U.S. Stock Options With Biggest Changes in Implied Volatility
By -
Aug 25, 2011
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
=============================================================================
CISG CNINSURE IN CISG US 09/17/11 P11 81.8 198.0 2.30 228.6 2829
PFE PFIZER INC PFE US 09/17/11 C16 73.0 40.2 2.34 -2.5 307
IWM ISHARES-RUS IWM US 09/17/11 C54 70.7 64.4 14.00 -5.1 239
CISG CNINSURE IN CISG US 09/17/11 P9 65.8 228.5 1.55 244.4 292
CISG CNINSURE IN CISG US 09/17/11 C10 60.7 187.1 2.25 0.0 561
CISG CNINSURE IN CISG US 10/22/11 P11 59.6 151.0 2.72 220.0 247
CISG CNINSURE IN CISG US 10/22/11 P10 52.6 159.4 2.30 228.6 273
IWM ISHARES-RUS IWM US 09/17/11 C56 38.7 61.7 12.93 28.7 259
PANL UNIVERSAL D PANL US 09/17/11 P40 35.8 114.4 1.40 -57.6 1380
PANL UNIVERSAL D PANL US 09/17/11 C40 35.6 110.0 10.91 211.7 362
QQQ POWERSH-QQQ QQQ US 10/22/11 C37 33.3 53.8 15.11 -1.4 324
PANL UNIVERSAL D PANL US 09/17/11 P45 30.2 109.2 2.95 -55.3 556
PANL UNIVERSAL D PANL US 09/17/11 C45 30.1 105.8 7.50 341.2 879
NLY ANNALY CAPI NLY US 10/22/11 C14 29.9 48.4 3.50 -7.9 240
YRCW YRC WORLDWI YRCW US 01/19/13 C0.5 26.9 50.4 0.25 56.2 290
TGB TASEKO MINE TGB US 09/17/11 C3 25.4 76.8 0.40 -27.3 400
NLY ANNALY CAPI NLY US 09/17/11 C18 23.8 27.4 0.25 -34.2 7824
NLY ANNALY CAPI NLY US 09/17/11 P18 22.1 26.4 0.78 81.4 470
IVR INVESCO MOR IVR US 09/17/11 C17.5 21.9 43.7 0.40 -42.9 332
SLV ISHARES SIL SLV US 01/21/12 C20 21.8 56.8 19.45 4.6 531
NLY ANNALY CAPI NLY US 10/22/11 C18 21.1 27.9 0.39 -20.4 1471
ATML ATMEL CORP ATML US 09/17/11 C9 20.8 65.7 0.55 -35.3 207
EEM ISHARES-EMG EEM US 09/17/11 C32 20.8 67.4 8.05 -8.5 524
NLY ANNALY CAPI NLY US 09/17/11 C14 20.6 63.0 3.50 -9.1 425
LPHI LIFE PARTNE LPHI US 01/21/12 C2.5 20.2 117.3 4.20 -34.4 280
IWM ISHARES-RUS IWM US 09/17/11 C61 19.8 55.1 8.36 2.3 281
SPY SPDR S&P 50 SPY US 09/17/11 C104 18.8 46.8 14.07 -1.1 264
ATPG ATP OIL & G ATPG US 09/17/11 P12 18.4 137.7 1.30 -31.6 524
C CITIGROUP I C US 09/17/11 C28 18.2 78.7 3.00 42.9 673
AGNC AMERICAN CA AGNC US 09/17/11 C29 18.0 35.6 0.50 -25.4 921
