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
=============================================================================
GA     GIANT INTER  GA US 09/17/11 P7.5      409.0  47.4   0.20   33.3    212
TLVT   TELVENT GIT  TLVT US 11/19/11 C40      66.5   8.3   0.55   37.5    220
XLV    SPDR-HEALTH  XLV US 09/17/11 P32       47.2  23.2   0.95   -4.0    332
RJI    ELEMENTS RO  RJI US 09/17/11 C9        45.0  24.9   0.40    0.0    400
SPY    SPDR S&P 50  SPY US 09/30/11 C117      29.5  29.1   6.12   -4.4    596
FAS    FINL BULL 3  FAS US 01/19/13 P11       28.7  94.3   3.66    4.6   1000
YRCW   YRC WORLDWI  YRCW US 01/21/12 C0.5     26.9  68.0   0.26    0.0    480
CYS    CYPRESS SHA  CYS US 09/17/11 C12.5     24.6  29.5   1.25    8.7    500
SPY    SPDR S&P 50  SPY US 09/17/11 C113      24.1  32.8   8.66   -6.6   2848
YRCW   YRC WORLDWI  YRCW US 10/22/11 C0.5     22.8  90.4   0.25    4.2    980
CZZ    COSAN LTD -  CZZ US 09/17/11 C10       20.5  33.1   1.35   -6.9    934
SPY    SPDR S&P 50  SPY US 09/17/11 C115      20.2  31.6   7.09   -6.1   5114
MWE    MARKWEST EN  MWE US 09/17/11 P46       20.1  37.2   1.70  -15.0   2146
NMM    NAVIOS MARI  NMM US 12/17/11 C10       18.8  71.2   5.70    7.5    600
SPY    SPDR S&P 50  SPY US 12/17/11 C110      18.6  29.1  13.12   -2.8    326
TLT    ISHARES BAR  TLT US 01/19/13 C85       18.4  20.8  20.50  -13.8    200
RMBS   RAMBUS INC   RMBS US 09/17/11 C12      18.2  88.0   1.26   20.0   4412
AWK    AMERICAN WA  AWK US 09/17/11 C30       17.8  22.2   0.35  -12.5    200
IWM    ISHARES-RUS  IWM US 09/17/11 C61       17.6  45.6  10.43   -4.9    404
SPY    SPDR S&P 50  SPY US 09/30/11 C124      17.5  24.7   2.34   -5.7   1340
SPY    SPDR S&P 50  SPY US 09/17/11 C116      17.4  30.8   6.32   -9.6   4392
PETS   PETMED EXPR  PETS US 09/17/11 C10      17.4  48.0   0.50  -77.3    600
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C50       17.3  33.6   4.71   -3.7   1076
GMO    GENERAL MOL  GMO US 12/17/11 C4        17.3  83.9   0.75    7.1    220
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C49       17.2  35.2   5.52   -1.9    522
RMBS   RAMBUS INC   RMBS US 09/17/11 P12      16.7  88.8   1.26   29.9   4272
LDK    LDK SOLAR C  LDK US 03/17/12 C5        15.5  76.7   2.40   17.6    200
VHC    VIRNETX HOL  VHC US 09/17/11 C22       15.0 139.0   4.10   64.0    254
IVR    INVESCO MOR  IVR US 09/17/11 C20       14.8  32.0   0.65   62.5   2010
RBCN   RUBICON TEC  RBCN US 03/17/12 C10      14.8  65.5   5.10   13.3   1210
RMBS   RAMBUS INC   RMBS US 09/17/11 P11      14.6  90.9   0.77  -29.4    894
IWM    ISHARES-RUS  IWM US 09/17/11 C64       14.6  43.5   7.58   -4.3    244
SPY    SPDR S&P 50  SPY US 09/17/11 C111      14.6  34.6  10.26   -6.6    854
MSFT   MICROSOFT C  MSFT US 09/17/11 C24      14.4  33.8   1.88    5.6   1224
STRA   STRAYER EDU  STRA US 01/21/12 P70      14.3  58.2   3.70   12.1    500
XLI    SPDR-INDU S  XLI US 09/17/11 C31       14.0  34.9   1.60  -13.5    474
SINA   SINA CORP    SINA US 09/17/11 P95      13.7  95.4   8.65   60.2    380
AMAG   AMAG PHARMA  AMAG US 09/17/11 C15      13.6  61.1   1.10  -12.0    200
SPY    SPDR S&P 50  SPY US 01/21/12 C115      13.6  26.2  10.20   -2.4    288
