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
=============================================================================
CYS    CYPRESS SHA  CYS US 09/17/11 P12.5     57.7  21.5   0.30    0.0    556
C      CITIGROUP I  C1 US 09/17/11 P4         54.5  56.4   1.12    1.8    226
TEF    TELEFONICA-  TEF US 03/17/12 P17.5     38.3  37.7   1.90   31.0    256
ARR    ARMOUR RESI  ARR US 10/22/11 P7.5      34.7  28.3   0.50  -23.1    340
XLY    SPDR-CONS D  XLY US 09/17/11 P36       34.4  39.5   2.80    5.7   3544
OGZPY  GAZPROM-ADR  GAZ GR 10/22/11 C10.5     34.0  51.1   1.30   75.7    300
OGZPY  GAZPROM-ADR  GAZ GR 10/22/11 C11       32.1  49.8   0.89   71.2    200
CSCO   CISCO SYSTE  CSCO US 09/17/11 C10      30.8  92.1   6.00   50.0    206
APO    APOLLO GLOB  APO US 09/17/11 P12.5     29.6  83.5   1.10   46.7    486
SPY    SPDR S&P 50  SPY US 09/17/11 P121      27.7  30.1   8.00  -19.5   3196
QQQ    POWERSH-QQQ  QQQ US 09/17/11 P55       24.4  30.8   3.51  -25.0    720
SPY    SPDR S&P 50  SPY US 09/17/11 P120      24.4  31.3   7.64  -24.9  13176
FSL    FREESCALE S  FSL US 09/17/11 P12.5     23.2  80.3   1.10    0.0    200
KRO    KRONOS WORL  KRO US 09/17/11 P20       22.4  87.3   1.30    0.0   1210
CIM    CHIMERA INV  CIM US 09/17/11 P3        22.4  64.4   0.20    0.0   6400
TWM    PROSHARES U  TWM US 09/17/11 C55       21.5  91.1   7.60  -15.3    356
IAU    ISHARES GOL  IAU US 10/22/11 C16       21.3  30.2   1.50  -11.8    256
SDRL   SEADRILL LT  SDRL US 09/17/11 P30      21.1  55.4   3.20   -8.6   1220
DXD    PROSHARES U  DXD US 10/22/11 C22       21.1  65.1   2.15   -2.3    208
C      CITIGROUP I  C1 US 01/21/12 P5         20.0  46.1   2.09   -0.5    720
XLF    SPDR-FINL S  XLF US 01/19/13 P10       18.4  41.1   1.22   -4.7   6228
DRYS   DRYSHIPS IN  DRYS US 09/17/11 C1       18.1 238.4   1.59    4.6    266
SPY    SPDR S&P 50  SPY US 09/17/11 P118      18.0  33.0   6.69  -23.1   2802
UNG    US NAT GAS   UNG1 US 01/21/12 P10      18.0  49.1   5.00    0.0   2000
AFG    AMER FINL G  AFG US 03/17/12 C30       17.9  27.6   3.20    0.0    400
XLB    SPDR-MATERI  XLB US 09/17/11 P35       17.6  34.9   2.52  -22.5   1208
SPY    SPDR S&P 50  SPY US 09/30/11 P120      17.5  29.6   9.69   -5.1   3022
SPY    SPDR S&P 50  SPY US 09/17/11 P119      17.3  31.5   7.02  -24.4    856
BEXP   BRIGHAM EXP  BEXP US 09/17/11 P27      17.2  71.4   2.20  -17.0    696
QQQ    POWERSH-QQQ  QQQ US 09/17/11 P54       16.9  32.1   3.03  -27.3   1446
SRZ    SUNRISE SEN  SRZ US 10/22/11 P5        15.1 109.9   0.55  120.0   2886
JNK    SPDR BARCLA  JNK US 09/17/11 P38       14.8  22.5   1.55   13.1   1002
IRDM   IRIDIUM COM  IRDM US 01/21/12 P5       14.7  61.2   0.20    0.0   2438
SPY    SPDR S&P 50  SPY US 09/30/11 P119      14.5  30.0   9.05    0.6    204
SPY    SPDR S&P 50  SPY US 09/17/11 P117      13.8  33.2   6.02  -18.9   5894
SPY    SPDR S&P 50  SPY US 10/22/11 P120      13.2  28.3   8.68  -20.8    390
SPY    SPDR S&P 50  SPY US 09/30/11 P118      13.0  30.8   8.50    0.0    200
