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

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
=============================================================================
UNG    US NAT GAS   UNG1 US 01/21/12 P5      129.1  90.2   0.27    3.9    200
ZN     ZION OIL &   ZN US 09/17/11 C5        117.2  69.4   1.40  -28.2    425
AGNC   AMERICAN CA  AGNC US 07/16/11 C30      46.4  19.8   0.45    0.0    392
SPWRA  SUNPOWER CO  SPWRA US 07/16/11 C17     36.0  42.3   4.20    0.0    400
MO     ALTRIA GROU  MO US 07/16/11 C27        34.2  20.7   0.43   22.9    613
DRYS   DRYSHIPS IN  DRYS US 09/17/11 C1.5     33.3 126.2   2.39    6.7    438
YRCW   YRC WORLDWI  YRCW US 01/21/12 C0.5     33.0  64.2   0.25   38.9    290
CAST   CHINACAST E  CAST US 07/16/11 C2.5     30.7 178.9   2.10   -2.3    340
AGNC   AMERICAN CA  AGNC US 07/16/11 P31      24.3  16.4   2.30   -1.7    230
VFC    VF CORP      VFC US 07/16/11 P95       21.8  31.1   1.45  -69.8    295
SLV    ISHARES SIL  SLV US 01/21/12 C10       21.4  60.8  24.55   -4.7    250
BRCD   BROCADE COM  BRCD US 07/16/11 P5       21.2  87.7   0.04    0.0    307
VFC    VF CORP      VFC US 07/16/11 P100      20.7  29.5   3.00  -62.5    289
CYD    CHINA YUCHA  CYD US 07/16/11 P17.5     20.6  73.4   1.25  127.3    307
APO    APOLLO GLOB  APO US 12/17/11 C15       19.1  37.3   1.80    0.0    505
DANG   E-COMMERCE   DANG US 07/16/11 P10      18.2  89.2   0.45    0.0    935
IYT    ISHARES-DJ   IYT US 07/16/11 P94       18.1  21.4   3.50    8.4    400
SLGN   SILGAN HOLD  SLGN US 07/16/11 P40      17.3  31.6   1.40  180.0    465
SIRI   SIRIUS XM R  SIRI US 07/16/11 P2       16.8  56.8   0.16   33.3    257
TIN    TEMPLE-INLA  TIN US 07/16/11 P26       16.4  30.7   0.15   50.0   5301
SAI    SAIC INC     SAI US 07/16/11 P16       15.5  18.1   0.25    0.0    400
EEP    ENBRIDGE EN  EEP US 07/16/11 C27.5     15.3  27.6   2.50  -55.4    235
ATML   ATMEL CORP   ATML US 07/16/11 C13      15.3  45.0   0.90   12.5   1063
KO     COCA-COLA C  KO US 07/16/11 C67.5      14.8  15.3   0.24    0.0    308
CYD    CHINA YUCHA  CYD US 08/20/11 P16.5     14.6  78.0   1.50  114.3    495
DANG   E-COMMERCE   DANG US 07/16/11 C12      13.7  84.5   1.10  -46.3    289
KV/A   KV PHARM-A   KVA US 09/17/11 P2.5      13.5 178.3   0.70   40.0    650
MDRX   ALLSCRIPTS   MDRX US 07/16/11 P19      13.3  34.6   0.95  137.5   1159
ILMN   ILLUMINA IN  ILMN US 07/16/11 C70      13.2  33.5   4.10    0.0    976
RF     REGIONS FIN  RF US 07/16/11 P6         13.2  41.6   0.27   22.7   7320
HD     HOME DEPOT   HD US 08/20/11 P34        13.1  24.5   1.61   -5.3   5531
HNR    HARVEST NAT  HNR US 09/17/11 C12.5     12.7  82.0   2.50  150.0   1367
SIRI   SIRIUS XM R  SIRI US 09/17/11 C2       12.7  58.4   0.19  -17.4   2291
NLY    ANNALY CAPI  NLY US 01/21/12 C17.5     12.3  16.4   0.81    0.0    520
DIA    SPDR DJIA T  DIA US 08/20/11 P123      12.1  15.7   5.45   -0.9    228
AGNC   AMERICAN CA  AGNC US 07/16/11 C31      12.1  19.8   0.15    0.0    373
DRYS   DRYSHIPS IN  DRYS US 07/16/11 C3       11.9  79.4   0.87    8.8    573
SIRI   SIRIUS XM R  SIRI US 07/16/11 C2       11.6  58.7   0.10  -28.6    253
PFE    PFIZER INC   PFE US 07/16/11 P18       11.1  32.8   0.08  -20.0   2007
SPY    SPDR S&P 50  SPY US 06/30/11 C125      11.0  19.5   3.38    1.2   2632
HD     HOME DEPOT   HD US 08/20/11 P33        10.8  25.1   1.15   -4.2    338
RF     REGIONS FIN  RF US 07/16/11 C6         10.3  44.9   0.34   -5.6   3692
MCP    MOLYCORP IN  MCP US 07/16/11 P50       10.2  68.7   4.10   28.1    214
DYN    DYNEGY INC   DYN US 12/17/11 P4        10.2  70.3   0.25    0.0    200
VFC    VF CORP      VFC US 08/20/11 P100      10.1  29.8   4.60  -47.2    313