DAL    DELTA AIR L  DAL US 09/17/11 C5        13.3 103.8   2.57   18.4    200
NWL    NEWELL RUBB  NWL US 09/17/11 P13       13.2  50.9   0.60   22.4   4718
QQQ    POWERSH-QQQ  QQQ US 09/17/11 C51       12.9  32.4   3.94   -2.7   2244
SPY    SPDR S&P 50  SPY US 10/22/11 C113      12.8  30.2   9.75   -4.9    536
CIM    CHIMERA INV  CIM US 12/17/11 C3        12.1  47.2   0.40   14.3    368
CEG    CONSTELLAT   CEG US 09/17/11 C37       11.8  22.8   0.85   -5.6    300
RVBD   RIVERBED TE  RVBD US 09/17/11 C27      11.8  67.7   1.43   -1.4    220
AH     ACCRETIVE H  AH US 09/17/11 P30        11.8  66.7   2.74  -11.6    500
DNDN   DENDREON CO  DNDN US 09/17/11 P8       11.5 121.7   0.12   -7.7    630
WBMD   WEBMD HEALT  WBMD US 09/17/11 P30      11.4  68.6   0.90   63.6    806
SPY    SPDR S&P 50  SPY US 09/17/11 C112      11.3  33.7   9.64   -4.7   6558
MSFT   MICROSOFT C  MSFT US 09/17/11 C25      11.2  30.8   1.19    9.2   5096
SINA   SINA CORP    SINA US 09/17/11 P100     11.1  90.6  10.95   55.1    332
SDRL   SEADRILL LT  SDRL US 09/17/11 C30      11.0  45.4   1.80  -20.0    202
WBMD   WEBMD HEALT  WBMD US 09/17/11 P35      10.9  62.0   2.70   28.6    868
NTES   NETEASE.COM  NTES US 09/17/11 C49      10.7  54.3   3.00   -9.1    330
SPY    SPDR S&P 50  SPY US 12/30/11 C115      10.6  26.6   9.59   -5.1    440
CDE    COEUR D'ALE  CDE US 01/21/12 C22.5     10.5  63.5   6.40    4.9    200
SPY    SPDR S&P 50  SPY US 09/17/11 C119      10.4  28.5   4.37   -5.4  20285
SINA   SINA CORP    SINA US 09/17/11 C100     10.4  89.7  10.20  -23.9    214
XOP    SPDR OIL&GA  XOP US 09/17/11 P54       10.3  47.1   2.94    5.8   1238
DNDN   DENDREON CO  DNDN US 09/17/11 P10      10.2 108.3   0.32  -20.0    348
STRA   STRAYER EDU  STRA US 01/21/12 P75      10.1  59.5   4.90   25.6    220
IWM    ISHARES-RUS  IWM US 09/17/11 C65       10.1  42.3   7.10   -9.4    930

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
EXR    EXTRA SPACE  EXR US 12/17/11 P17.5    -73.1  40.2   0.50  -50.0    828
PPH    PHARMACEUT   PPH US 11/19/11 C67      -55.4  17.7   1.45   38.1    304
MMI    MOTOROLA MO  MMI US 09/17/11 P38      -50.8  11.9   0.50    0.0    508
MMI    MOTOROLA MO  MMI US 01/21/12 C39      -41.6  10.4   0.70    0.0    312
MMI    MOTOROLA MO  MMI US 10/22/11 P38      -41.1  11.3   0.85  -51.4   2910
MMI    MOTOROLA MO  MMI US 10/22/11 P37      -40.1  14.0   0.55    0.0    352
MMI    MOTOROLA MO  MMI US 09/17/11 P37      -34.0  15.7   0.35    0.0   1466
MMI    MOTOROLA MO  MMI US 10/22/11 P36      -32.8  18.6   0.50    0.0    290
BLUD   IMMUCOR INC  BLUD US 03/17/12 P25     -30.9   7.8   0.05  -80.0    238
MMI    MOTOROLA MO  MMI US 09/17/11 C39      -27.1  11.8   0.25  -68.8    220
AGNC   AMERICAN CA  AGNC US 01/19/13 C25     -25.4  20.9   5.00    4.2    220
SOMX   SOMAXON PHA  SOMX US 02/18/12 C1      -23.9  48.3   0.24  -20.0    200
HK     PETROHAWK E  HK US 03/17/12 P38       -21.9   4.7   0.30  -21.1    484
MMI    MOTOROLA MO  MMI US 01/21/12 C38      -21.5  15.5   1.55    0.0    250
VIT    VANCEINFO T  VIT US 09/17/11 P12.5    -19.5 100.2   1.00  150.0    704
NWS    NEWS CORP-B  NWS US 09/17/11 C15      -19.2  38.4   2.45   20.7    534
ANX    ADVENTRX PH  ANX US 09/17/11 P1       -19.0 112.4   0.10  -33.3    200