ITUB   ITAU UNIBAN  ITUB US 09/17/11 P16      12.9  67.3   1.05   10.5  14872
QQQ    POWERSH-QQQ  QQQ US 09/17/11 P53       12.9  33.7   2.55  -25.9   1578
BEXP   BRIGHAM EXP  BEXP US 09/17/11 P26      12.7  70.8   1.75  -30.0    344
MOBI   SKY-MOBI LT  MOBI US 09/17/11 P5       12.6 188.9   1.10   10.0   1038
AFG    AMER FINL G  AFG US 03/17/12 P30       12.3  27.0   2.15    0.0    800
BEXP   BRIGHAM EXP  BEXP US 10/22/11 P25      11.9  68.2   2.05   -4.7    332
ACW    ACCURIDE CO  ACW US 01/21/12 C7.5      11.8  76.1   1.65   22.2    870
XLF    SPDR-FINL S  XLF US 01/19/13 P11       11.5  38.8   1.67    3.7    814
ACGL   ARCH CAPITA  ACGL US 09/17/11 P26.67   11.4  45.6   0.25    0.0   1340
ITUB   ITAU UNIBAN  ITUB US 09/17/11 P15      11.4  72.6   0.75   -6.2    292
SNY    SANOFI-ADR   SNY US 12/17/11 P25       11.2  48.8   0.80    0.0    382
PHM    PULTEGROUP   PHM US 10/22/11 P3        11.0  87.0   0.15 1400.0    740
ASIA   ASIAINFO-LI  ASIA US 10/22/11 P9       10.9 159.3   1.75   -7.9    300
XLV    SPDR-HEALTH  XLV US 12/17/11 P32       10.8  22.0   2.65   -9.9   8000
FXA    CRYSHS-AUS   FXA US 09/17/11 C102      10.7  19.3   2.70   12.5    224
SPY    SPDR S&P 50  SPY US 10/22/11 P119      10.6  28.7   8.40  -15.8    380
APKT   ACME PACKET  APKT US 09/17/11 P47.5    10.3  80.7   3.20  -20.0    536

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
XLY    SPDR-CONS D  XLY US 09/17/11 P29      -50.3  55.7   0.41  -16.3    572
AMJ    JPM-ALERIAN  AMJ US 09/17/11 C33      -42.2  16.1   3.00   -6.2    200
XLY    SPDR-CONS D  XLY US 09/17/11 C34      -40.9  44.6   2.30   19.2   6618
EEM    ISHARES-EMG  EEM US 06/16/12 P25      -39.8  47.5   0.96  -11.9    420
XLF    SPDR-FINL S  XLF US 01/21/12 C9       -39.5  57.5   4.00  -50.9    360
XLU    SPDR-UTIL S  XLU US 09/17/11 C31      -39.4  26.2   1.02   -3.8    252
XLY    SPDR-CONS D  XLY US 09/17/11 P32      -38.7  48.2   0.89  -16.0    980
CSCO   CISCO SYSTE  CSCO US 09/17/11 C16     -35.3  36.4   0.78  178.6  45452
XLY    SPDR-CONS D  XLY US 09/17/11 C35      -34.7  42.2   1.84   26.9  11386
HAL    HALLIBURTON  HAL US 10/22/11 C25      -34.6  63.3  19.19   -2.6    200
XLY    SPDR-CONS D  XLY US 09/17/11 P33      -33.7  45.8   1.08  -18.8    320
CMO    CAPSTEAD MO  CMO US 02/18/12 C10      -33.6  26.9   2.80   40.0    400
XLY    SPDR-CONS D  XLY US 01/21/12 C37      -33.4  29.6   1.67    1.2    364
XLY    SPDR-CONS D  XLY US 09/17/11 C36      -32.9  40.6   1.32   57.1  20380
CSCO   CISCO SYSTE  CSCO US 09/17/11 C15     -32.2  39.0   1.42  163.0  39864
CSCO   CISCO SYSTE  CSCO US 09/17/11 P16     -30.8  37.8   0.72  -71.1  10568
SDS    PROSHARES U  SDS US 09/17/11 C20      -30.2  38.5   5.95  -19.6    270
CSCO   CISCO SYSTE  CSCO US 09/17/11 P15     -28.2  40.6   0.37  -79.3  12890
CSCO   CISCO SYSTE  CSCO US 09/17/11 C14     -27.6  42.9   2.23  147.8   5732
TWO    TWO HARBORS  TWO US 12/17/11 C10      -25.4  26.1   0.35    0.0    200
