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
=============================================================================
AGNC   AMERICAN CA  AGNC US 11/19/11 C30      83.6  20.3   0.26  -13.3    853
VRML   VERMILLION   VRML US 10/22/11 C2.5     54.1 208.1   1.10   46.7    220
XME    SPDR S&P ME  XME US 10/22/11 C55       33.1  43.6   2.54  -15.3    380
AMR    AMR CORP     AMR US 10/22/11 C3        28.4 101.1   0.68   33.3  23393
COOL   MAJESCO ENT  COOL US 10/22/11 C2.5     28.1 100.2   0.25   25.0    341
VRML   VERMILLION   VRML US 01/21/12 C2.5     24.6 177.7   1.60   33.3    436
AMJ    JPM-ALERIAN  AMJ US 10/22/11 C36       22.4  21.4   0.80   45.5   1005
JAZZ   JAZZ PHARMA  JAZZ US 10/22/11 C43      22.3  60.9   4.60   80.4    351
BVN    BUENAVENTUR  BVN US 10/22/11 P46       22.1  46.5   1.80  -45.8    200
AGNC   AMERICAN CA  AGNC US 10/22/11 C28      20.3  32.9   1.44   -4.0    439
SRCL   STERICYCLE   SRCL US 11/19/11 C75      19.4  33.6  10.40   40.5    206
CERN   CERNER CORP  CERN US 11/19/11 P70      18.8  39.2   4.40    0.0    389
RGC    REGAL ENTER  RGC US 10/22/11 C12.5     17.9  43.8   1.00   42.9    240
FII    FEDERATED I  FII US 11/19/11 C17.5     17.0  36.5   0.75    0.0    215
AMR    AMR CORP     AMR US 10/22/11 P3        16.7  95.6   0.16    0.0   1071
USB    US BANCORP   USB US 10/22/11 C20       16.6  55.4   3.93    0.5   2200
BIDU   BAIDU INC-S  BIDU US 10/22/11 C95      16.5  80.1  51.85    0.3    217
NFLX   NETFLIX INC  NFLX US 01/21/12 P45      15.6 110.2   0.85  142.9    533
AMR    AMR CORP     AMR US 10/22/11 P2.5      15.3 110.2   0.08   33.3    392
MCD    MCDONALDS C  MCD US 10/22/11 P60       15.2  56.2   0.02    0.0    216
GM     GENERAL MOT  GM US 01/19/13 C13        15.1  52.4  10.70    8.1   3000
TSLA   TESLA MOTOR  TSLA US 10/22/11 C25      15.0  54.9   2.20   46.7    200
BPI    BRIDGEPOINT  BPI US 10/22/11 P20       14.8  78.3   1.45   26.1    908
AMR    AMR CORP     AMR US 11/19/11 C3        14.5  90.1   0.75   -6.2    563
NFLX   NETFLIX INC  NFLX US 01/21/12 P50      14.5 108.4   1.15  134.7    635
WPRT   WESTPORT IN  WPRT US 10/22/11 C30      14.5  68.4   4.50   18.4    230
TSLA   TESLA MOTOR  TSLA US 12/17/11 C26      14.4  60.3   3.00    7.1   2572
MNTA   MOMENTA PHA  MNTA US 03/17/12 P10      13.9  73.4   1.20   71.4    410
AMR    AMR CORP     AMR US 11/19/11 C3.5      13.5  81.1   0.45   15.4    453
AGNC   AMERICAN CA  AGNC US 10/22/11 C27      13.3  46.9   2.43   -4.7   1262
NFLX   NETFLIX INC  NFLX US 10/22/11 P105     13.3 100.7   3.65   97.3   1084
AMR    AMR CORP     AMR US 10/22/11 C3.5      13.3  80.8   0.34   54.5   2058
MCP    MOLYCORP IN  MCP US 10/22/11 C45       13.1  81.6   3.40  -64.8   1489
PNRA   PANERA BREA  PNRA US 10/22/11 P120     12.9  37.6   5.20  -41.2    252
HLS    HEALTHSOUTH  HLS US 10/22/11 P15       12.8  67.3   1.05  425.0   1366
HRBN   HARBIN ELEC  HRBN US 03/17/12 C21      12.6  41.3   2.30    0.0    341
CRNT   CERAGON NET  CRNT US 03/17/12 C7.5     12.6  57.1   3.15    5.0    500
NFLX   NETFLIX INC  NFLX US 10/22/11 P110     12.2  98.6   4.81   88.6    812
UUP    POWERSHARES  UUP US 12/17/11 C21       11.5  13.4   1.07    3.9   9620
RENN   RENREN INC-  RENN US 10/22/11 P6       11.4 107.2   0.85   21.4   3308
HLS    HEALTHSOUTH  HLS US 11/19/11 C15       11.3  67.6   1.80    0.0    256
SUG    SOUTHERN UN  SUG US 10/22/11 C42.5     11.3  15.3   0.55   57.1   3506
UUP    POWERSHARES  UUP US 12/17/11 P19       11.3  15.5   0.01  -50.0    246
BMY    BRISTOL-MYE  BMY US 11/19/11 C31       11.1  22.6   1.07   24.4   1113
NFLX   NETFLIX INC  NFLX US 10/22/11 P115     11.0  96.1   5.94   67.3   1388
MCP    MOLYCORP IN  MCP US 10/22/11 P45       10.6  81.0   5.15  273.2   1235
SPWRA  SUNPOWER CO  SPWRA US 12/17/11 C5      10.2 107.5   5.90   -1.7    200
NFLX   NETFLIX INC  NFLX US 10/22/11 P120     10.0  94.5   7.45   58.5   1585
NEM    NEWMONT MIN  NEM US 10/22/11 C60       10.0  42.0  10.25   36.7    205

