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
=============================================================================
AN     AUTONATION   AN US 09/17/11 C33       121.2  62.4   5.40    0.0   4286
JNK    SPDR BARCLA  JNK US 09/17/11 P39       81.6  17.3   1.82    9.6    870
YRCW   YRC WORLDWI  YRCW US 09/17/11 C0.5     68.3 122.5   0.12  -25.0   1164
LDK    LDK SOLAR C  LDK US 09/17/11 C4        46.4  87.8   1.70   39.3    448
IRE    BANK IRELAN  IRE US 01/21/12 C1        44.9  59.1   0.30    0.0    210
ARR    ARMOUR RESI  ARR US 09/17/11 C7.5      37.1  21.7   0.15   50.0    548
TIN    TEMPLE-INLA  TIN US 09/17/11 P20       33.7 125.9   2.75  323.1   6938
TIN    TEMPLE-INLA  TIN US 01/19/13 P12.5     32.7  85.2   2.00  100.0    480
AUY    YAMANA GOLD  AUY US 10/22/11 C12       28.6  59.1   3.93   -5.3  13120
YRCW   YRC WORLDWI  YRCW US 04/21/12 C0.5     27.2  63.3   0.18    0.0    262
AGNC   AMERICAN CA  AGNC US 10/22/11 C29      24.8  32.7   1.10   15.8    202
QCOM   QUALCOMM IN  QCOM US 01/21/12 C25      22.5  91.8  22.45  -20.1   1000
HYG    ISH-IBOXX H  HYG US 09/17/11 P88       21.3  20.6   4.30   26.5    524
GORO   GOLD RESOUR  GORO US 09/17/11 P22.5    19.8  91.1   2.25  150.0   1502
GORO   GOLD RESOUR  GORO US 09/17/11 P20      19.6  93.0   1.00  150.0   1276
BCE    BCE INC      BCE US 10/22/11 C40       18.3  22.1   0.95   18.8    436
CFFN   CAPITOL FED  CFFN US 02/18/12 P10      18.1  27.5   0.55    0.0    590
C      CITIGROUP I  C1 US 01/21/12 P5         17.9  57.5   2.43    0.4   2040
GORO   GOLD RESOUR  GORO US 10/22/11 P15      16.1 101.4   0.60    0.0    724
HRL    HORMEL FOOD  HRL US 09/17/11 P27.5     15.7  40.1   1.05   31.2    900
TIN    TEMPLE-INLA  TIN US 01/21/12 P12.5     15.2  95.6   1.05  -25.0    496
LDK    LDK SOLAR C  LDK US 03/17/12 P1        14.7 205.0   0.23    0.0    332
EQT    EQT CORP     EQT US 10/22/11 C55       13.5  49.1   2.85   -1.7    282
MCRS   MICROS SYST  MCRS US 09/17/11 P35      13.4  69.6   0.80  -20.0    700
TTWO   TAKE-TWO IN  TTWO US 09/17/11 P10      13.2  68.5   0.31    0.0    228
RIC    RICHMONT MI  RIC US 09/17/11 C10       13.1  89.8   0.63  -25.9    208
G      GENPACT LTD  G US 09/17/11 P15         12.7  49.4   0.50   25.0    200
LNCR   LINCARE HOL  LNCR US 11/19/11 P20      12.7  45.0   2.15    0.0    800
IAU    ISHARES GOL  IAU US 09/17/11 C16       12.1  25.5   2.31   -7.6    416
HDB    HDFC BANK-A  HDB US 09/17/11 P30       11.8  43.4   0.80  -23.8    200
EK     EASTMAN KOD  EK US 01/19/13 C2.5       11.6  87.6   1.12   -4.3    200
TIN    TEMPLE-INLA  TIN US 11/19/11 P17       11.5  92.6   2.10  180.0    290
C      CITIGROUP I  C1 US 12/17/11 P4.5       11.1  48.1   1.90    5.0   1500
ARMH   ARM HOLDING  ARMH US 09/17/11 C25      10.8  75.2   2.25   73.1   1556
BPOP   POPULAR INC  BPOP US 10/22/11 C2       10.8  88.5   0.27  -22.9    332
FAS    FINL BULL 3  FAS US 10/22/11 P1        10.8 333.5   0.06   50.0    730
OCR    OMNICARE IN  OCR US 03/17/12 P26       10.3  43.8   2.25    9.8    300

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