FXEN   FX ENERGY I  FXEN US 09/17/11 C5      -24.6  92.1   1.15    4.5    202
TOT    TOTAL SA-SP  TOT US 09/17/11 C40      -24.4  49.1   5.60   -6.7    316
NLY    ANNALY CAPI  NLY US 01/21/12 C14      -23.5  35.3   3.89   45.7    400
CSCO   CISCO SYSTE  CSCO US 09/17/11 C13     -22.5  47.7   3.20  122.2   2202
S      SPRINT NEXT  S US 09/17/11 P2         -22.5 105.3   0.04    0.0    282
HTS    HATTERAS FI  HTS US 09/17/11 C28      -22.3  26.6   1.00   53.9    200
CSCO   CISCO SYSTE  CSCO US 09/17/11 C12     -22.1  50.1   4.20   94.4    404
PPC    PILGRIM'S P  PPC US 09/17/11 C2.5     -22.0  99.3   0.80  -15.8    208
FXF    CRYSHS-SWIS  FXF US 09/17/11 P112     -21.9  25.4   0.10    0.0    200
LIFE   LIFE TECHNO  LIFE US 09/17/11 C35     -21.8  45.5   4.10    0.0    500
XLY    SPDR-CONS D  XLY US 09/17/11 P35      -21.7  41.5   1.90  -15.6   4812
CSR    CHINA SECUR  CSR US 09/17/11 P5       -21.5 106.7   0.40  -34.4   2904
SODA   SODASTREAM   SODA US 09/17/11 P45     -20.0 106.3   6.50  233.3    398
ATPG   ATP OIL & G  ATPG US 09/17/11 C9      -18.8 131.5   2.10   19.3    230
CSCO   CISCO SYSTE  CSCO US 10/22/11 P16     -18.3  37.0   1.02  -60.5   4158
CSCO   CISCO SYSTE  CSCO US 10/22/11 C15     -18.0  38.9   1.68  158.5   4736
NVDA   NVIDIA CORP  NVDA US 09/17/11 P5      -17.4 140.7   0.02    0.0    360
JAG    JAGUAR MINI  JAG US 09/17/11 C5       -17.0  79.6   0.75    7.1    600
CMO    CAPSTEAD MO  CMO US 02/18/12 C12.5    -16.9  25.9   0.85   13.3    614
E      ENI SPA-ADR  E US 09/17/11 C35        -16.6  40.5   2.10  -10.6    222
VSEA   VARIAN SEMI  VSEA US 02/18/12 P50     -16.6  30.9   1.75  -14.6    626
CSCO   CISCO SYSTE  CSCO US 10/22/11 P15     -16.6  38.8   0.63  -67.7   8070
TOT    TOTAL SA-SP  TOT US 11/19/11 C40      -16.4  43.0   7.10   -1.4    798
EEM    ISHARES-EMG  EEM US 09/17/11 P20      -16.1  89.5   0.03  -25.0    482
CSCO   CISCO SYSTE  CSCO US 09/17/11 P13     -15.9  50.2   0.10  -86.1   2336
ACH    ALUMINUM CO  ACH US 09/17/11 C18      -15.7  56.7   1.15  -30.3    434
SODA   SODASTREAM   SODA US 01/21/12 P35     -15.7  88.6   6.00   87.5    438
DBA    POWERSHARES  DBA US 09/17/11 C28      -15.6  33.7   4.45   -1.1   4000
OSG    OVERSEAS SH  OSG US 09/17/11 P13      -15.2  85.3   0.35    0.0    318
CSCO   CISCO SYSTE  CSCO US 11/19/11 C16     -14.8  38.2   1.31  151.9   7614
ATPG   ATP OIL & G  ATPG US 09/17/11 C10     -14.6 134.4   1.45   11.5    284
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C44      -14.6  48.0   8.71   -2.0    286
TWER   TOWERSTREAM  TWER US 09/17/11 C2.5    -14.4 105.8   0.90  -57.1    500
EPP    ISHARES MSC  EPP US 09/17/11 P37      -14.2  53.5   0.90    0.0    204
SPY    SPDR S&P 50  SPY US 09/17/11 C100     -14.1  45.3  16.35   12.8    376
DRYS   DRYSHIPS IN  DRYS US 01/21/12 C1      -14.0 132.0   1.64    2.5    746
INFA   INFORMATICA  INFA US 09/17/11 C47.5   -14.0  48.9   2.30   -6.1    200
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C45      -13.8  46.2   8.29   23.6    322
