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
=============================================================================
WLT    WALTER ENER  WLT US 10/22/11 C95       22.5  82.4  11.75  668.0    519
WLT    WALTER ENER  WLT US 10/22/11 C100      20.9  81.4   8.90  755.8    966
WLT    WALTER ENER  WLT US 10/22/11 C90       17.9  79.8  13.40  482.6    491
WLT    WALTER ENER  WLT US 10/22/11 C85       17.2  80.3  16.20  356.3    213
EXEL   EXELIXIS IN  EXEL US 10/22/11 P7       14.6 103.0   0.90  -18.2    322
VSEA   VARIAN SEMI  VSEA US 01/21/12 P50      12.4  32.9   0.80  -30.4    586
WLT    WALTER ENER  WLT US 10/22/11 P80       12.3  77.7   3.65  -64.9   1801
EXEL   EXELIXIS IN  EXEL US 11/19/11 P5       11.6 106.7   0.40   33.3    302
WLT    WALTER ENER  WLT US 10/22/11 P75       11.5  78.8   2.26  -69.2    248
APKT   ACME PACKET  APKT US 10/22/11 C40      10.3  92.4  10.90   32.9   1006
EXEL   EXELIXIS IN  EXEL US 11/19/11 P6       10.1 102.9   0.75   87.5    342

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
STSA   STERLING FI  STSA US 12/17/11 P12.5   -44.7  54.5   1.16  157.8    666
YRCW   YRC WORLDWI  YRCW US 01/21/12 C0.5    -41.5  39.3   0.15  -11.8    200
SHY    ISHARES 1-3  SHY US 12/17/11 P83      -39.5   2.2   0.05  -83.3    227
GLBL   GLOBAL INDS  GLBL US 12/17/11 C5      -29.8  80.5   0.80   45.5    520
TRH    TRANSATLANT  TRH US 10/22/11 C50      -29.5  29.6   1.90  -19.1   1093
MELA   MELA SCIENC  MELA US 10/22/11 P3.5    -29.2 140.2   0.70  -54.8    578
HRBN   HARBIN ELEC  HRBN US 10/22/11 C11     -25.8 102.9   7.40    0.0    229
MNKD   MANNKIND CO  MNKD US 01/21/12 C3      -25.1  51.7   0.48  -15.8   2975
YRCW   YRC WORLDWI  YRCW US 10/22/11 C0.5    -20.7  56.9   0.16   -5.9   1266
MELA   MELA SCIENC  MELA US 10/22/11 C3.5    -19.4 137.9   0.65  225.0    213
C      CITIGROUP I  C1 US 01/21/12 P5        -19.0  47.9   2.15   -3.6   7845
SDS    PROSHARES U  SDS US 10/22/11 C19      -18.8  42.1   4.70  -20.3    200
CIGX   STAR SCIENT  CIGX US 10/22/11 C1.5    -17.9 121.1   1.15   27.8    720
C      CITIGROUP I  C1 US 01/21/12 P5.5      -15.8  54.4   2.69   -2.2    675
WPRT   WESTPORT IN  WPRT US 10/22/11 P25     -15.2  57.5   2.45  -36.4    400
URI    UNITED RENT  URI US 10/22/11 P18      -15.1  73.0   2.70    0.0   1000
YOKU   YOUKU.COM I  YOKU US 12/17/11 C13     -14.2 111.1   9.80    0.0    377
KERX   KERYX BIOPH  KERX US 12/17/11 P4      -14.0 109.9   0.90  -25.0    767
BAX    BAXTER INTL  BAX US 01/21/12 C30      -13.4  53.5  25.05    4.8    247
TIN    TEMPLE-INLA  TIN US 11/19/11 C31      -12.8   8.1   0.45   12.5    214
TBT    PROSHARES U  TBT US 03/17/12 C23      -12.4  41.6   2.76   -2.1    335
INFA   INFORMATICA  INFA US 12/17/11 C40     -11.3  50.7   3.10  -47.5    260
WMB    WILLIAMS CO  WMB US 10/22/11 C28      -11.1  49.0   1.36   58.1    318
QID    PROSHARES Q  QID US 10/22/11 C51      -10.7  56.8   4.60  -31.3    281
EWP    ISHARES-SPA  EWP US 10/22/11 P30      -10.1  65.7   1.82  -12.9    595
GS     GOLDMAN SAC  GS US 10/22/11 C105      -10.1  51.6   8.50    9.7    397
GS     GOLDMAN SAC  GS US 10/22/11 C100      -10.1  54.6  11.72    9.0    212
KO     COCA-COLA C  KO US 11/19/11 P35       -10.0  63.7   0.04    0.0    200

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

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