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
=============================================================================
IRE    BANK IRELAN  IRE US 10/22/11 C1        86.5  75.0   0.10  -33.3    299
STP    SUNTECH POW  STP US 10/22/11 C3        53.6 100.1   0.60  -20.0    433
XME    SPDR S&P ME  XME US 10/22/11 P54       50.0  49.8   2.99   32.3    400
MOS    MOSAIC CO/T  MOS US 10/22/11 C60       49.2  48.2  10.05   -7.8   1530
GR     GOODRICH CO  GR US 10/22/11 P100       45.6  58.5   5.70    0.0    343
UNG    US NAT GAS   UNG US 10/22/11 C8        35.5  36.9   1.61   -3.0    300
KGN    KEEGAN RESO  KGN US 11/19/11 C7.5      33.4  71.0   1.80    0.0    200
HLF    HERBALIFE L  HLF US 10/22/11 C50       31.2  48.7   7.60  -10.6    329
XLI    SPDR-INDU S  XLI US 01/19/13 P30       30.9  31.6   4.05  -14.7    333
GR     GOODRICH CO  GR US 10/22/11 P105       29.7  58.8   8.10  -44.1    228
IRE    BANK IRELAN  IRE US 04/21/12 C1        29.6  70.0   0.20  -33.3    556
C      CITIGROUP I  C1 US 01/21/12 P5         29.5  58.1   2.24    4.7   8666
UUP    POWERSHARES  UUP US 10/22/11 C21       28.1  14.6   1.01   24.7    258
GR     GOODRICH CO  GR US 10/22/11 C105       25.8  60.5   6.40  236.8   3886
GR     GOODRICH CO  GR US 10/22/11 C100       25.2  61.0   9.00  215.8    625
XLU    SPDR-UTIL S  XLU US 01/21/12 P35       23.1  19.7   2.52   -5.3    360
GR     GOODRICH CO  GR US 10/22/11 C95        20.9  58.1  12.10  168.9   1081
GR     GOODRICH CO  GR US 10/22/11 P95        19.3  56.9   3.20  -50.0    860
APKT   ACME PACKET  APKT US 10/22/11 C40      19.0  88.0  10.90  -14.8   1005
HOGS   ZHONGPIN IN  HOGS US 10/22/11 P5       18.4 162.3   0.10    0.0    200
XME    SPDR S&P ME  XME US 03/17/12 P50       18.3  48.9   5.15    5.1    234
XME    SPDR S&P ME  XME US 03/17/12 P50       18.3  48.9   5.15    5.1    234
FSTR   FOSTER (LB)  FSTR US 10/22/11 P20      18.1  79.0   0.85  142.9    200
HOGS   ZHONGPIN IN  HOGS US 12/17/11 C7.5     17.2  36.7   1.80    1.1    235
XLU    SPDR-UTIL S  XLU US 10/22/11 C34       16.0  19.1   0.61  -18.7    636
LDK    LDK SOLAR C  LDK US 10/22/11 C4        15.5  45.4   0.70  -27.1    628
XLU    SPDR-UTIL S  XLU US 10/22/11 P34       15.1  19.6   0.96   20.0   1022
GR     GOODRICH CO  GR US 11/19/11 C100       15.0  49.1  10.20  175.7    267
CMG    CHIPOTLE ME  CMG US 10/22/11 C320      14.9  44.8  21.60   50.1    232
QLD    PROSHARES U  QLD US 10/22/11 P81       14.2  65.1   5.35  -17.6    319
XME    SPDR S&P ME  XME US 10/22/11 P49       14.1  56.7   1.38   31.4    204
DELL   DELL INC     DELL US 10/22/11 C14      13.9  42.0   1.22  -17.6    459
CMG    CHIPOTLE ME  CMG US 10/22/11 P310      13.4  46.0   9.60  -20.0    281
BMO    BANK OF MON  BMO US 10/22/11 P60       13.1  30.4   2.95   59.5    322
CMG    CHIPOTLE ME  CMG US 10/22/11 P320      12.9  44.1  12.80  -21.9    285
VZ     VERIZON COM  VZ US 10/22/11 P25        12.8  57.2   0.04   33.3    278
XME    SPDR S&P ME  XME US 12/17/11 P55       12.8  48.9   5.70   28.1   2198
IAU    ISHARES GOL  IAU US 10/22/11 C17       12.7  30.5   0.77  -14.4    215
MDY    SPDR S&P MI  MDY US 03/17/12 P145      12.2  36.7  12.00   18.8    314
AGNC   AMERICAN CA  AGNC US 01/21/12 C28      12.2  25.8   1.55   -8.8    295
TXT    TEXTRON INC  TXT US 10/22/11 P15       12.1  68.8   0.53  120.8    276
LVLT   LEVEL 3 COM  LVLT US 12/17/11 P1.5     12.1  76.6   0.22   22.2   1284
CMG    CHIPOTLE ME  CMG US 10/22/11 P280      12.0  52.6   3.80  -19.1    299
C      CITIGROUP I  C1 US 01/21/12 C4         12.0  46.0   0.02  -50.0    340
CMG    CHIPOTLE ME  CMG US 10/22/11 C330      11.9  42.1  15.70   61.9    269
CBOE   CBOE HOLDIN  CBOE US 10/22/11 P26      11.6  39.4   0.73   12.3    286
WBC    WABCO HOLDI  WBC US 10/22/11 P45       11.6  64.2   2.10  -17.6    210
CMG    CHIPOTLE ME  CMG US 10/22/11 P330      11.6  42.1  16.90  -24.2    206
GR     GOODRICH CO  GR US 02/18/12 C105       11.4  38.8   9.50  137.5    303
MWW    MONSTER WOR  MWW US 10/22/11 P8        11.3  76.0   0.50   -9.1    806
YONG   YONGYE INTE  YONG US 10/22/11 P5.5     11.2  78.0   0.55    0.0    280
GR     GOODRICH CO  GR US 11/19/11 C105       11.1  47.2   7.40  208.3    211
CIM    CHIMERA INV  CIM US 10/22/11 P3        11.0  31.6   0.15    0.0    230
SPRD   SPREADTRUM-  SPRD US 10/22/11 C18      11.0  74.2   3.50    2.9   1046
AAPL   APPLE INC    AAPL US 10/22/11 P415     11.0  30.8  19.70  -12.8    273
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P58       10.9  26.6   2.87   14.8   2393
AAPL   APPLE INC    AAPL US 10/22/11 C420     10.9  30.7   9.06   42.2   3633
AAPL   APPLE INC    AAPL US 10/22/11 C415     10.7  31.2  10.90   35.4   2016
BMY    BRISTOL-MYE  BMY US 10/22/11 C30       10.6  23.9   1.15   19.8   2417
AAPL   APPLE INC    AAPL US 10/22/11 P405     10.5  31.7  14.60  -13.3    875
FXP    PROSHARES U  FXP US 10/22/11 P31       10.4  60.5   0.64  -39.0    324
UCO    PRSH-ULT CR  UCO US 10/22/11 C30       10.4  84.1   4.30  -23.2    282
AAPL   APPLE INC    AAPL US 10/22/11 C410     10.3  31.6  13.20   32.1   4271
LEA    LEAR CORP    LEA US 10/22/11 C45       10.3  48.4   2.50   -8.8    265
VTR    VENTAS INC   VTR US 01/21/12 C55       10.2  33.4   3.00   22.4   1055
FAZ    FINANCIAL B  FAZ US 01/21/12 P52       10.1 121.7  12.20   -3.6    220
AAPL   APPLE INC    AAPL US 11/19/11 P405     10.0  32.8  21.10   -7.7    324
EEM    ISHARES-EMG  EEM US 10/22/11 P40       10.0  37.4   2.24   51.4   1437