UUP POWERSHARES UUP US 10/22/11 C20 17.9 10.6 1.13 5.6 200
C CITIGROUP I C US 09/17/11 C30 17.4 68.5 1.72 67.0 4466
C CITIGROUP I C US 09/17/11 P29 17.2 72.9 1.81 -13.0 1877
C CITIGROUP I C US 09/17/11 P30 17.0 68.2 2.31 -11.8 2367
SPY SPDR S&P 50 SPY US 09/17/11 C108 16.7 42.9 10.51 -4.5 652
C CITIGROUP I C US 09/17/11 P28 16.6 77.5 1.54 -7.8 2280
AGNC AMERICAN CA AGNC US 10/22/11 C29 16.6 36.1 0.70 -17.6 298
QQQ POWERSH-QQQ QQQ US 10/22/11 C40 16.6 49.8 12.26 4.5 341
AGNC AMERICAN CA AGNC US 09/17/11 P28 16.4 39.9 1.45 104.2 659
C CITIGROUP I C US 09/17/11 P27 16.4 82.6 1.27 -5.2 1016
ATPG ATP OIL & G ATPG US 09/17/11 P9 16.3 159.8 0.45 -2.2 539
NLY ANNALY CAPI NLY US 10/22/11 C15 15.9 46.1 2.54 -16.7 388
SPY SPDR S&P 50 SPY US 09/17/11 C109 15.8 41.9 9.72 -6.0 1414
IWM ISHARES-RUS IWM US 09/17/11 C63 15.8 51.7 6.73 -7.2 914
NLY ANNALY CAPI NLY US 10/22/11 C17 15.4 31.3 0.95 -18.1 1053
NLY ANNALY CAPI NLY US 10/22/11 C16 15.3 35.9 1.73 -12.2 478
BAC BANK OF AME BAC US 09/17/11 C2 15.2 277.5 5.90 20.4 234
AGNC AMERICAN CA AGNC US 09/17/11 C27 15.2 45.0 1.55 -22.5 464
NLY ANNALY CAPI NLY US 09/17/11 C17 14.9 33.5 0.81 -27.7 2326
C CITIGROUP I C US 09/17/11 C27 14.8 82.3 3.70 36.5 505
IWM ISHARES-RUS IWM US 09/17/11 C64 14.8 50.3 5.94 -7.9 2795
IWM ISHARES-RUS IWM US 09/17/11 C64 14.8 50.3 5.94 -7.9 2795
AGNC AMERICAN CA AGNC US 09/17/11 P27 14.8 44.6 0.85 70.0 246
ERX ENERGY BULL ERX US 09/17/11 C42 14.6 114.7 5.70 0.0 202
SPY SPDR S&P 50 SPY US 09/17/11 C111 14.5 40.0 8.07 -6.5 657
C CITIGROUP I C US 09/17/11 P25 14.2 92.7 0.86 -2.3 1469
TZA SMALL CAP B TZA US 09/17/11 P38 14.1 103.0 0.82 -3.5 252
SPY SPDR S&P 50 SPY US 09/17/11 C110 14.1 40.9 8.88 -6.8 1651
IWM ISHARES-RUS IWM US 09/17/11 C65 14.1 48.9 5.21 -7.5 7891
QQQ POWERSH-QQQ QQQ US 09/17/11 C48 14.0 42.4 4.89 -5.0 1438
IWM ISHARES-RUS IWM US 09/17/11 C66 14.0 47.5 4.51 -7.6 3794
QQQ POWERSH-QQQ QQQ US 09/17/11 C46 13.9 46.5 6.39 -8.2 267
NLY ANNALY CAPI NLY US 01/21/12 C17.5 13.7 27.1 0.82 -16.3 2388
SPY SPDR S&P 50 SPY US 09/17/11 C112 13.7 39.0 7.31 -6.3 4374
