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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
=============================================================================
GLBL   GLOBAL INDS  GLBL US 10/22/11 C5       40.9 101.8   0.95   18.8    335
TMX    TELEF MEXI-  TMX US 11/19/11 P17.5     33.5  30.7   1.65   26.9    435
LINTA  LIBERTY-INT  LINTA US 10/22/11 C15     23.1  54.8   1.60   52.4   1500
HBAN   HUNTINGTON   HBAN US 01/21/12 C2.5     21.2  96.4   2.28   -6.2    217
YRCW   YRC WORLDWI  YRCW US 10/22/11 C0.5     19.4  81.2   0.05  -37.5    720
C      CITIGROUP I  C1 US 01/19/13 P2         17.9  67.1   0.41    2.5   1500
LDK    LDK SOLAR C  LDK US 01/21/12 C5        16.2  68.1   0.67   -6.9    260
GDXJ   MARKET VECT  GDXJ US 10/22/11 C30      16.1  65.4   9.30   -0.2    500
TAN    GUGGENHEIM   TAN US 01/21/12 P4        15.0  65.4   0.45  125.0    509
CHRS   CHARMING SH  CHRS US 10/22/11 C2.5     14.5 100.7   0.40  -42.9    250
EMC    EMC CORP/MA  EMC US 10/22/11 P16       14.2  55.6   0.09   80.0   2210
YONG   YONGYE INTE  YONG US 10/22/11 C6       13.6  59.0   0.45  -10.0    200
HCA    HCA HOLDING  HCA US 10/22/11 C20       13.5  64.5   1.30  -10.3    510
KMP    KINDER MORG  KMP US 10/22/11 C70       13.5  26.1   2.01   12.9    443
CPWR   COMPUWARE C  CPWR US 10/22/11 C7.5     13.0  52.7   0.75    0.0   1028
JCOM   J2 GLOBAL C  JCOM US 10/22/11 P30      12.4  44.1   1.75   75.0    623
LDK    LDK SOLAR C  LDK US 01/21/12 P4        10.8 239.0   1.82    2.2    874
QQQ    POWERSH-QQQ  QQQ US 09/30/11 P55       10.3  31.4   2.50   25.6    201
GCI    GANNETT CO   GCI US 10/22/11 P10       10.2  62.6   0.95   46.1   1750
SMH    SEMICONDUCT  SMH US 10/22/11 C29       10.2  38.4   1.45   -6.5    509
XRT    SPDR S&P RE  XRT US 10/22/11 P50       10.1  40.2   4.15   38.3   1587
CX     CEMEX SAB-S  CX US 10/22/11 C5         10.1  79.9   0.52  -20.0    210

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
TZA    SMALL CAP B  TZA US 10/22/11 C34      -43.1  58.3  15.00   51.5    752
SPXU   PROSHARES U  SPXU US 10/22/11 C14     -38.4  47.9   5.60    0.0    522
JCOM   J2 GLOBAL C  JCOM US 10/22/11 C25     -19.5  43.5   5.60    0.0    200
PNG    PAA NATURAL  PNG US 04/21/12 P17.5    -15.2  28.0   1.20    0.0    500
NXG    NORTHGATE M  NXG US 03/17/12 C2.5     -14.7  66.3   1.90   -2.6    451
KR     KROGER CO    KR US 10/22/11 P21       -14.4  31.0   0.50  100.0   3133
VGZ    VISTA GOLD   VGZ US 12/17/11 C2.5     -13.2  79.1   1.35  -12.9    200
NCT    NEWCASTLE I  NCT US 11/19/11 C5       -11.7  77.2   0.65  -18.8    275
LULU   LULULEMON A  LULU US 10/22/11 P55     -11.5  66.4   5.20   15.6    494
HOS    HORNBECK OF  HOS US 12/17/11 C27      -10.9  48.8   2.70   80.0    204
MFA    MFA FINANCI  MFA US 01/21/12 P6       -10.8  28.3   0.25   25.0    275
UNG    US NAT GAS   UNG US 01/21/12 P6       -10.6  39.2   0.01    0.0    212
LULU   LULULEMON A  LULU US 10/22/11 P50     -10.5  71.2   3.30   17.9    319
HYG    ISH-IBOXX H  HYG US 10/22/11 P76      -10.4  27.8   0.35  -22.2    576
LULU   LULULEMON A  LULU US 10/22/11 P52.5   -10.2  69.1   4.00   11.1    626

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

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