDS/A  ROYAL DUTCH  RDSA US 01/22/11 P65      10.2  22.5   0.50   25.0   1270
OIL    IPATH GS CR  OIL US 02/19/11 C26       10.1  30.0   0.60  -39.4    568
XLF    SPDR-FINL S  XLF US 02/19/11 C15       10.1  26.4   1.40   -2.8    873
NEE    NEXTERA ENE  NEE US 01/22/11 P50       10.0  20.1   0.15   50.0    200

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= JNJ JOHNSON&JOH JNJ US 02/19/11 P65 -71.3 4.7 2.66 -1.5 1341 CTV COMMSCOPE I CTV US 01/22/11 C31 -43.8 4.7 0.40 0.0 400 XLF SPDR-FINL S XLF US 02/19/11 C13 -34.8 22.1 3.30 0.0 200 PFF ISHARES S&P PFF US 01/22/11 C39 -33.3 3.3 0.05 0.0 1600 FTK FLOTEK INDS FTK US 01/22/11 C5 -32.5 70.0 0.55 10.0 843 USO UNITED STAT USO US 01/22/11 C31 -32.4 38.2 7.10 -1.4 200 SLW SILVER WHEA SLW US 01/22/11 C32 -31.0 50.0 5.80 -17.1 902 DBA POWERSHARES DBA US 01/22/11 C30 -30.5 21.6 1.80 -25.0 323 SVU SUPERVALU I SVU US 01/22/11 P5 -28.8 159.8 0.10 0.0 674 NLY ANNALY CAPI NLY US 04/16/11 P18 -27.6 10.5 1.32 32.0 267 UXG US GOLD COR UXG US 02/19/11 C5 -27.0 66.2 2.50 -15.2 953 BPOP POPULAR INC BPOP US 01/22/11 C3 -26.5 27.6 0.18 -18.2 437 CMCSA COMCAST COR CMCSA US 01/22/11 C12.5 -26.5 108.1 9.90 4.8 1000 SI SIEMENS AG- SI US 01/22/11 P115 -25.3 29.0 1.25 38.9 534 GM GENERAL MOT GM US 01/22/11 C29 -23.4 44.4 8.11 -5.3 527 TXI TEXAS INDUS TXI US 01/22/11 C40 -22.3 52.2 5.40 -19.4 294 PBI PITNEY BOWE PBI US 01/22/11 P25 -21.7 15.8 0.70 -17.6 261 SLW SILVER WHEA SLW US 01/22/11 C28 -21.1 56.3 9.65 -8.1 902 CHBT CHINA-BIOTI CHBT US 01/22/11 C12.5 -20.9 35.6 2.50 11.1 272 JOE ST JOE CO JOE US 01/22/11 C17.5 -20.7 55.7 4.50 -4.3 1512 HST HOST HOTELS HST US 01/22/11 P17.5 -20.1 23.0 0.20 -33.3 284 NLY ANNALY CAPI NLY US 01/22/11 P17.5 -20.1 13.3 0.26 116.7 6929 BEXP BRIGHAM EXP BEXP US 01/22/11 C20 -18.9 70.6 8.00 -1.2 1457 TBT PROSHARES U TBT US 01/22/11 C32 -17.4 36.0 5.51 1.7 273 EGO ELDORADO GO EGO US 01/22/11 C15 -17.3 51.9 2.90 -16.4 202 SVU SUPERVALU I SVU US 01/22/11 P7.5 -17.1 64.8 0.05 25.0 240 EROC EAGLE ROCK EROC US 04/16/11 C7.5 -16.7 31.0 1.35 -10.0 220 CSX CSX CORP CSX US 01/22/11 P60 -16.4 28.1 0.19 -29.6 262 NLY ANNALY CAPI NLY US 07/16/11 P17 -16.1 14.5 1.30 23.8 1208 CSX CSX CORP CSX US 01/22/11 P62.5 -15.9 25.3 0.51 -10.5 5179 C CITIGROUP I C US 01/22/11 P4.5 -15.3 36.2 0.03 -25.0 6559 PIP PHARMATHENE PIP US 06/18/11 C2.5 -14.9 117.5 1.75 -14.6 1215 NLY ANNALY CAPI NLY US 02/19/11 P17 -14.9 16.2 0.22 29.4 3953 SPY SPDR S&P 50 SPY US 03/19/11 P132 -14.8 14.8 7.24 7.7 404 NLY ANNALY CAPI NLY US 01/22/11 C17.5 -14.3 14.2 0.15 -69.4 2870 BBG BILL BARRET BBG US 02/19/11 P35 -14.0 41.5 0.50 0.0 250 CSX CSX CORP CSX US 01/22/11 C65 -13.5 23.8 1.28 -34.4 471 NLY ANNALY CAPI NLY US 02/19/11 C16 -13.4 21.0 1.44 -26.1 562 NLY ANNALY CAPI NLY US 04/16/11 P17 -13.3 14.4 0.65 27.4 548 XLF SPDR-FINL S XLF US 01/22/11 P17 -13.3 21.4 0.82 7.9 1246 SPY SPDR S&P 50 SPY US 03/19/11 P131 -12.8 15.1 6.56 6.8 801 NLY ANNALY CAPI NLY US 04/16/11 P16 -12.5 17.4 0.32 23.1 210 EGO ELDORADO GO EGO US 01/22/11 C17.5 -12.5 34.5 0.70 -39.1 226 SPY SPDR S&P 50 SPY US 01/22/11 P131 -12.3 12.3 4.62 9.5 4051 FTR FRONTIER CO FTR US 02/19/11 C10 -11.9 17.2 0.10 -33.3 208 ONCY ONCOLYTICS ONCY US 02/19/11 P5 -11.8 143.9 0.30 0.0 280 MNKD MANNKIND CO MNKD US 01/19/13 P2.5 -11.8 90.7 0.50 -9.1 1096 C CITIGROUP I C US 02/19/11 P4 -11.6 40.0 0.03 0.0 660 C CITIGROUP I C US 01/22/11 C3.5 -11.5 72.3 1.35 -3.6 331 SPY SPDR S&P 50 SPY US 03/19/11 P130 -11.1 15.6 5.92 5.7 934 BUCY BUCYRUS INT BUCY US 01/22/11 C90 -11.0 2.8 0.13 8.3 303 OXPS OPTIONSXPRE OXPS US 01/22/11 P15.5 -10.8 28.2 0.65 44.4 389 HL HECLA MININ HL US 01/22/11 P7.5 -10.6 81.1 0.03 200.0 248 NLY ANNALY CAPI NLY US 07/16/11 P16 -10.4 17.1 0.74 15.6 582 CSX CSX CORP CSX US 01/22/11 P67.5 -10.3 23.4 2.77 7.8 227 BKS BARNES & NO BKS US 01/22/11 P14 -10.3 49.8 0.10 -50.0 376 IRE BANK IRELAN IRE US 01/22/11 P2.5 -10.3 92.8 0.20 0.0 300 ZSL PRSH-ULTSH ZSL US 05/21/11 C10 -10.1 51.9 1.60 14.3 200


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


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