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

Feb. 16 (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
=============================================================================
JCG    J CREW GROU  JCG US 03/19/11 C41       39.1  16.0   2.80   -9.7    816
EWJ    ISHARES-JAP  EWJ US 03/19/11 P12       38.8  15.4   0.55  -15.4    250
DYN    DYNEGY INC   DYN US 03/19/11 C6        38.4  28.2   0.20  100.0   2963
EMC    EMC CORP/MA  EMC US 01/21/12 C15       36.7  34.3  12.25    1.2    300
ERTS   ELECTRONIC   ERTS US 03/19/11 C16      36.0  42.7   3.60   40.1   4672
ERTS   ELECTRONIC   ERTS US 03/19/11 C17      35.6  44.0   2.75   82.1   2379
FTR    FRONTIER CO  FTR US 03/19/11 P9        34.6  22.7   0.10    0.0   1284
ERTS   ELECTRONIC   ERTS US 03/19/11 C18      30.6  42.6   1.87   92.8    765
XHB    SPDR S&P HO  XHB US 03/19/11 C15       29.6  41.2   3.45    4.5   1500
ERTS   ELECTRONIC   ERTS US 03/19/11 C19      27.2  42.2   1.20  140.0    685
ESLR   EVERGREEN S  ESLR US 03/19/11 C2       27.1  34.9   0.10    0.0    277
ERTS   ELECTRONIC   ERTS US 03/19/11 P17      27.1  41.6   0.11  -47.6    450
ERTS   ELECTRONIC   ERTS US 03/19/11 P18      25.6  40.7   0.25  -47.9    687
PPC    PILGRIM'S P  PPC US 06/18/11 C5        25.6  66.2   3.20    3.2    342
ERTS   ELECTRONIC   ERTS US 03/19/11 C20      25.2  43.3   0.76  216.7   8987
PXD    PIONEER NAT  PXD US 03/19/11 C95       24.4  35.8   6.92   41.2    378
SOMX   SOMAXON PHA  SOMX US 08/20/11 C3       23.4  26.1   0.20    0.0    570
FDO    FAMILY DOLL  FDO US 04/16/11 P47       23.4  32.0   0.40  -92.4    354
FDO    FAMILY DOLL  FDO US 04/16/11 C44       22.6  32.2  10.50  486.6    224
NLY    ANNALY CAPI  NLY US 03/19/11 P18       22.4  11.0   0.61   -9.0    819
ZLC    ZALE CORP    ZLC US 03/19/11 P2        22.1 218.0   0.05    0.0    250
ERTS   ELECTRONIC   ERTS US 03/19/11 P19      22.1  41.0   0.65  -35.0   1245
ALU    ALCATEL-LUC  ALU US 03/19/11 C3.5      21.8  59.6   1.30   30.0   1576
AMTD   TD AMERITRA  AMTD US 05/21/11 C19      20.7  30.1   2.72   15.7    361
IBKR   INTERACTIVE  IBKR US 03/19/11 P15.21   20.1  25.0   0.15    0.0   1055
AMGN   AMGEN INC    AMGN US 03/19/11 P55      20.0  22.5   2.59   36.3    381
ERTS   ELECTRONIC   ERTS US 03/19/11 P20      19.8  41.6   1.22  -37.8   2750
NDAQ   NASDAQ OMX   NDAQ US 03/19/11 C28      19.0  47.1   1.80   28.6    722
AMGN   AMGEN INC    AMGN US 03/19/11 C55      18.9  22.6   0.63   -3.1   1785
