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
=============================================================================
BWLD   BUFFALO WIL  BWLD US 08/20/11 C55     181.6  61.4  11.80  -12.6    203
BUCY   BUCYRUS INT  BUCY US 01/21/12 C90      49.9   2.3   2.01    0.5    350
TLB    TALBOTS INC  TLB US 11/19/11 C2        47.9  70.0   1.69    9.0    200
RFMD   RF MICRO DE  RFMD US 01/21/12 C4       41.5  59.8   2.53   21.1    200
GMR    GENERAL MAR  GMR US 08/20/11 P1        30.7 102.0   0.05    0.0    666
BPAX   BIOSANTE PH  BPAX US 08/20/11 C3       30.4  68.9   0.55   57.1   2022
JNS    JANUS CAPIT  JNS US 08/20/11 C10       28.1  41.1   0.40  -27.3    510
ETE    ENERGY TRAN  ETE US 08/20/11 C45       28.0  24.0   1.25   25.0    858
VICL   VICAL INC    VICL US 12/17/11 C2.5     19.7 103.6   1.95   -7.1    422
PMI    PMI GROUP I  PMI US 09/17/11 P1.5      14.1 109.0   0.40   60.0    400
GGG    GRACO INC    GGG US 08/20/11 C55       12.6  33.6   1.50   -9.1    250
DDR    DEVELOPERS   DDR US 10/22/11 C12.5     12.0  38.8   2.45   -5.8    590
GMR    GENERAL MAR  GMR US 02/18/12 P1        11.3  93.0   0.23   53.3   2020
ELON   ECHELON COR  ELON US 08/20/11 C10      10.7  46.2   0.50  100.0    531
NLY    ANNALY CAPI  NLY US 08/20/11 C18       10.7  14.0   0.70    7.7    223
SPY    SPDR S&P 50  SPY US 08/20/11 P140      10.2  11.7   6.88   28.4    788

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
FEIC   FEI COMPANY  FEIC US 08/20/11 P30     -44.2  64.3   0.40    0.0    418
AMLN   AMYLIN PHAR  AMLN US 08/20/11 P14     -24.5  51.9   0.85  -45.2    339
AMLN   AMYLIN PHAR  AMLN US 08/20/11 C15     -24.1  50.4   0.74   -1.3    439
AMLN   AMYLIN PHAR  AMLN US 08/20/11 P13     -23.6  56.4   0.49  -51.0    344
AMLN   AMYLIN PHAR  AMLN US 08/20/11 P11     -23.4  66.1   0.11  -77.1   1751
AMLN   AMYLIN PHAR  AMLN US 08/20/11 C14     -22.5  53.5   1.27    9.5    224
ECHO   ECHO GLOBAL  ECHO US 08/20/11 C17.5   -17.0  56.5   1.50    0.0    373
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1      -15.5  49.0   1.19   -1.6    400
TSM    TAIWAN SEMI  TSM US 08/20/11 C12.5    -15.0  26.2   0.45  -30.8   1815
RFMD   RF MICRO DE  RFMD US 08/20/11 P6      -14.1  44.0   0.20    0.0    500
CTCT   CONSTANT CO  CTCT US 12/17/11 C22.5   -14.0  46.0   4.30  -14.0    406
EMAN   EMAGIN CORP  EMAN US 09/17/11 C2.5    -13.9 183.0   3.70   12.1    300
CSE    CAPITALSOUR  CSE US 08/20/11 P6       -13.9  33.5   0.20    0.0    426
LVLT   LEVEL 3 COM  LVLT US 09/17/11 C2.5    -11.3  46.3   0.25    0.0    216
QQQ    POWERSH-QQQ  QQQ US 08/20/11 C55      -10.8  20.1   3.80  -16.1    666
SPY    SPDR S&P 50  SPY US 08/20/11 C126     -10.7  19.4   8.34  -16.4    266
STD    BANCO SANTA  STD US 08/20/11 P9       -10.4  45.2   0.15  -25.0    255
TLT    ISHARES BAR  TLT US 08/20/11 C99      -10.1  12.0   0.29   16.0    589
TBT    PROSHARES U  TBT US 08/20/11 P30      -10.1  27.2   0.18   12.5    226

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

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