SPY SPDR S&P 50 SPY US 09/17/11 C115 13.7 36.0 5.17 -4.1 17731
ATPG ATP OIL & G ATPG US 09/17/11 C13 13.6 111.9 1.23 70.8 470
AONE A123 SYSTEM AONE US 09/17/11 C4 13.5 87.7 0.80 60.0 235
HTS HATTERAS FI HTS US 09/17/11 C28 13.4 24.4 0.25 -19.4 349
SPY SPDR S&P 50 SPY US 09/17/11 C114 13.3 37.1 5.87 -4.2 5573
BCS BARCLAYS PL BCS US 09/17/11 P9 13.2 110.3 0.45 -18.2 1116
XLF SPDR-FINL S XLF US 09/17/11 C13 13.1 45.5 0.48 20.0 31853
SPY SPDR S&P 50 SPY US 09/17/11 C116 12.9 35.0 4.51 -6.0 8439
QQQ POWERSH-QQQ QQQ US 09/17/11 C49 12.9 40.5 4.10 -6.6 2348
FAS FINL BULL 3 FAS US 09/17/11 C14 12.9 130.0 1.64 16.3 1895
SPY SPDR S&P 50 SPY US 09/17/11 C113 12.8 38.1 6.60 -5.4 3448
SDS PROSHARES U SDS US 09/17/11 P22 12.8 58.3 0.39 2.6 290
IWM ISHARES-RUS IWM US 09/17/11 C67 12.7 45.6 3.85 -7.2 4336
SPY SPDR S&P 50 SPY US 09/17/11 C118 12.6 32.9 3.31 -5.2 16208
SPY SPDR S&P 50 SPY US 09/17/11 C117 12.6 34.0 3.88 -7.8 7364
IWM ISHARES-RUS IWM US 09/17/11 C68 12.6 44.1 3.16 -9.7 5008
FAS FINL BULL 3 FAS US 09/17/11 P14 12.5 131.7 1.91 3.2 1644
SDS PROSHARES U SDS US 09/17/11 C22 12.5 57.7 3.07 15.4 309
RE EVEREST RE RE US 09/17/11 P70 12.4 41.4 0.90 157.1 571
LLNW LIMELIGHT N LLNW US 10/22/11 C2 12.3 118.5 0.50 0.0 400
QQQ POWERSH-QQQ QQQ US 10/22/11 C42 12.2 47.2 10.48 -1.1 276
LUV SOUTHWEST A LUV US 10/22/11 C8 12.1 45.1 0.65 18.2 200
IWM ISHARES-RUS IWM US 09/17/11 C70 12.1 40.6 2.07 -5.9 31119
IWM ISHARES-RUS IWM US 09/17/11 C69 12.0 42.3 2.57 -10.8 4992
SPY SPDR S&P 50 SPY US 09/17/11 C119 12.0 31.8 2.76 -4.8 26861
JPM JPMORGAN CH JPM US 09/17/11 C38 12.0 45.5 1.02 50.0 4781
JPM JPMORGAN CH JPM US 09/17/11 C37 11.9 48.0 1.42 36.5 4018
SPY SPDR S&P 50 SPY US 09/17/11 C120 11.8 30.9 2.24 -8.2 21638
C CITIGROUP I C US 09/17/11 P24 11.7 97.7 0.71 -7.8 950
DISCK DISCOVERY C DISCK US 09/17/11 C35 11.5 32.2 1.55 3.3 844
SPY SPDR S&P 50 SPY US 09/17/11 C121 11.5 29.9 1.82 -6.7 18370
SIRI SIRIUS XM R SIRI US 12/17/11 C1 11.5 87.8 0.76 -2.6 348
DIA SPDR DJIA T DIA US 09/17/11 C113.75 11.4 29.1 2.35 -7.8 334