URBN   URBAN OUTFI  URBN US 09/17/11 P27     -18.5  51.2   1.38   31.4    548
GURE   GULF RESOUR  GURE US 09/17/11 C2.5    -17.7 111.8   0.30  -60.0    502
MSFT   MICROSOFT C  MSFT US 01/21/12 C12.5   -17.6  57.3  13.10    1.9    390
PAL    NORTH AMER   PAL US 09/17/11 C3       -17.2  91.0   0.75  -16.7    200
ATPG   ATP OIL & G  ATPG US 01/19/13 C7.5    -16.6  82.9   5.25    0.0    250
PRGO   PERRIGO CO   PRGO US 09/17/11 C85     -15.5  39.5   4.70  -32.9    496
LCRY   LECROY CORP  LCRY US 01/21/12 C5      -15.5  59.9   4.27    0.0    600
VIT    VANCEINFO T  VIT US 09/17/11 P10      -15.3 125.8   0.45  125.0    540
FAS    FINL BULL 3  FAS US 01/19/13 P13      -15.2  94.4   5.00    3.1   1000
GE     GENERAL ELE  GE US 11/19/11 P5        -14.6  99.5   0.02    0.0    220
CFSG   CHINA FIRE   CFSG US 09/17/11 P7.5    -14.6  60.6   0.15  -66.7    200
SPY    SPDR S&P 50  SPY US 09/17/11 P124     -14.6  25.1   6.51    3.0   3158
CNTF   CHINA TECHF  CNTF US 09/17/11 C2.5    -14.4 127.7   0.70  -51.7    570
DKS    DICK'S SPOR  DKS US 09/17/11 C33      -14.0  45.4   1.00  -48.7    278
MMI    MOTOROLA MO  MMI US 10/22/11 C36      -13.6  20.2   2.70    0.0    500
URBN   URBAN OUTFI  URBN US 09/17/11 C28     -13.0  49.7   1.50  -28.6    416
PLL    PALL CORP    PLL US 09/17/11 C45      -12.8  45.0   4.05  -10.0    600
HSNI   HSN INC      HSNI US 09/17/11 P30     -12.7  49.1   1.35   17.4    256
DKS    DICK'S SPOR  DKS US 09/17/11 P31      -12.7  48.0   1.50   11.1    328
AGNC   AMERICAN CA  AGNC US 09/17/11 C27     -12.6  29.7   3.00    4.2    274
SPY    SPDR S&P 50  SPY US 10/22/11 P78      -12.5  52.0   0.24    4.3   2002
MSFT   MICROSOFT C  MSFT US 01/21/12 C15     -12.3  46.9  10.60    1.9    612
FL     FOOT LOCKER  FL US 09/17/11 P17.5     -12.2  59.7   0.65    0.0    514
SPY    SPDR S&P 50  SPY US 09/30/11 P121     -11.8  26.4   5.75    9.7    228
MMI    MOTOROLA MO  MMI US 09/17/11 P35      -11.8  26.1   0.20  -33.3   1092
ITT    ITT CORP     ITT US 01/19/13 C47.5    -11.6  28.1   5.50    0.0    362
DF     DEAN FOODS   DF US 12/17/11 C4        -11.5  94.5   4.90    0.0    208
GILD   GILEAD SCIE  GILD US 09/17/11 P39     -11.3  32.9   1.77  -34.4    456
ITT    ITT CORP     ITT US 01/21/12 P47.5    -10.6  31.6   4.30  -25.9    886
PEET   PEETS COFFE  PEET US 09/17/11 P55     -10.4  40.9   1.90   18.8    224
BLUD   IMMUCOR INC  BLUD US 09/17/11 P25     -10.4  19.8   0.05  -66.7    416
DANG   E-COMMERCE   DANG US 09/17/11 P8      -10.4 120.3   0.80   77.8    218
SPY    SPDR S&P 50  SPY US 11/19/11 P111     -10.2  30.1   3.66    5.8    586
YOKU   YOUKU.COM I  YOKU US 09/17/11 C22     -10.2 104.6   4.40  -24.1    220
MMI    MOTOROLA MO  MMI US 10/22/11 P24      -10.2  59.0   0.15  -25.0    380
HK     PETROHAWK E  HK US 09/17/11 C40       -10.1   7.4   0.02    0.0   1524
EWG    ISHARES-GER  EWG US 09/17/11 C22      -10.1  39.7   0.85   13.3    604
ITT    ITT CORP     ITT US 01/19/13 P45      -10.1  29.8   6.30  -13.7    640
ITT    ITT CORP     ITT US 01/21/12 P45      -10.1  32.6   3.50  -31.4    202
ITT    ITT CORP     ITT US 01/21/12 C47.5    -10.0  31.4   3.30  -13.2    910

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

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