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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
=============================================================================
LNG    CHENIERE EN  LNG US 09/17/11 C5       129.9 162.3   2.80   24.4    500
NXG    NORTHGATE M  NXG US 09/17/11 C2.5      78.8 150.8   1.85  184.6    235
SFY    SWIFT ENERG  SFY US 09/17/11 C25       75.9  58.7   4.40  -38.9    650
CTL    CENTURYLINK  CTL US 09/17/11 C33       72.2  29.9   2.20   46.7    724
PXD    PIONEER NAT  PXD US 09/17/11 C60       48.7  82.9  16.20   24.6   1000
MCD    MCDONALDS C  MCD US 09/17/11 C80       36.1  41.7  10.12    0.7    287
SVM    SILVERCORP   SVM US 10/22/11 P4        25.9 169.2   0.25    0.0    510
SVM    SILVERCORP   SVM US 09/17/11 P8        21.8 139.8   0.90   11.1   1066
SVM    SILVERCORP   SVM US 09/17/11 P7        21.7 150.5   0.55   22.2   1699
MOLX   MOLEX INC    MOLX US 09/17/11 P20      20.2  52.5   0.60  -14.3   1709
SVM    SILVERCORP   SVM US 03/17/12 P4        20.0 109.9   0.45    0.0    215
SVM    SILVERCORP   SVM US 10/22/11 P5        19.5 156.3   0.45   50.0    910
MTG    MGIC INVT C  MTG US 09/17/11 P2.5      19.2 148.4   0.23  -72.9    226
TQNT   TRIQUINT SE  TQNT US 09/17/11 C7       17.5  69.2   1.00   66.7    936
UNG    US NAT GAS   UNG US 09/17/11 P10       16.9  36.4   0.39    0.0   4324
DGI    DIGITALGLOB  DGI US 09/17/11 C22.5     16.4  57.8   0.85  142.9    982
SPY    SPDR S&P 50  SPY US 09/17/11 P126      15.2  24.2   7.25  -19.9    285
ORI    OLD REPUB I  ORI US 10/22/11 C10       14.4  39.7   0.35   40.0    205
MDRX   ALLSCRIPTS   MDRX US 09/17/11 P15      14.4  62.8   0.15  -25.0    264
BAC    BANK OF AME  BAC US 09/17/11 P4        13.7 170.2   0.03    0.0   1790
BKS    BARNES & NO  BKS US 09/17/11 C10       13.6 102.0   1.80   16.1    570
QQQ    POWERSH-QQQ  QQQ US 09/17/11 P56       13.4  26.6   2.62  -21.8   1414
TMO    THERMO FISH  TMO US 09/17/11 C45       13.1  58.7   9.80    2.6    200
RGC    REGAL ENTER  RGC US 10/22/11 C12.5     12.7  40.5   0.85   21.4    210
SPY    SPDR S&P 50  SPY US 09/17/11 P125      12.7  25.2   6.46  -21.7   2347
OVTI   OMNIVISION   OVTI US 09/17/11 C17      12.5  83.0   1.40   12.0    272
SVM    SILVERCORP   SVM US 10/22/11 P7        12.5 138.6   1.05   10.5    214
RDN    RADIAN GROU  RDN US 09/17/11 C3        12.3 110.4   0.40   33.3   1506
VMC    VULCAN MATE  VMC US 09/17/11 C36       11.7  51.8   1.40   40.0    608
AZO    AUTOZONE IN  AZO US 09/17/11 P260      11.7  45.4   0.70    7.7    411
SVM    SILVERCORP   SVM US 12/17/11 P7        11.0 117.1   1.35   12.5    551
VMC    VULCAN MATE  VMC US 09/17/11 C34       11.0  54.7   2.15   28.0    349
LNG    CHENIERE EN  LNG US 09/17/11 C6        10.9 120.8   1.80   12.5    500
SVM    SILVERCORP   SVM US 12/17/11 P5        10.8 125.6   0.60   20.0    403
BAC    BANK OF AME  BAC US 09/17/11 P2        10.7 280.6   0.01    0.0    500
RIMM   RESEARCH IN  RIMM US 09/17/11 P20      10.6 121.2   0.22    0.0   3480
COH    COACH INC    COH US 09/17/11 P43       10.5  74.7   0.25  -50.0   2530
CDNS   CADENCE DES  CDNS US 09/17/11 C8       10.4  54.3   1.12   17.9   1000
SMH    SEMICONDUCT  SMH US 01/19/13 P25       10.4  22.3   1.40  -19.1    364
SVM    SILVERCORP   SVM US 01/21/12 P4        10.1 118.2   0.35   40.0    366