IWM ISHARES-RUS IWM US 09/17/11 C71 11.2 38.7 1.56 -10.9 2551
JPM JPMORGAN CH JPM US 09/17/11 P38 11.2 45.5 2.40 -11.1 1516
PNC PNC FINANCI PNC US 09/17/11 C49 11.2 44.4 1.44 37.1 254
CMA COMERICA IN CMA US 09/17/11 C25 11.2 50.8 0.68 9.7 627
SDS PROSHARES U SDS US 09/17/11 P23 11.2 63.3 0.81 1.2 478
JPM JPMORGAN CH JPM US 09/17/11 P37 11.1 48.0 2.10 -7.1 3379
EXK ENDEAVOUR S EXK US 09/17/11 C10 10.9 78.8 1.30 13.0 275
WFC WELLS FARGO WFC US 09/17/11 C26 10.9 50.0 0.86 68.6 1320
SPY SPDR S&P 50 SPY US 09/17/11 C122 10.9 28.9 1.45 -5.8 6536
SDS PROSHARES U SDS US 09/17/11 P21 10.8 52.1 0.14 -6.7 274
F FORD MOTOR F US 09/17/11 C10 10.8 55.0 0.78 2.6 1712
DIA SPDR DJIA T DIA US 09/17/11 C113 10.8 29.9 2.77 -9.2 679
JPM JPMORGAN CH JPM US 09/17/11 P36 10.8 50.6 1.63 -6.3 1549
BCS BARCLAYS PL BCS US 09/17/11 P10 10.8 96.7 0.80 -15.8 2480
FAS FINL BULL 3 FAS US 09/17/11 P13 10.7 140.8 1.48 4.2 615
AGNC AMERICAN CA AGNC US 09/17/11 C28 10.6 40.3 1.00 -23.1 495
DIA SPDR DJIA T DIA US 09/17/11 C116 10.6 26.8 1.37 -8.7 393
USG USG CORP USG US 09/17/11 C8 10.6 83.2 0.75 141.9 2266
NLY ANNALY CAPI NLY US 10/22/11 P17 10.5 29.4 0.91 51.7 536
T AT&T INC T US 09/17/11 C30 10.5 22.1 0.31 -13.9 1060
WFC WELLS FARGO WFC US 09/17/11 C25 10.5 54.8 1.37 44.2 1275
QQQ POWERSH-QQQ QQQ US 09/17/11 C50 10.4 38.4 3.32 -6.2 3739
AGNC AMERICAN CA AGNC US 12/17/11 C27 10.3 35.7 1.85 -11.9 214
WFC WELLS FARGO WFC US 09/17/11 P23 10.3 64.7 0.72 -10.0 1317
JNJ JOHNSON&JOH JNJ US 09/17/11 C67.5 10.2 19.0 0.18 -40.0 656
NLY ANNALY CAPI NLY US 01/19/13 C17.5 10.2 24.5 1.03 -8.0 459
NLY ANNALY CAPI NLY US 04/21/12 C17 10.1 27.5 1.10 -21.4 776
FAS FINL BULL 3 FAS US 09/17/11 C12 10.1 149.7 2.76 4.5 305
MO ALTRIA GROU MO US 10/22/11 C27 10.1 23.6 0.41 -18.0 321
DIA SPDR DJIA T DIA US 09/17/11 C115 10.0 27.8 1.77 -10.6 319
DIA SPDR DJIA T DIA US 09/17/11 C114 10.0 28.8 2.27 -9.2 619
SPLS STAPLES INC SPLS US 09/17/11 C15 10.0 45.7 0.40 0.0 465
SDS PROSHARES U SDS US 09/17/11 P24 10.0 68.5 1.35 -2.2 593
Top Volatility Decreases
Contract %Chg Impl.