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
TBL    TIMBERLAND   TBL US 01/21/12 P40      -83.3   7.6   0.20  -98.3    256
GRB    GERBER SCI   GRB US 01/21/12 P10      -82.1  10.1   0.05  -97.6    277
TBL    TIMBERLAND   TBL US 08/20/11 P40      -74.6  12.7   0.10  -99.0    497
TBL    TIMBERLAND   TBL US 11/19/11 P40      -73.4   9.3   0.10  -99.0    250
ELMG   EMS TECHNOL  ELMG US 12/17/11 P30     -64.7  10.5   0.10    0.0    365
MRK    MERCK & CO   MRK US 07/16/11 P36      -47.8   8.7   1.06  -17.2    484
SHAW   SHAW GROUP   SHAW US 07/16/11 C22.5   -46.2  57.0   9.80  -14.0    200
MFW    M & F WORLD  MFW US 08/20/11 P22.5    -41.1  19.2   0.15  -87.3    306
IVR    INVESCO MOR  IVR US 07/16/11 C22.5    -32.9  16.2   0.05  -80.0    207
AINV   APOLLO INV   AINV US 09/17/11 C10     -27.7  19.2   0.65   -7.1    210
ELMG   EMS TECHNOL  ELMG US 12/17/11 P22.5   -26.4  27.2   0.05  -96.7    245
KO     COCA-COLA C  KO US 07/16/11 P65       -21.5  11.3   1.18   -1.7   1468
MRK    MERCK & CO   MRK US 07/16/11 P35      -21.4  13.7   0.57  -18.6    990
MO     ALTRIA GROU  MO US 07/16/11 P26       -19.6  14.2   0.25  -19.4    253
F      FORD MOTOR   F US 07/16/11 C11        -19.4  40.1   2.22  -11.2    343
ZN     ZION OIL &   ZN US 09/17/11 P5        -18.0 104.4   0.70  -30.0    681
F      FORD MOTOR   F US 07/16/11 C12        -13.6  34.1   1.14  -28.8    910
SLGN   SILGAN HOLD  SLGN US 07/16/11 P35     -12.8  35.5   0.20    0.0    781
F      FORD MOTOR   F US 08/20/11 C11        -12.5  41.1   2.34  -10.0    399
FIG    FORTRESS IN  FIG US 01/19/13 C4       -11.8  51.4   1.70    0.0    600
LOGM   LOGMEIN INC  LOGM US 09/17/11 C35     -11.7  47.0   5.11    0.2    250
SMH    SEMICONDUCT  SMH US 08/20/11 C28      -11.4  29.6   5.00   -5.7    527
IVR    INVESCO MOR  IVR US 07/16/11 C20      -10.4  51.6   2.15  -12.2    226
DRYS   DRYSHIPS IN  DRYS US 09/17/11 C2      -10.0  77.7   1.91    7.3    456

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

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