GE     GENERAL ELE  GE US 03/19/11 C19        18.1  31.7   2.45   -0.4    273
RHI    ROBERT HALF  RHI US 06/18/11 C30       17.4  35.8   4.00    0.0   1121
FDO    FAMILY DOLL  FDO US 04/16/11 C46       17.4  31.0   8.55  850.0    205
CHS    CHICO'S FAS  CHS US 03/19/11 C13       17.0  57.3   0.55   83.3   1895
AMGN   AMGEN INC    AMGN US 03/19/11 P52.5    16.6  23.8   1.21   70.4   4870
ARAY   ACCURAY INC  ARAY US 09/17/11 C10      16.3  50.3   1.65    6.5    395
TIP    ISHARES US   TIP US 09/17/11 C103      16.2   6.7   3.20    6.7    500
AMGN   AMGEN INC    AMGN US 03/19/11 C52.5    15.9  23.8   1.72  -13.1   2527
WFC    WELLS FARGO  WFC US 03/19/11 C34       15.8  30.2   0.70  -18.6   4372
CHBT   CHINA-BIOTI  CHBT US 03/19/11 C10      15.7  85.6   3.10  -11.4    250
STX    SEAGATE TEC  STX US 03/19/11 P13       15.1  39.7   0.23   64.3   1808
HTZ    HERTZ GLOBA  HTZ US 03/19/11 P12.5     14.7  72.8   0.15   50.0    511
WMB    WILLIAMS CO  WMB US 03/19/11 C26       14.4  44.0   2.15   34.4  25300
STX    SEAGATE TEC  STX US 03/19/11 P14       14.1  35.0   0.55   30.9   5117
GGP    GENERAL GRO  GGP US 03/19/11 P15       13.9  30.9   0.35   -2.8    400
TBT    PROSHARES U  TBT US 03/19/11 P37       13.8  29.6   0.28   16.7    954
ODP    OFFICE DEPO  ODP US 03/19/11 P6        13.7  73.7   0.54   20.0    643
WEN    WENDY'S/ARB  WEN US 03/19/11 C5        13.7  36.1   0.15    0.0    200
STX    SEAGATE TEC  STX US 03/19/11 C14       13.7  34.7   0.58   -4.9    542
BBY    BEST BUY CO  BBY US 03/19/11 P34       13.2  29.5   1.81    8.4    325
HERO   HERCULES OF  HERO US 04/16/11 P3       12.8  89.6   0.10  100.0    701
AMGN   AMGEN INC    AMGN US 03/19/11 P50      12.4  26.3   0.50  108.3   1878
WFC    WELLS FARGO  WFC US 03/19/11 P33       12.2  31.2   1.28   66.2  13655
TBT    PROSHARES U  TBT US 03/19/11 P35       12.2  31.6   0.08    0.0    309
BZH    BEAZER HOME  BZH US 03/19/11 C5        12.2  65.8   0.50   66.7   5156
MMP    MAGELLAN MI  MMP US 04/16/11 C60       12.1  12.7   0.65    8.3    520
TBT    PROSHARES U  TBT US 03/19/11 P38       11.5  28.7   0.49    4.3   1204
WFC    WELLS FARGO  WFC US 03/19/11 C31       11.4  35.2   2.38  -20.7   1197
TBT    PROSHARES U  TBT US 03/19/11 C38       11.3  28.9   2.66   13.2    451
WFC    WELLS FARGO  WFC US 03/19/11 P32       11.3  32.8   0.85   73.5  19349
NG     NOVAGOLD RE  NG US 03/19/11 C14        11.1  57.4   1.30    4.0    415
