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
=============================================================================
RIMM   RESEARCH IN  RIMM US 10/22/11 C20     123.2  87.2  12.30   22.4    312
CLGX   CORELOGIC I  CLGX US 10/22/11 C10     101.0  68.5   1.65 1000.0    973
AGU    AGRIUM INC   AGU US 09/17/11 C72.5    100.2  53.6  14.25   50.0   1000
CLGX   CORELOGIC I  CLGX US 01/21/12 C10      79.4  62.6   2.15  437.5    313
CLGX   CORELOGIC I  CLGX US 09/17/11 C10      76.5  83.5   1.50 2900.0    538
GMXR   GMX RESOURC  GMXR US 09/17/11 C2       60.0 147.7   0.85    0.0    306
SMH    SEMICONDUCT  SMH US 02/18/12 P30       53.6  27.9   2.70   10.2    460
MSCI   MSCI INC-A   MSCI US 12/17/11 C35      36.9  34.3   2.10   -4.5    300
CLGX   CORELOGIC I  CLGX US 09/17/11 P10      35.5  79.3   0.30  -70.0    317
BAC    BANK OF AME  BAC US 12/17/11 C3        30.0 114.5   5.15    4.0    300
BHI    BAKER HUGHE  BHI US 09/17/11 C50       28.1  66.7   8.95    5.9   1000
JCOM   J2 GLOBAL C  JCOM US 03/17/12 C25      27.8  38.5   6.82    0.0    756
DM     DOLAN CO/TH  DM US 04/21/12 C7.5       26.4  52.2   1.80    0.0    200
DM     DOLAN CO/TH  DM US 01/21/12 C7.5       21.0  52.8   1.55    3.3    350
XLU    SPDR-UTIL S  XLU US 03/17/12 C33       18.5  19.7   1.94    0.5    280
JDSU   JDS UNIPHAS  JDSU US 09/17/11 C11      17.2  88.8   2.40   49.1    281
SVM    SILVERCORP   SVM US 09/17/11 P7        15.5 168.9   0.50    0.0    760
MCP    MOLYCORP IN  MCP US 09/17/11 C52.5     15.4  80.6   6.50   64.6    446
SVM    SILVERCORP   SVM US 09/17/11 P9        14.8 150.8   1.30  -18.8   2860
SHAW   SHAW GROUP   SHAW US 09/17/11 C22      14.8  47.8   1.45    0.0    400
JDSU   JDS UNIPHAS  JDSU US 09/17/11 P12      14.6  79.4   0.41  -34.9    539
SVM    SILVERCORP   SVM US 12/17/11 P6        14.1 141.6   1.10   10.0   1726
BBBB   BLACKBOARD   BBBB US 01/21/12 P40      14.1  34.3   2.85   11.8    213
SVM    SILVERCORP   SVM US 09/17/11 C8        13.9 149.8   1.37   52.2    573
MCP    MOLYCORP IN  MCP US 09/17/11 P50       13.4  85.0   1.40  -26.3    584
SVM    SILVERCORP   SVM US 12/17/11 P7        13.0 132.6   1.50    7.1    808
SHLD   SEARS HOLDI  SHLD US 09/17/11 C30      12.9 136.0  29.50    2.8    689
JDSU   JDS UNIPHAS  JDSU US 09/17/11 C12      12.8  79.5   1.70   91.0    902
MCP    MOLYCORP IN  MCP US 09/17/11 C55       12.8  75.5   4.60   70.4    755
CALX   CALIX INC    CALX US 10/22/11 C12.5    12.6  73.0   2.80   69.7    279
ALXA   ALEXZA PHAR  ALXA US 03/17/12 C1       12.3 175.7   0.70   18.6    600
SVM    SILVERCORP   SVM US 01/21/12 P6        12.1 124.4   1.15   21.1    946
SVM    SILVERCORP   SVM US 10/22/11 P4        11.9 201.1   0.30   20.0    489
DAN    DANA HOLDIN  DAN US 09/17/11 P12       11.8  75.8   0.55   22.2    902
REE    RARE ELEMEN  REE US 09/17/11 C9        11.6  69.2   0.40   33.3    642
MCP    MOLYCORP IN  MCP US 09/17/11 C57.5     11.5  71.5   3.35  101.8    834
SVM    SILVERCORP   SVM US 12/17/11 P8        11.1 124.8   1.95    2.6   2533
PWER   POWER-ONE I  PWER US 09/17/11 C8       10.4  51.0   0.20  -20.0    477
JDSU   JDS UNIPHAS  JDSU US 09/17/11 C13      10.2  72.6   0.97  125.6   2076
SNDK   SANDISK COR  SNDK US 09/17/11 C38      10.0  53.5   1.30   -3.0    502