PMC    PHARMERICA   PMC US 09/17/11 C15      -74.0  24.7   0.24  140.0    320
PMC    PHARMERICA   PMC US 03/17/12 C15      -64.3  16.5   0.55   22.2    222
QCOR   QUESTCOR PH  QCOR US 10/22/11 P14     -57.0 101.2   0.25  -87.5    514
QCOR   QUESTCOR PH  QCOR US 10/22/11 P15     -50.0 109.1   0.50  -16.7    402
VRSK   VERISK ANAL  VRSK US 09/17/11 P30     -44.3  48.3   0.60  100.0   1060
VXX    IPATH-S&P S  VXX1 US 01/21/12 C33     -43.5 115.4   0.39   50.0    286
VXX    IPATH-S&P S  VXX1 US 01/21/12 C36     -40.9 118.5   0.37   42.3    290
DAL    DELTA AIR L  DAL US 09/17/11 C3       -36.3 172.5   4.25    0.0    318
PHM    PULTEGROUP   PHM US 09/17/11 C2       -32.0 158.0   1.67    0.0   1008
HUN    HUNTSMAN CO  HUN US 01/19/13 C10      -29.9  47.6   3.60   -7.7    406
BK     BANK NY MEL  BK US 03/17/12 C10       -26.0  66.3   8.88    0.0    998
IAU    ISHARES GOL  IAU US 09/17/11 C17      -25.1  24.6   1.50   -9.1    222
WMGI   WRIGHT MED   WMGI US 09/17/11 P10     -22.4 102.5   0.20    0.0    400
WSM    WILLIAMS-SO  WSM US 09/17/11 C29      -20.0  60.8   1.80  -35.7    208
NSU    NEVSUN RESO  NSU US 09/17/11 C5       -18.4  79.0   2.00    8.1    400
MPEL   MELCO CROWN  MPEL US 09/17/11 P9      -17.4 102.9   0.30  -25.0    232
OCN    OCWEN FINL   OCN US 10/22/11 C12.5    -16.7  36.4   0.90  -18.2    800
WSM    WILLIAMS-SO  WSM US 09/17/11 C30      -16.7  59.8   1.40  -36.4    268
SIRI   SIRIUS XM R  SIRI US 09/17/11 C1      -16.5 123.2   0.66   -8.3    200
GS     GOLDMAN SAC  GS US 09/17/11 P110      -16.4  54.9   8.40  -14.3   4682
PANL   UNIVERSAL D  PANL US 09/17/11 C40     -16.3 104.8   5.00  100.0   1656
WSM    WILLIAMS-SO  WSM US 09/17/11 C27      -16.3  64.1   2.76  -20.9    200
LDK    LDK SOLAR C  LDK US 03/17/12 C5       -16.3  47.9   1.15    9.5    406
S      SPRINT NEXT  S US 01/21/12 C1         -16.1 126.3   2.35   -8.9    714
MHS    MEDCO HEALT  MHS US 09/17/11 C52.5    -16.1  31.5   1.50  -14.3    602
BMO    BANK OF MON  BMO US 10/22/11 C60      -15.9  32.8   2.65   -5.4    410
PANL   UNIVERSAL D  PANL US 09/17/11 P35     -15.9 107.8   1.50  -68.1    326
MPEL   MELCO CROWN  MPEL US 09/17/11 P12     -15.7  85.8   0.94  -36.3   1358
MPEL   MELCO CROWN  MPEL US 09/17/11 C12     -15.6  86.2   1.30   18.2   1038
WSM    WILLIAMS-SO  WSM US 09/17/11 P29      -15.5  60.3   1.80    0.0    346
CVVT   CHINA VALVE  CVVT US 09/17/11 C2.5    -15.4 100.2   0.20  -20.0    830
PANL   UNIVERSAL D  PANL US 09/17/11 C35     -15.2 108.1   8.30   88.6   1602
FMCN   FOCUS MEDIA  FMCN US 09/17/11 C30     -14.8  53.4   1.20   50.0    650
MTL    MECHEL-SPON  MTL US 10/22/11 C17      -14.7  59.8   1.95  -35.0   2444
DOLE   DOLE FOOD C  DOLE US 04/21/12 P10     -14.7  62.8   1.90    0.0    362
QLD    PROSHARES U  QLD US 09/17/11 C62      -14.5  83.6   9.70    0.0   4004
HEK    HECKMANN CO  HEK US 10/22/11 P5       -14.2  45.3   0.25    0.0    200
MPEL   MELCO CROWN  MPEL US 01/21/12 C12.5   -14.1  80.0   2.60    8.3    230
MTL    MECHEL-SPON  MTL US 10/22/11 C18      -14.1  58.2   1.45  -12.1   3704