TBT    PROSHARES U  TBT US 03/19/11 C39       10.9  28.6   1.98   20.0   1023
GILD   GILEAD SCIE  GILD US 03/19/11 C41      10.8  24.6   0.52   92.6   1680
BBY    BEST BUY CO  BBY US 03/19/11 C34       10.7  29.7   0.65   14.0   1028
WFC    WELLS FARGO  WFC US 03/19/11 C32       10.6  33.0   1.68  -22.6   1985
INTC   INTEL CORP   INTC US 04/16/11 P17      10.6  36.3   0.06   20.0   4246
JPM    JPMORGAN CH  JPM US 03/19/11 P37       10.6  45.6   0.05  -16.7    505
LVLT   LEVEL 3 COM  LVLT US 03/19/11 C1       10.6  86.1   0.40   14.3    293
DPS    DR PEPPER S  DPS US 03/19/11 C35       10.5  33.1   1.00   28.2    388
ITMN   INTERMUNE I  ITMN US 03/19/11 P37      10.5  77.5   2.74    0.7    378
WMB    WILLIAMS CO  WMB US 03/19/11 P24       10.4  44.0   0.25   -7.4  25000
INTC   INTEL CORP   INTC US 03/19/11 P20      10.3  25.2   0.11    0.0    433
RVBD   RIVERBED TE  RVBD US 03/19/11 P36      10.3  59.7   0.60  -14.3   1850
HDY    HYPERDYNAMI  HDY US 06/18/11 P2.5      10.2 126.6   0.20  -20.0    200
INTC   INTEL CORP   INTC US 03/19/11 C20      10.1  25.6   1.75   12.9   4346

Top Volatility Decreases

Contract %Chg Impl. Ticker Name Description Vol. Vol. Price %Chg Volume ============================================================================= GENZ GENZYME COR GENZ US 01/19/13 C75 -70.3 1.1 1.65 -21.4 288 GENZ GENZYME COR GENZ US 01/21/12 P75 -60.4 3.9 0.80 -66.7 348 ATLS ATLAS ENERG ATLS US 06/18/11 P43 -48.6 6.7 0.05 -90.0 555 GENZ GENZYME COR GENZ US 03/19/11 C75 -44.9 5.9 0.78 21.9 11588 ATLS ATLAS ENERG ATLS US 09/17/11 P43 -43.2 6.9 0.15 -85.7 751 ATLS ATLAS ENERG ATLS US 06/18/11 C44 -40.7 8.0 1.10 -55.1 530 LOGM LOGMEIN INC LOGM US 03/19/11 P35 -40.7 54.3 0.80 -20.0 661 FDO FAMILY DOLL FDO US 01/19/13 C55 -40.4 14.8 3.50 45.8 2206 GENZ GENZYME COR GENZ US 01/21/12 C70 -40.0 5.5 5.95 10.2 570 GENZ GENZYME COR GENZ US 07/16/11 C75 -39.6 4.4 1.15 4.5 4277 FDO FAMILY DOLL FDO US 01/21/12 C55 -38.9 14.9 3.15 250.0 1005 GENZ GENZYME COR GENZ US 03/19/11 P72.5 -37.3 11.6 0.14 -83.7 2391 GENZ GENZYME COR GENZ US 04/16/11 P75 -37.3 5.8 0.42 -72.0 402 GENZ GENZYME COR GENZ US 04/16/11 C75 -37.1 5.9 0.96 12.9 13864 FDO FAMILY DOLL FDO US 01/21/12 C50 -36.9 15.9 6.00 200.0 411 LVLT LEVEL 3 COM LVLT US 06/18/11 C1 -35.8 58.4 0.45 0.0 541 ATLS ATLAS ENERG ATLS US 03/19/11 P44 -34.1 10.3 0.10 -82.5 605 GENZ GENZYME COR GENZ US 07/16/11 C72.5 -33.0 7.2 3.35 11.7 311 FDO FAMILY DOLL FDO US 01/21/12 C40 -32.8 18.0 14.50 126.6 277 ARG AIRGAS INC ARG