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
=============================================================================
AMKR   AMKOR TECH   AMKR US 08/20/11 C6       69.7  70.5   0.75   59.6  16656
AMKR   AMKOR TECH   AMKR US 09/17/11 C6       39.6  62.0   0.90  100.0    909
C      CITIGROUP I  C1 US 01/21/12 C2.5       36.9  45.1   1.77    7.3  10364
AMKR   AMKOR TECH   AMKR US 08/20/11 P5       34.6  71.7   0.09    0.0    300
AMKR   AMKOR TECH   AMKR US 09/17/11 P5       31.8  59.8   0.15   36.4    357
MHGC   MORGANS HOT  MHGC US 10/22/11 C5       29.9  66.4   2.80    9.8    300
UTHR   UNITED THER  UTHR US 08/20/11 C55      23.3  29.9   2.25   12.5    313
SQNM   SEQUENOM IN  SQNM US 08/20/11 C7       17.7  54.8   1.15   47.4    588
AEO    AMER EAGLE   AEO US 08/20/11 C12       15.9  42.5   2.29   69.6    837
HUM    HUMANA INC   HUM US 11/19/11 C65       15.6  35.8  17.70    9.3    420
NLY    ANNALY CAPI  NLY US 10/22/11 C17       15.5  16.0   1.59   11.2    702
TGT    TARGET CORP  TGT US 08/20/11 P45       13.9  27.9   0.18  -64.0    565
TGT    TARGET CORP  TGT US 08/20/11 P48       13.0  24.5   0.53  -63.7    687
VXX    IPATH-S&P S  VXX US 08/20/11 C19       12.5  57.8   2.10  -14.3    275
RE     EVEREST RE   RE US 08/20/11 C80        12.2  21.2   4.40   25.7    400
TGT    TARGET CORP  TGT US 08/20/11 C48       12.1  24.6   4.05  154.7   2098
SIGA   SIGA TECH I  SIGA US 09/17/11 P9       11.5  95.3   1.35   22.7    846
ABAX   ABAXIS INC   ABAX US 08/20/11 P25      11.2  52.4   0.35  -50.0    208
WYNN   WYNN RESORT  WYNN US 01/21/12 C82      11.1  59.5  75.92   16.7   2786
TGT    TARGET CORP  TGT US 08/20/11 P49       11.0  23.6   0.76  -60.0    723
TGT    TARGET CORP  TGT US 08/20/11 P50       10.9  22.9   1.05  -55.5    538
TGT    TARGET CORP  TGT US 10/22/11 P30       10.7  44.2   0.03  -50.0    247
EMKR   EMCORE CORP  EMKR US 12/17/11 C2.5     10.6  78.9   0.80   -5.9   1000
TZA    SMALL CAP B  TZA US 10/22/11 C25       10.6  52.6   6.85  -19.4    332
S      SPRINT NEXT  S US 08/20/11 C5          10.6  44.2   0.80   29.0    502
CPN    CALPINE COR  CPN US 01/21/12 C14       10.4  35.0   2.85    0.0    200
UPS    UNITED PARC  UPS US 08/20/11 C70       10.2  20.3   5.25    6.1    363
TGT    TARGET CORP  TGT US 08/20/11 C50       10.1  22.9   2.38  217.3    510

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
APAC   APAC CUSTOM  APAC US 12/17/11 P8      -79.8   9.0   0.05    0.0   3110
REV    REVLON INC-  REV US 08/20/11 C17.5    -28.4  44.9   1.40   40.0    511
AIR    AAR CORP     AIR US 08/20/11 C30      -26.6  26.7   1.00   17.6    357
EXAS   EXACT SCIEN  EXAS US 08/20/11 P9      -19.8  45.5   0.60    0.0    519
EXEL   EXELIXIS IN  EXEL US 08/20/11 P8      -19.6  68.0   0.40  -20.0    272
EXEL   EXELIXIS IN  EXEL US 08/20/11 C9      -19.1  63.6   0.90  -14.3    373
GEN    GENON ENERG  GEN US 08/20/11 C4       -18.9  32.7   0.15   50.0    212
GOK    GEOKINETICS  GOK US 08/20/11 C5       -18.2  63.5   2.32   -7.2    211
ARLP   ALLIANCE RE  ARLP US 09/17/11 C80     -17.3  23.5   3.00   20.0    272
JBLU   JETBLUE AIR  JBLU US 08/20/11 C6      -16.9  32.4   0.25  -16.7    504
CSE    CAPITALSOUR  CSE US 08/20/11 P6       -16.4  34.9   0.20  -50.0    244
MILL   MILLER ENER  MILL US 08/20/11 C5      -14.5  69.9   1.95   -2.5    300
EXEL   EXELIXIS IN  EXEL US 08/20/11 P9      -14.4  68.4   0.75  -25.0    308
LVLT   LEVEL 3 COM  LVLT US 01/21/12 C2      -14.0  46.2   0.70    7.7    445
EPU    ISHARES MSC  EPU US 01/21/12 C40      -12.6  30.6   2.98    4.6    275
ARLP   ALLIANCE RE  ARLP US 08/20/11 P75     -11.5  30.1   2.00  -31.5    200
RIG    TRANSOCEAN   RIG US 08/20/11 P52.5    -11.2  40.2   0.54  -36.5    393
SIRI   SIRIUS XM R  SIRI US 08/20/11 C2      -11.2  50.7   0.29   11.5   5160
SD     SANDRIDGE E  SD US 09/17/11 P6        -11.1  72.1   0.04  -50.0    200
OSG    OVERSEAS SH  OSG US 10/22/11 P27      -11.1  34.2   2.70    3.9    505
MERC   MERCER INTE  MERC US 08/20/11 C10     -10.4  50.1   1.50   15.4    663
PMI    PMI GROUP I  PMI US 09/17/11 P1.5     -10.3  91.7   0.25  -28.6    400

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

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