MMP    MAGELLAN MI  MMP US 09/17/11 C60      -13.8  22.3   1.15   21.1    350
ATPG   ATP OIL & G  ATPG US 09/17/11 P9      -13.7 146.2   1.55  -18.9   1064
CSCO   CISCO SYSTE  CSCO US 10/22/11 C14     -13.5  41.9   2.38  124.5   2492
VXX    IPATH-S&P S  VXX US 09/17/11 P27      -13.3 100.6   1.27  -19.1    422
NLY    ANNALY CAPI  NLY US 01/21/12 C15      -13.2  31.4   3.00    8.7    200
CSCO   CISCO SYSTE  CSCO US 11/19/11 P16     -13.1  38.3   1.25  -53.2   8840
VXX    IPATH-S&P S  VXX US 09/17/11 P26      -13.0  99.9   1.03  -16.3    588
CHU    CHINA UNICO  CHU US 10/22/11 C19      -13.0  39.3   1.00  -41.9    220
BCS    BARCLAYS PL  BCS US 09/17/11 C10      -12.9 107.6   2.30   17.9   1534
LNCR   LINCARE HOL  LNCR US 09/17/11 C20     -12.9  42.7   1.90    0.0   1000
XOP    SPDR OIL&GA  XOP US 09/17/11 P52      -12.5  50.4   3.95  -21.8  12912
VXX    IPATH-S&P S  VXX US 09/17/11 P30      -12.5 104.8   2.55   -5.6   1714
UCO    PRSH-ULT CR  UCO US 09/17/11 C26      -12.4 100.0   7.20    1.4   5048
VXX    IPATH-S&P S  VXX US 09/17/11 P24      -12.4  97.9   0.56  -21.1    556
VXX    IPATH-S&P S  VXX US 09/17/11 P28      -12.3 102.2   1.69  -11.1    838
HBC    HSBC HOLDIN  HBC US 09/17/11 P41      -12.2  49.4   1.81  -27.6    306
VXX    IPATH-S&P S  VXX US 09/17/11 P25      -12.2  99.1   0.75  -22.7    714
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C47      -12.2  43.0   6.34   16.8    574
VXX    IPATH-S&P S  VXX US 09/17/11 P21      -12.1  95.6   0.21  -16.0    372
XLY    SPDR-CONS D  XLY US 09/17/11 C37      -12.1  37.7   0.85   28.8    816
HK     PETROHAWK E  HK US 12/17/11 P38       -12.0   7.3   0.45  -40.0    204
FAZ    FINANCIAL B  FAZ US 09/17/11 P67      -11.9 156.9  13.85    6.1    272
CSCO   CISCO SYSTE  CSCO US 01/21/12 C16     -11.9  35.9   1.50  120.6  12290
VXX    IPATH-S&P S  VXX US 09/17/11 P20      -11.8  96.7   0.14  -30.0    598
VXX    IPATH-S&P S  VXX US 09/17/11 P22      -11.8  95.6   0.24  -40.0    496
CSCO   CISCO SYSTE  CSCO US 11/19/11 C15     -11.8  40.3   1.91  141.8   3472
SPY    SPDR S&P 50  SPY US 09/17/11 C106     -11.7  40.9  11.60    8.1   1194
VXX    IPATH-S&P S  VXX US 09/17/11 C28      -11.7  99.0   8.20   -9.9    224
ABV    AMBEV-PRF A  ABV US 09/17/11 C31      -11.7  36.7   1.15  109.1    924
VXX    IPATH-S&P S  VXX US 09/17/11 P29      -11.6 103.8   2.07   -7.2    890
STD    BANCO SANTA  STD US 09/17/11 C8       -11.6 104.1   1.45   31.8   3862
NWS    NEWS CORP-B  NWS US 09/17/11 C17      -11.5  44.6   0.75  275.0    314
VXX    IPATH-S&P S  VXX US 09/17/11 P23      -11.5  97.4   0.43  -20.4    348
FAZ    FINANCIAL B  FAZ US 09/17/11 C54      -11.4 135.0  16.05  -15.2   3028
ARCO   ARCOS DORAD  ARCO US 02/18/12 C15     -11.4  49.6   8.43   31.7    976
CX     CEMEX SAB-S  CX US 09/17/11 C5        -11.3  83.8   0.58   -9.4    274
VIA/B  VIACOM INC-  VIAB US 09/17/11 C44     -11.2  46.0   2.42  -12.9    240
FXI    ISHARES FTS  FXI US 09/17/11 P37      -11.2  37.5   2.07  -21.9   2158