US 03/19/11 P60 -32.8 22.3 0.45 -55.0 2313 ARG AIRGAS INC ARG US 03/19/11 P62.5 -32.6 22.1 1.20 -40.3 5011 CFX COLFAX CORP CFX US 03/19/11 C22.5 -32.5 31.3 0.65 0.0 200 CTL CENTURYLINK CTL US 03/19/11 C42 -31.9 19.3 1.06 -41.1 609 ARG AIRGAS INC ARG US 03/19/11 P57.5 -31.0 22.0 0.10 -75.6 537 GENZ GENZYME COR GENZ US 03/19/11 C72.5 -30.9 12.8 3.15 21.1 636 GENZ GENZYME COR GENZ US 04/16/11 P72.5 -30.7 10.1 0.25 -72.2 438 ARG AIRGAS INC ARG US 03/19/11 C62.5 -30.3 23.0 2.35 -14.6 1072 FDO FAMILY DOLL FDO US 01/21/12 C45 -30.2 18.1 9.80 157.9 371 FDO FAMILY DOLL FDO US 07/16/11 P55 -30.0 21.1 3.50 0.0 416 GENZ GENZYME COR GENZ US 04/16/11 P70 -29.9 13.5 0.15 -82.8 1143 TMRK TERREMARK W TMRK US 04/16/11 C17.5 -29.7 12.0 1.45 -9.4 1550 PLAB PHOTRONICS PLAB US 03/19/11 C10 -29.2 51.6 0.45 125.0 861 GENZ GENZYME COR GENZ US 01/19/13 P70 -28.9 6.5 0.45 -66.7 1000 GENZ GENZYME COR GENZ US 03/19/11 C70 -28.5 17.1 5.65 18.9 510 ARG AIRGAS INC ARG US 03/19/11 C65 -27.8 22.8 1.00 -51.9 2175 KOG KODIAK OIL KOG US 03/19/11 C5 -27.8 65.4 1.50 -6.2 355 ARLP ALLIANCE RE ARLP US 03/19/11 C70 -26.4 23.4 7.16 19.3 202 FDO FAMILY DOLL FDO US 04/16/11 P55 -26.3 28.7 2.85 -55.5 347 GENZ GENZYME COR GENZ US 03/19/11 P67.5 -25.6 21.6 0.05 -86.1 1040 SIRI SIRIUS XM R SIRI US 01/21/12 C1 -25.3 43.9 0.86 14.7 1280 ARG AIRGAS INC ARG US 03/19/11 C60 -22.2 23.1 4.00 -23.2 1958 DF DEAN FOODS DF US 03/19/11 P9 -21.9 59.2 0.20 -60.0 1369 FDO FAMILY DOLL FDO US 07/16/11 C42 -21.0 21.3 12.21 221.3 315 SCG SCANA CORP SCG US 03/19/11 P40 -20.2 18.0 0.75 0.0 2500 C CITIGROUP I C US 05/21/11 C3 -19.7 41.9 1.93 1.1 2298 DF DEAN FOODS DF US 03/19/11 P10 -19.5 54.6 0.45 -50.0 5110 APD AIR PRODS & APD US 03/19/11 P95 -18.8 21.6 2.80 -68.9 524 DELL DELL INC DELL US 03/19/11 P15 -18.4 30.9 0.41 -68.9 2422 C CITIGROUP I C US 03/19/11 C4 -17.3 36.6 0.92 1.1 1775 DF DEAN FOODS DF US 03/19/11 P8 -17.3 73.3 0.08 -68.0 510 LVLT LEVEL 3 COM LVLT US 06/18/11 P1 -17.1 79.5 0.10 0.0 419 GENZ GENZYME COR GENZ US 03/19/11 P60 -16.8 33.7 0.03 -75.0 997 APD AIR PRODS & APD US 03/19/11 P70 -16.1 45.9 0.05 -80.0 200 ARG AIRGAS INC ARG US 04/16/11 P57.5 -16.0 26.0 0.50 -44.4 792 DF DEAN FOODS DF US 03/19/11 C9 -15.8 63.6 1.65 32.0 301 ROVI ROVI CORP ROVI US 03/19/11 C60 -15.3 42.1 4.10 -35.9 268 ANF ABERCROMBIE ANF US 03/19/11 C57.5 -15.2 37.2 2.05 73.7 687 ADI ANALOG DEVI ADI US 03/19/11 C42 -15.0 23.3 0.50 -41.2 212 DELL DELL INC DELL US 03/19/11 C15 -14.9 31.1 0.67 204.6 