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
TGB    TASEKO MINE  TGB US 09/17/11 C4       -42.9  60.3   0.20  -42.9   1222
KSU    KANSAS CITY  KSU US 09/17/11 P50      -36.3  50.6   1.30  -77.2    338
TGB    TASEKO MINE  TGB US 09/17/11 P4       -30.6  51.6   0.25  -37.5   1273
XME    SPDR S&P ME  XME US 09/17/11 P56      -21.7  44.0   2.10  -41.7    680
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C34      -21.3  54.9  20.07    4.8    266
VVUS   VIVUS INC    VVUS US 09/17/11 C7      -21.1  44.0   0.85   37.1    709
SDS    PROSHARES U  SDS US 09/17/11 C20      -19.6  36.7   3.35  -24.7    308
CFN    CAREFUSION   CFN US 10/22/11 P23      -17.9  37.0   0.48    0.0   1221
ARAY   ACCURAY INC  ARAY US 09/17/11 C5      -17.2  76.0   0.25    0.0    295
VIVO   MERIDIAN BI  VIVO US 10/22/11 P17.5   -17.2  39.9   0.75  -50.0    641
XME    SPDR S&P ME  XME US 09/17/11 C52      -17.2  52.1   5.74   30.4    368
WAVX   WAVE SYSTEM  WAVX US 10/22/11 C2.5    -16.6  84.1   0.25  -28.6    312
KSU    KANSAS CITY  KSU US 09/17/11 P48      -16.6  52.9   0.75  -72.7    225
ARR    ARMOUR RESI  ARR US 09/17/11 C7.5     -15.8  18.5   0.05  -50.0    350
CBOE   CBOE HOLDIN  CBOE US 10/22/11 P23     -15.3  38.8   0.75  -53.7    288
CFSG   CHINA FIRE   CFSG US 12/17/11 P7.5    -15.2  44.4   0.35  -36.4    218
UUP    POWERSHARES  UUP US 10/22/11 C20      -14.1   8.5   0.94   -8.7    200
TRV    TRAVELERS C  TRV US 09/17/11 C50      -13.9  32.9   1.70   70.0    433
CNW    CON-WAY INC  CNW US 09/17/11 P25      -13.4  58.2   1.20  -36.8    200
LYG    LLOYDS BANK  LYG US 04/21/12 C1       -13.0  99.1   1.15    9.5    200
UNG    US NAT GAS   UNG US 09/17/11 C9       -12.2  37.4   0.91   -2.1    251
CBOE   CBOE HOLDIN  CBOE US 09/17/11 C23     -11.9  32.1   1.80   12.5    310
DFS    DISCOVER FI  DFS US 09/17/11 P20      -11.4  70.3   0.15  -62.5   2500
XME    SPDR S&P ME  XME US 09/17/11 P49      -11.2  58.5   0.51  -29.2   3600
SWK    STANLEY BLA  SWK US 10/22/11 P62.5    -10.8  40.9   4.80    0.0    650
TRV    TRAVELERS C  TRV US 09/17/11 P45      -10.5  42.1   0.30  -70.0    287
C      CITIGROUP I  C US 09/17/11 P32        -10.4  52.2   2.08  -34.0    428
UBS    UBS AG-REG   UBS US 09/17/11 P14      -10.3  54.7   0.80  -33.3    204

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

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