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
WINN   WINN-DIXIE   WINN US 09/17/11 P7.5    -36.2  59.5   0.60    0.0    524
BCRX   BIOCRYST PH  BCRX US 09/17/11 C3      -31.6  49.6   0.45   73.1    322
DG     DOLLAR GENE  DG US 09/17/11 C35       -31.4  30.0   1.30   52.9   1866
PMC    PHARMERICA   PMC US 09/17/11 C12.5    -27.4  36.0   1.75   16.7    495
EXK    ENDEAVOUR S  EXK US 09/17/11 C10      -19.6  54.7   2.15   22.9    205
HDB    HDFC BANK-A  HDB US 09/17/11 C34      -19.3  42.1   0.90    0.0    274
CNW    CON-WAY INC  CNW US 09/17/11 C25      -18.8  46.8   1.60   18.5    221
DBO    POWERSHARES  DBO US 09/17/11 C26      -16.0  32.6   0.85    0.0    688
BAC    BANK OF AME  BAC US 09/17/11 P7       -15.7  71.9   0.10  -28.6  27489
IMAX   IMAX CORP    IMAX US 09/17/11 C16     -15.2  84.4   2.00  -23.1    307
PLCM   POLYCOM INC  PLCM US 10/22/11 P23.75  -13.4  54.8   2.00  -16.7    662
YNDX   YANDEX NV-A  YNDX US 09/17/11 C31     -13.2  36.3   0.60  -20.0    282
DG     DOLLAR GENE  DG US 09/17/11 C30       -13.0  44.0   5.60   36.6    255
MWW    MONSTER WOR  MWW US 09/17/11 C7       -12.9  58.6   1.30    8.3    250
ZAGG   ZAGG INC     ZAGG US 09/17/11 C14     -12.3  66.8   1.85   15.6    247
YNDX   YANDEX NV-A  YNDX US 09/17/11 C30     -12.0  36.5   1.05  -12.5   6254
ANX    ADVENTRX PH  ANX US 10/22/11 C1       -12.0 120.8   0.20  -33.3    250
BAC    BANK OF AME  BAC US 09/17/11 C7       -11.9  74.4   1.32  -12.6   3162
T      AT&T INC     T US 09/17/11 C31        -11.7  16.6   0.06   20.0    391
REXX   REX ENERGY   REXX US 09/17/11 C12.5   -11.6  49.0   0.50   25.0    220
LDK    LDK SOLAR C  LDK US 09/17/11 C4       -11.3  94.5   1.98   -4.3    401
DBO    POWERSHARES  DBO US 10/22/11 C26      -11.2  33.6   1.35  -15.6    300
HOGS   ZHONGPIN IN  HOGS US 09/17/11 P5      -11.1 177.8   0.10    0.0    265
ZAGG   ZAGG INC     ZAGG US 09/17/11 C16     -10.8  64.9   0.70    7.7    442
AMLN   AMYLIN PHAR  AMLN US 09/17/11 C11     -10.8  47.9   0.50   28.2   1000
JBHT   HUNT (JB) T  JBHT US 09/17/11 P40     -10.3  37.0   1.20    0.0    200
EK     EASTMAN KOD  EK US 10/22/11 C2        -10.2 103.5   1.24   13.8    235
EXXI   ENERGY XXI   EXXI US 09/17/11 P21     -10.1  73.4   0.20    0.0    216

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

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