20140 APD AIR PRODS & APD US 03/19/11 C95 -14.8 21.0 1.75 105.9 1052 ROVI ROVI CORP ROVI US 03/19/11 C65 -14.5 40.1 1.65 -50.0 275 FDO FAMILY DOLL FDO US 07/16/11 C50 -14.1 21.3 5.50 547.1 330 PPL PPL CORPORA PPL US 03/19/11 P25 -13.9 15.4 0.70 -12.5 3109 ANF ABERCROMBIE ANF US 03/19/11 P55 -13.8 37.7 1.76 -49.4 572 GENZ GENZYME COR GENZ US 03/19/11 P65 -13.8 27.6 0.04 -80.0 513 DE DEERE & CO DE US 03/19/11 P100 -13.5 24.1 5.70 -25.1 1618 STD BANCO SANTA STD US 03/19/11 C13 -13.2 34.1 0.25 38.9 260 CYS CYPRESS SHA CYS US 03/19/11 P12.5 -13.2 13.9 0.35 0.0 510 ANF ABERCROMBIE ANF US 03/19/11 C55 -13.0 38.0 3.40 76.2 1060 NBR NABORS INDS NBR US 03/19/11 P26 -12.9 36.6 1.01 -23.5 220 C CITIGROUP I C US 04/16/11 C4 -12.8 37.0 0.95 1.1 296 LDK LDK SOLAR C LDK US 06/18/11 C8 -12.8 80.5 6.25 31.6 200 LNG CHENIERE EN LNG US 03/19/11 C8 -12.6 91.6 1.30 23.8 270 CAST CHINACAST E CAST US 03/19/11 P5 -12.6 111.1 0.25 0.0 212 NBR NABORS INDS NBR US 03/19/11 C27 -12.4 36.6 0.87 3.6 248 DE DEERE & CO DE US 03/19/11 P95 -12.3 25.0 2.59 -34.1 1266 MDT MEDTRONIC I MDT US 01/19/13 C20 -12.3 33.9 20.05 16.2 250 DE DEERE & CO DE US 03/19/11 C100 -12.3 24.8 1.05 10.5 2982 DELL DELL INC DELL US 03/19/11 P14 -12.2 33.0 0.13 -80.6 4259 PPL PPL CORPORA PPL US 03/19/11 C26 -12.0 17.1 0.10 0.0 1847 TSLA TESLA MOTOR TSLA US 03/19/11 C25 -12.0 59.3 1.10 17.0 882 EWJ ISHARES-JAP EWJ US 03/19/11 C11 -11.9 14.3 0.52 26.8 1540 DE DEERE & CO DE US 03/19/11 C95 -11.9 25.3 2.90 13.7 2934 CMCSA COMCAST COR CMCSA US 03/19/11 C26 -11.8 21.4 0.28 250.0 379 SIRI SIRIUS XM R SIRI US 03/19/11 C1.5 -11.8 50.9 0.33 43.5 914 NLY ANNALY CAPI NLY US 04/16/11 C15 -11.5 28.2 2.45 0.4 216 NLY ANNALY CAPI NLY US 04/16/11 C10 -11.2 75.2 7.45 0.7 253 RGLD ROYAL GOLD RGLD US 04/16/11 C40 -11.2 33.3 9.20 -3.2 1000 CENX CENTURY ALU CENX US 03/19/11 C17 -11.1 42.3 0.60 76.5 284 C CITIGROUP I C US 03/19/11 C4.5 -11.1 27.9 0.45 0.0 11114 ARG AIRGAS INC ARG US 04/16/11 P55 -10.9 27.0 0.35 -12.5 377 TSLA TESLA MOTOR TSLA US 03/19/11 C24 -10.9 58.9 1.55 24.0 646 JPM JPMORGAN CH JPM US 01/21/12 C25 -10.8 38.3 23.30 5.0 200 ALU ALCATEL-LUC ALU US 03/19/11 C4 -10.6 47.0 0.85 41.7 360 NYX NYSE EURONE NYX US 03/19/11 C36 -10.4 27.3 1.95 -23.5 2168 ROVI ROVI CORP ROVI US 04/16/11 C65 -10.3 38.5 2.80 -33.3 703 DG DOLLAR GENE DG US 03/19/11 C30 -10.1 29.2 1.10 450.0 1279


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


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