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
RAH    RALCORP HLD  RAH US 10/22/11 C75      -33.1  36.5   3.00  -58.9   1050
TBT    PROSHARES U  TBT US 12/17/11 P12      -31.4  61.5   0.05    0.0    405
XLU    SPDR-UTIL S  XLU US 12/17/11 C32      -26.0  23.0   2.46    0.8    884
TYC    TYCO INTL L  TYC US 10/22/11 P46      -25.4  34.8   2.58  -26.3    244
RAH    RALCORP HLD  RAH US 10/22/11 P70      -24.0  39.1   1.33  -42.2   1010
OSTK   OVERSTOCK.C  OSTK US 10/22/11 P10     -23.7  43.9   0.65    8.3    438
SGMO   SANGAMO BIO  SGMO US 10/22/11 C5      -22.6 124.2   1.15  -30.3    501
TZA    SMALL CAP B  TZA US 10/22/11 C30      -22.2  75.8  13.45   18.5   2022
TYC    TYCO INTL L  TYC US 10/22/11 C46      -21.2  37.8   1.53   -6.1   1044
VUG    VANGUARD GR  VUG US 10/22/11 C61      -20.6  21.5   1.25  -20.4    320
SGMO   SANGAMO BIO  SGMO US 11/19/11 P5      -20.5 128.9   1.03    8.4    500
TYC    TYCO INTL L  TYC US 10/22/11 P45      -19.6  36.7   1.96  -34.7   1549
IMMU   IMMUNOMEDIC  IMMU US 10/22/11 C4      -19.4  96.2   0.35  -36.4   1467
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C40      -18.8  52.9  15.78   -4.8    225
COL    ROCKWELL CO  COL US 10/22/11 C55      -17.5  49.4   2.30  -47.7    653
TYC    TYCO INTL L  TYC US 10/22/11 P44      -15.6  37.9   1.56  -40.7    457
XLU    SPDR-UTIL S  XLU US 03/17/12 P30      -14.8  24.9   1.01  -31.3    274
YCS    PROSH-UL/SH  YCS US 10/22/11 C14      -14.8  22.2   0.25    0.0   3798
MU     MICRON TECH  MU US 01/19/13 C2.5      -14.2  68.2   4.85    1.0    240
WPZ    WILLIAMS PA  WPZ US 10/22/11 P55      -13.1  36.0   2.60  -18.8    364
RPTP   RAPTOR PHAR  RPTP US 10/22/11 C5      -12.9  64.2   0.35    0.0    376
SVM    SILVERCORP   SVM US 12/17/11 C4       -12.8 111.3   2.95   -9.2    200
TQNT   TRIQUINT SE  TQNT US 10/22/11 C6      -12.4  63.4   0.40  -11.1    378
CLSN   CELSION COR  CLSN US 10/22/11 C2.5    -11.9  93.1   0.60  -20.0    318
ETFC   E*TRADE FIN  ETFC US 10/22/11 P10     -11.9  74.5   0.51   -7.3   5109
TZA    SMALL CAP B  TZA US 10/22/11 C34      -11.3  94.2  10.40    5.0    770
CLSN   CELSION COR  CLSN US 01/21/12 C2.5    -11.0 122.4   1.00  -13.0    249
BIG    BIG LOTS IN  BIG US 01/21/12 C27.5    -10.9  42.6   6.60   24.5    250
XME    SPDR S&P ME  XME US 10/22/11 P44      -10.3  64.5   0.56   40.0    300
DBC    POWERSHARES  DBC US 01/21/12 C26      -10.2  24.5   3.00  -16.7    750

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

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