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SCOK   SINOCOKING   SCOK US 10/22/11 C2.5    -73.8 114.9   0.65    0.0    768
PPDI   PHARM PROD   PPDI US 10/22/11 C27.5   -31.6  52.4   1.25  -13.8    307
AZO    AUTOZONE IN  AZO US 10/22/11 C340     -23.9  22.1   4.50  -43.8    257
TEN    TENNECO INC  TEN US 10/22/11 P32      -23.3  54.3   2.35  -13.0   3922
SOMX   SOMAXON PHA  SOMX US 11/19/11 C1      -22.8  72.3   0.20  -33.3    230
AZO    AUTOZONE IN  AZO US 10/22/11 C330     -22.4  23.3   8.30  -35.2    213
XME    SPDR S&P ME  XME US 10/22/11 P41      -22.0  66.6   0.30   -3.2    288
T      AT&T INC     T US 11/19/11 C26        -22.0  23.5   2.96    5.7    200
HLS    HEALTHSOUTH  HLS US 10/22/11 P12.5    -21.0  76.0   0.25    0.0    784
WEN    WENDY'S CO/  WEN US 10/22/11 P5       -19.7  31.9   0.20  -20.0    800
WAVX   WAVE SYSTEM  WAVX US 10/22/11 C2.5    -19.7  65.4   0.15   50.0    280
TRH    TRANSATLANT  TRH US 10/22/11 C50      -18.9  23.0   0.41  -41.4    656
NGD    NEW GOLD IN  NGD US 10/22/11 C11      -17.6  53.6   2.85    7.5   2022
MNTA   MOMENTA PHA  MNTA US 10/22/11 P12     -16.8  79.1   1.35   12.5    913
WES    WESTERN GAS  WES US 11/19/11 C35      -16.0  24.1   1.75  -23.9    374
RAH    RALCORP HLD  RAH US 10/22/11 P75      -16.0  33.1   2.55  -25.0    540
T      AT&T INC     T US 01/18/14 C20        -14.9  29.5   9.00    3.5    400
EK     EASTMAN KOD  EK US 10/22/11 C2.5      -13.9  90.9   0.40   -4.8    839
LVLT   LEVEL 3 COM  LVLT US 12/17/11 C1.5    -13.7  55.8   0.25   25.0    300
TYC    TYCO INTL L  TYC US 10/22/11 C47      -13.4  32.2   1.01    1.0   6210
CAG    CONAGRA FOO  CAG US 10/22/11 P23      -13.1  25.4   0.65   18.2    217
WPZ    WILLIAMS PA  WPZ US 10/22/11 C55      -12.5  28.2   2.35   20.5    282
MU     MICRON TECH  MU US 01/19/13 C2.5      -12.1  74.2   4.70   -3.1    326
TYC    TYCO INTL L  TYC US 10/22/11 C46      -12.1  32.4   1.30  -13.3   1710
EP     EL PASO COR  EP US 10/22/11 C20       -11.7  34.2   0.59    3.5    516
CLGX   CORELOGIC I  CLGX US 10/22/11 C12.5   -11.6  62.4   0.60    0.0   1968
UNG    US NAT GAS   UNG US 01/21/12 P6       -11.5  38.1   0.01    0.0    864
MTL    MECHEL-SPON  MTL US 10/22/11 C15      -11.2  50.9   0.80  -20.0    650
CCL    CARNIVAL CO  CCL US 11/19/11 P33      -11.1  42.6   1.80  -36.8    552
SFE    SAFEGUARD S  SFE US 10/22/11 C15      -11.0  53.2   1.00    0.0    300
SIRI   SIRIUS XM R  SIRI US 10/22/11 C1.5    -11.0  70.4   0.35    2.9    248
EP     EL PASO COR  EP US 10/22/11 C19       -11.0  36.9   1.10    0.0   1027
NCT    NEWCASTLE I  NCT US 10/22/11 C5       -10.9  65.2   0.35  -56.2    200
O      REALTY INCO  O US 10/22/11 C35        -10.9  23.7   0.70   -6.7    252
BVN    BUENAVENTUR  BVN US 10/22/11 C47      -10.5  38.1   1.60   10.3   1318
TYC    TYCO INTL L  TYC US 10/22/11 C45      -10.5  33.2   1.68   -6.7    470
EWG    ISHARES-GER  EWG US 10/22/11 C20      -10.4  45.0   0.75    7.1    897
MCP    MOLYCORP IN  MCP US 10/22/11 P25      -10.0 111.6   0.22   69.2    459

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

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