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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
=============================================================================
KFN    KKR FINANCI  KFN US 07/16/11 P10       34.1  28.0   0.53   17.8   2000
HERO   HERCULES OF  HERO US 01/21/12 C2.5     29.7  98.5   2.85    0.0    300
CLSN   CELSION COR  CLSN US 10/22/11 C2.5     29.1  89.2   0.80   14.3    206
AGNC   AMERICAN CA  AGNC US 07/16/11 C29      25.6  26.9   1.05   -4.5   1719
GORO   GOLD RESOUR  GORO US 07/16/11 C20      25.1  65.9   5.00   88.7    550
AMRN   AMARIN CORP  AMRN US 07/16/11 P10      24.5 113.5   0.20    0.0    257
SCEI   SINO CLEAN   SCEI US 07/16/11 P1       23.5 274.8   0.20    0.0    213
CSX    CSX CORP     CSX US 08/20/11 C21.67    23.4  38.8   3.65    0.0    642
KFN    KKR FINANCI  KFN US 07/16/11 P9        21.2  34.1   0.07  -53.3   1600
HYG    ISH-IBOXX H  HYG US 07/16/11 P86       21.0  17.1   0.55   -8.3    271
DRRX   DURECT CORP  DRRX US 07/16/11 C2.5     20.5 197.2   0.75    7.1    230
AONE   A123 SYSTEM  AONE US 07/16/11 C4       19.0  77.6   0.85    0.0    220
CLWR   CLEARWIRE -  CLWR US 12/17/11 P2       17.1 132.7   0.35   16.7    404
AFFX   AFFYMETRIX   AFFX US 08/20/11 C5       14.8  86.8   2.20   -3.5    776
BPL    BUCKEYE PAR  BPL US 08/20/11 C65       14.5  18.4   0.90  -14.3   1517
JASO   JA SOLAR HO  JASO US 07/16/11 C5       13.8  62.0   0.25  -24.2    505
AMSC   AMER SUPERC  AMSC US 07/16/11 P6       13.7 141.2   0.40   33.3   2330
BJ     BJ'S WHOLES  BJ US 09/17/11 P45        13.4  34.3   2.77   84.7    459
MCP    MOLYCORP IN  MCP US 01/19/13 P20       13.3  64.7   1.40  -12.5   2510
ETE    ENERGY TRAN  ETE US 07/16/11 P40       13.1  31.0   0.10  -33.3    600
PTR    PETROCHINA   PTR US 07/16/11 P120      12.8  37.8   0.40   14.3    210
AGNC   AMERICAN CA  AGNC US 09/17/11 C28      12.6  26.6   2.15   -0.5    264
RBCN   RUBICON TEC  RBCN US 07/16/11 P16      12.4  75.9   1.25   25.0    279
YHOO   YAHOO! INC   YHOO US 07/16/11 C14      12.3  47.3   1.53   48.5    267
YHOO   YAHOO! INC   YHOO US 07/16/11 P14      12.3  46.6   0.27  -27.0   1250
PPD    PREPAID LEG  PPD US 08/20/11 P65       12.3   5.2   0.10    0.0   3253
BBVA   BANCO BILBA  BBVA US 01/21/12 C11      12.1  41.9   1.40    0.0    397
HYG    ISH-IBOXX H  HYG US 09/17/11 P80       11.1  18.4   0.65   18.2    300
WIN    WINDSTREAM   WIN US 07/16/11 C13       11.1  17.3   0.25   38.9    205
PTIE   PAIN THERAP  PTIE US 07/16/11 P5.5     11.0 203.8   0.35    0.0    574
C      CITIGROUP I  C1 US 01/21/12 C5.5       11.0  29.6   0.02    0.0    897
CLWR   CLEARWIRE -  CLWR US 01/21/12 P2.5     11.0 106.3   0.50   42.9   3000
BIIB   BIOGEN IDEC  BIIB US 07/16/11 P90      10.9  35.1   0.60  -50.0    300
IBM    IBM          IBM US 07/16/11 P120      10.8  53.1   0.05    0.0    250
EGLE   EAGLE BULK   EGLE US 09/17/11 P2       10.8  79.3   0.15    0.0    803
IWM    ISHARES-RUS  IWM US 02/18/12 C50       10.5  36.7  28.70    0.0    397
NXPI   NXP SEMICON  NXPI US 07/16/11 P22.5    10.4  54.2   1.00  -13.0   1309
YHOO   YAHOO! INC   YHOO US 07/16/11 P15      10.3  42.9   0.58  -28.4   2489