Ticker Name Description Vol. Vol. Price %Chg Volume
=============================================================================
XME SPDR S&P ME XME US 10/22/11 P42 -47.9 65.1 0.97 0.0 810
KR KROGER CO KR US 09/17/11 C18 -36.8 53.6 4.80 0.0 464
HRL HORMEL FOOD HRL US 09/17/11 P25 -30.4 34.3 0.30 50.0 223
TIVO TIVO INC TIVO US 09/17/11 C10 -30.2 63.0 0.43 115.0 2227
SIGM SIGMA DESIG SIGM US 09/17/11 P7.5 -29.5 51.9 0.40 73.9 277
TIVO TIVO INC TIVO US 09/17/11 C9 -28.4 64.2 0.96 140.0 2858
SDS PROSHARES U SDS US 09/17/11 C20 -27.8 37.1 4.60 5.8 272
TIVO TIVO INC TIVO US 09/17/11 P9 -27.5 63.4 0.33 -74.8 523
TIVO TIVO INC TIVO US 09/17/11 C8 -26.3 62.9 1.75 121.5 284
PSS COLLECTIVE PSS US 09/17/11 P10 -24.3 57.6 0.10 -84.6 271
YRCW YRC WORLDWI YRCW US 09/17/11 C0.5 -22.0 83.9 0.17 21.4 1153
SMTC SEMTECH COR SMTC US 09/17/11 C22 -20.6 39.7 0.35 -30.0 242
KWK QUICKSILVER KWK US 09/17/11 C8 -20.1 69.7 0.85 -39.3 316
TIVO TIVO INC TIVO US 11/19/11 C10 -19.4 66.8 1.11 65.7 1136
LIWA LIHUA INTER LIWA US 10/22/11 C5 -18.5 95.2 1.55 0.0 1529
GES GUESS? INC GES US 09/17/11 P31 -18.4 62.8 1.55 -6.1 298
C CITIGROUP I C1 US 09/17/11 P4 -17.9 71.6 1.06 -12.4 250
GES GUESS? INC GES US 09/17/11 P32 -17.8 60.8 2.00 2.6 487
HRBN HARBIN ELEC HRBN US 09/17/11 C12.5 -17.0 128.8 5.30 -1.9 253
PSS COLLECTIVE PSS US 09/17/11 P12 -16.9 57.7 0.50 -79.6 7235
TIVO TIVO INC TIVO US 11/19/11 C9 -16.3 68.8 1.59 80.7 521
TIVO TIVO INC TIVO US 09/17/11 P8 -16.1 73.3 0.11 -83.1 581
RENN RENREN INC- RENN US 10/22/11 C5 -15.2 67.7 2.26 -20.7 220
PSS COLLECTIVE PSS US 09/17/11 C12 -14.8 62.1 0.90 260.0 3471
BIG BIG LOTS IN BIG US 09/17/11 P30 -14.8 43.9 0.50 -33.3 221
TIVO TIVO INC TIVO US 11/19/11 P9 -14.6 68.6 0.96 -46.7 3766
VSEA VARIAN SEMI VSEA US 09/17/11 P60 -13.4 18.1 0.70 -50.0 202
TIVO TIVO INC TIVO US 01/21/12 C10 -12.7 66.8 1.50 57.9 533
HK PETROHAWK E HK US 09/17/11 C39 -12.6 2.2 0.01 -66.7 2759
AMAT APPLIED MAT AMAT US 09/17/11 P11 -12.1 43.6 0.56 30.2 1423
VTR VENTAS INC VTR US 10/22/11 P50 -11.8 31.2 2.50 -5.7 3241
TIVO TIVO INC TIVO US 01/21/12 C9 -11.7 69.4 1.85 44.5 539
HRBN HARBIN ELEC HRBN US 09/17/11 C2 -11.6 439.5 15.00 0.0 1490
BAC BANK OF AME BAC US 09/17/11 P3 -11.5 190.5 0.02 -71.4 36657
GAME SHANDA GAME GAME US 12/17/11 C5 -11.2 59.0 0.85 46.5 300
SIRI SIRIUS XM R SIRI US 01/21/12 C1 -11.0 74.1 0.75 -6.2 352
DIN DINEEQUITY DIN US 09/17/11 C38 -10.7 53.4 3.50 0.0 655
CVO CENVEO INC CVO US 10/22/11 P2.5 -10.4 145.2 0.20 -20.0 237
BAC BANK OF AME BAC US 10/22/11 P2 -10.2 177.8 0.04 -42.9 1078
LOGI LOGITECH IN LOGI US 12/17/11 P11 -10.2 70.3 1.95 -2.5 400
x - Ex-dividend. * - Ex-earnings.
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