FAZ    FINANCIAL B  FAZ US 09/17/11 C55      -11.2 141.8  19.60   -8.4   2000
GLD    SPDR GOLD T  GLD US 09/17/11 C150     -11.1  31.1  21.90  -13.1    784
SPY    SPDR S&P 50  SPY US 09/17/11 C107     -11.1  40.3  10.81   21.1   1144
PWER   POWER-ONE I  PWER US 09/17/11 C7      -11.1  57.8   0.55   -8.3   2568
BEXP   BRIGHAM EXP  BEXP US 09/17/11 C26     -10.9  72.5   3.20   42.2    394
FXF    CRYSHS-SWIS  FXF US 09/17/11 P120     -10.9  23.2   0.70  180.0    236
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C48      -10.9  41.6   5.52   26.9   1562
XLF    SPDR-FINL S  XLF US 09/17/11 C13      -10.9  50.2   0.62   21.6  13304
WFC    WELLS FARGO  WFC US 01/19/13 C20      -10.9  50.7   6.90    4.5    318
BUD    ANHEUSER-SP  BUD US 09/17/11 C50      -10.9  43.4   3.10    6.9   1770
CVE    CENOVUS ENE  CVE US 12/17/11 C35      -10.9  43.8   3.20    2.9    324
CSCO   CISCO SYSTE  CSCO US 11/19/11 P15     -10.8  40.1   0.79  -59.1   5608
XRX    XEROX CORP   XRX US 10/22/11 C6       -10.7  61.6   2.08  -55.7    200
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C46      -10.6  39.7   7.33   10.9    610
MPEL   MELCO CROWN  MPEL US 01/21/12 C10     -10.6  87.4   4.18   13.0    214
VXX    IPATH-S&P S  VXX US 09/17/11 P35      -10.6 111.7   5.33   -1.3    386
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C46      -10.6  45.9   7.35    3.5    238
CSCO   CISCO SYSTE  CSCO US 10/22/11 C13     -10.5  44.9   3.30  111.5    454
WM     WASTE MANAG  WM US 09/17/11 C27       -10.5  53.1   3.00   -3.2    258
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C49      -10.5  39.9   4.65   29.2   2700
VXX    IPATH-S&P S  VXX US 09/17/11 P32      -10.5 108.4   3.55   -6.6    508
CSR    CHINA SECUR  CSR US 03/17/12 P5       -10.4  65.1   0.65  -27.8    304
WNR    WESTERN REF  WNR US 09/17/11 C16      -10.4  90.0   1.70   36.0    586
GE     GENERAL ELE  GE US 03/17/12 C12       -10.4  47.6   3.65    0.0    256
NYX    NYSE EURONE  NYX US 09/17/11 C24      -10.3  55.2   3.40    0.0   5000
GLD    SPDR GOLD T  GLD US 01/21/12 C120     -10.3  28.9  51.25   -6.0    286
X      US STEEL CO  X US 09/17/11 C27        -10.3  71.5   4.00    0.0    284
HUM    HUMANA INC   HUM US 09/17/11 C65      -10.3  51.8   8.30   15.3    368
AAP    ADVANCE AUT  AAP US 09/17/11 P50      -10.3  42.8   1.20  -59.3    516
FAZ    FINANCIAL B  FAZ US 10/22/11 P66      -10.3 142.9  16.40   -2.7    306
MPEL   MELCO CROWN  MPEL US 10/22/11 C12     -10.2  97.4   2.20   10.0    220
CBG    CB RICHARD   CBG US 09/17/11 C17      -10.2  74.7   1.45    0.0  25910
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C47      -10.2  38.4   6.77   19.0    930
ATPG   ATP OIL & G  ATPG US 09/17/11 P7.5    -10.1 160.1   0.91  -24.2    504
EEM    ISHARES-EMG  EEM US 09/17/11 C42      -10.1  39.7   1.49   31.9   1116
NWS    NEWS CORP-B  NWS US 10/22/11 C17      -10.0  42.3   1.05  200.0    820

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

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