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
ACUR   ACURA PHARM  ACUR US 07/16/11 C5      -53.6 123.0   0.50  -37.5    780
HRBN   HARBIN ELEC  HRBN US 12/17/11 C7.5    -42.5  79.9   5.20   44.4   1210
HRBN   HARBIN ELEC  HRBN US 09/17/11 C10     -40.1 107.4   3.80   55.1    750
ACUR   ACURA PHARM  ACUR US 07/16/11 P2.5    -38.8 196.0   0.10  -77.8    281
HRBN   HARBIN ELEC  HRBN US 07/16/11 C7.5    -38.3 164.3   5.30   89.3    710
HRBN   HARBIN ELEC  HRBN US 07/16/11 C10     -37.2 168.5   3.69   94.2   5261
ACUR   ACURA PHARM  ACUR US 07/16/11 P5      -37.0 172.9   0.95  -48.6   1254
YHOO   YAHOO! INC   YHOO US 10/22/11 C11     -36.4  29.3   4.25    9.0    300
HRBN   HARBIN ELEC  HRBN US 09/17/11 C12.5   -36.0 109.0   2.90   65.7    413
HRBN   HARBIN ELEC  HRBN US 07/16/11 C12.5   -35.7 155.2   2.08   71.9   3185
HRBN   HARBIN ELEC  HRBN US 12/17/11 C10     -34.5  89.5   3.90   41.8   1411
HRBN   HARBIN ELEC  HRBN US 12/17/11 C12.5   -30.3  92.0   3.30   57.1    563
KV/A   KV PHARM-A   KVA US 07/16/11 C2.5     -27.1 131.9   0.30  -60.0    287
TZA    SMALL CAP B  TZA US 07/16/11 C32      -25.8  49.3   9.05    8.4    291
SRX    SRA INTL IN  SRX US 12/17/11 P30      -25.6   6.1   0.15  -40.0    250
NLY    ANNALY CAPI  NLY US 07/16/11 C18      -23.6  12.1   0.53   17.8   1591
MNKD   MANNKIND CO  MNKD US 08/20/11 P4      -23.2  62.9   0.42  -23.6    205
ID     L-1 IDENTIT  ID US 10/22/11 P11       -22.2  17.9   0.20  -33.3   1000
CALL   MAGICJACK V  CALL US 07/16/11 P22.5   -21.6  45.0   1.00  -39.8    360
HTS    HATTERAS FI  HTS US 08/20/11 C28      -21.3  15.4   0.75  -21.1    493
ID     L-1 IDENTIT  ID US 07/16/11 P11       -21.0  31.4   0.15  -40.0    322
CIM    CHIMERA INV  CIM US 07/16/11 P3.5     -20.9  32.6   0.20  -33.3   1035
SPRD   SPREADTRUM-  SPRD US 07/16/11 P13     -18.9 181.7   2.35  -23.2    207
CIGX   STAR SCIENT  CIGX US 07/16/11 C4.5    -18.8 101.7   0.40  -27.3   1098
SPRD   SPREADTRUM-  SPRD US 07/16/11 P12     -18.3 193.5   1.85  -26.0    307
WEN    WENDY'S/ARB  WEN US 07/16/11 C5       -17.0  24.8   0.15  -25.0   1144
KWK    QUICKSILVER  KWK US 07/16/11 C15      -15.2  30.2   0.45  -18.2    527
ATU    ACTUANT COR  ATU US 07/16/11 C25      -13.5  29.0   0.50  -16.7   1500
SGEN   SEATTLE GEN  SGEN US 07/16/11 P20     -13.4  61.9   1.25  -26.5    510
IP     INTL PAPER   IP US 07/16/11 C23       -13.2  45.5   3.85  -48.5    300
STO    STATOIL ASA  STO US 07/16/11 C22.5    -12.6  27.2   1.40  -17.6    886
HRBN   HARBIN ELEC  HRBN US 07/16/11 P12.5   -12.1 284.8   3.62  -38.6   1220
HTS    HATTERAS FI  HTS US 08/20/11 C29      -12.0  14.9   0.20  -33.3    408
EFA    ISHARES-MSC  EFA US 07/16/11 C60      -11.8  22.5   0.40  -41.2    536
HYG    ISH-IBOXX H  HYG US 09/17/11 C91      -11.8   7.6   0.30    0.0    215
FXI    ISHARES FTS  FXI US 07/16/11 P43      -11.8  19.4   2.03    0.0   5256
EFA    ISHARES-MSC  EFA US 07/16/11 P60      -11.6  19.3   2.99    1.4   1029
BJ     BJ'S WHOLES  BJ US 07/16/11 C42.5     -11.4  39.2   3.60  -43.3   2320
HRBN   HARBIN ELEC  HRBN US 07/16/11 P10     -11.4 302.1   2.30  -45.2   4635
HRBN   HARBIN ELEC  HRBN US 07/16/11 C5      -11.3 229.8   7.70   82.9   1089
ID     L-1 IDENTIT  ID US 07/16/11 P10       -11.1  48.8   0.10  -41.2   1384
EFA    ISHARES-MSC  EFA US 07/16/11 P57      -10.9  26.1   1.40  -15.2   7061
SPRD   SPREADTRUM-  SPRD US 07/16/11 P10     -10.7 231.7   1.45  -19.4    534
EFA    ISHARES-MSC  EFA US 07/16/11 C59      -10.4  24.5   0.78  -31.0   1301
MWE    MARKWEST EN  MWE US 07/16/11 P45      -10.4  22.8   1.30    0.0    200
BRCD   BROCADE COM  BRCD US 07/16/11 C6      -10.3  57.2   0.64   -8.6    287
OIL    IPATH GS CR  OIL US 07/16/11 C25      -10.3  33.3   0.45  -25.0    253

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

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