FMCN   FOCUS MEDIA  FMCN US 09/17/11 P29     -14.1  54.4   1.50  -50.0    714
GS     GOLDMAN SAC  GS US 09/17/11 C110      -14.1  56.0   4.30  -21.8   2876
TOL    TOLL BROTHE  TOL US 09/17/11 C13      -14.1  70.5   2.00    0.0    262
TUES   TUESDAY MOR  TUES US 09/17/11 C2.5    -14.0 151.3   1.50   42.9    200
FMCN   FOCUS MEDIA  FMCN US 09/17/11 C29     -13.7  56.4   1.70   36.0    512
SUG    SOUTHERN UN  SUG US 09/17/11 C20      -13.7 142.8  21.15  161.1    212
GS     GOLDMAN SAC  GS US 09/17/11 P105      -13.1  60.5   6.10  -23.8   4780
QCOR   QUESTCOR PH  QCOR US 10/22/11 C25     -13.0  68.3   3.14  -30.2    200
CLWR   CLEARWIRE -  CLWR US 10/22/11 C3      -12.9 145.9   0.70  -26.3    338
PWRD   PERFECT WOR  PWRD US 09/17/11 P20     -12.9  68.6   1.00  -59.2    288
ECL    ECOLAB INC   ECL US 09/17/11 C50      -12.7  30.6   0.65   62.5    424
TSL    TRINA SOLAR  TSL US 09/17/11 C15      -12.6  85.2   1.36  126.7   1036
PANL   UNIVERSAL D  PANL US 09/17/11 P30     -12.5 112.7   0.80  -68.0    364
KCI    KINETIC CON  KCI US 12/17/11 C65      -12.5  16.8   3.50   -5.4    522
BAC    BANK OF AME  BAC US 09/17/11 C3       -12.2 217.7   3.30  -10.8    602
MDT    MEDTRONIC I  MDT US 09/17/11 C33      -12.0  34.4   1.01   57.8    866
GS     GOLDMAN SAC  GS US 09/17/11 C105      -11.9  62.0   7.60   -6.2   1470
PG     PROCTER & G  PG US 09/17/11 P65       -11.9  19.1   2.66  -22.9    370
MDT    MEDTRONIC I  MDT US 09/17/11 P33      -11.6  34.3   1.45  -36.4   1540
ZIP    ZIPCAR INC   ZIP US 09/17/11 C17.5    -11.5  68.4   1.50   -6.2    292
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C33      -11.5  59.9  18.28    0.0    284
MPEL   MELCO CROWN  MPEL US 01/21/12 C10     -11.4  89.3   3.80   11.8    220
PANL   UNIVERSAL D  PANL US 09/17/11 C30     -11.3 113.8  12.50   78.6    448
MDT    MEDTRONIC I  MDT US 09/17/11 C32      -11.3  36.4   1.43   47.4    634
GE     GENERAL ELE  GE US 12/17/11 P5        -11.3  96.9   0.04    0.0   1184
BJ     BJ'S WHOLES  BJ US 12/17/11 C52.5     -11.2   7.8   0.15  -34.8    200
SBAC   SBA COMM CO  SBAC US 12/17/11 C35     -11.0  30.0   2.30   -8.0    256
PANL   UNIVERSAL D  PANL US 09/17/11 P40     -10.9 103.9   4.00  -47.4    524
GS     GOLDMAN SAC  GS US 09/17/11 P100      -10.8  67.4   4.55  -24.2   3804
PANL   UNIVERSAL D  PANL US 03/17/12 P25     -10.8  85.1   2.35  -53.0    414
MPEL   MELCO CROWN  MPEL US 09/17/11 P11     -10.8  96.1   0.60  -42.9   1524
SPRD   SPREADTRUM-  SPRD US 09/17/11 C17     -10.7  59.1   0.70   -6.7    616
NUGT   DIR GLD MNR  NUGT US 09/17/11 C35     -10.6  75.2   4.90  -24.6    365
XLF    SPDR-FINL S  XLF US 09/17/11 C10      -10.4  71.3   2.15   -4.4    782
ALJ    ALON USA EN  ALJ US 09/17/11 C7.5     -10.3  91.6   1.10   -8.3    300
YGE    YINGLI GREE  YGE US 12/17/11 C6       -10.2  69.8   1.00   33.3   1202
FMCN   FOCUS MEDIA  FMCN US 09/17/11 P28     -10.2  57.7   1.25  -46.8    526
SPWRA  SUNPOWER CO  SPWRA US 12/17/11 C14    -10.2  34.6   1.08  -14.3   1768

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

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