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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
=============================================================================
RRC    RANGE RESOU  RRC US 10/22/11 P75       68.6  73.3   7.70  -35.3    435
OREX   OREXIGEN TH  OREX US 10/22/11 P2       50.0 112.2   0.20  -66.7   1180
RRC    RANGE RESOU  RRC US 10/22/11 C67.5     44.8  75.0   9.00  221.4    317
MMI    MOTOROLA MO  MMI US 11/19/11 P36       44.5  24.1   0.20  -50.0    250
RRC    RANGE RESOU  RRC US 10/22/11 C70       43.1  74.4   8.10  295.1   1562
RRC    RANGE RESOU  RRC US 10/22/11 C75       42.7  75.3   5.90  436.4   1377
RRC    RANGE RESOU  RRC US 10/22/11 P70       41.7  73.7   4.70  -49.5    321
RRC    RANGE RESOU  RRC US 10/22/11 C65       41.7  74.0  10.90  172.5    493
FAS    FINL BULL 3  FAS US 01/19/13 P3        37.1 161.3   0.70  105.9   1000
RRC    RANGE RESOU  RRC US 10/22/11 P55       31.7  73.7   0.55  -26.7    259
RRC    RANGE RESOU  RRC US 11/19/11 C72.5     29.2  67.4   8.20  156.2    413
C      CITIGROUP I  C1 US 01/21/12 P5         28.1  58.5   2.27   -2.2   1066
RRC    RANGE RESOU  RRC US 11/19/11 C75       26.9  66.1   6.50  195.4    728
ROVI   ROVI CORP    ROVI US 10/22/11 P45      26.2  46.4   2.25   -4.3    350
RRC    RANGE RESOU  RRC US 11/19/11 P72.5     25.9  64.7   7.60    0.0    274
TZOO   TRAVELZOO I  TZOO US 10/22/11 C17.5    23.1  78.0  11.20  -15.2   1140
GTAT   GT ADVANCED  GTAT US 12/17/11 P5       21.3 106.2   0.30    0.0    930
WFM    WHOLE FOODS  WFM US 01/21/12 C40       20.9  75.2  31.93   -1.8    200
RRC    RANGE RESOU  RRC US 12/17/11 P62.5     20.4  63.9   4.90   -3.9    345
UPL    ULTRA PETRO  UPL US 10/22/11 C34       18.9  47.9   1.75   59.1    456
GR     GOODRICH CO  GR US 10/22/11 P105       18.6  40.4   2.75   -6.8   1617
HPQ    HEWLETT-PAC  HPQ US 10/22/11 C24       18.4  49.9   1.03   98.1   3644
UPL    ULTRA PETRO  UPL US 10/22/11 C35       18.3  46.9   1.30   73.3    430
RRC    RANGE RESOU  RRC US 12/17/11 P60       18.1  64.3   3.40  -22.7    364
WLT    WALTER ENER  WLT US 01/19/13 P55       16.8  64.0  12.75   87.5   2132
HPQ    HEWLETT-PAC  HPQ US 10/22/11 C23       16.5  51.0   1.53   68.1   2667
WLT    WALTER ENER  WLT US 10/22/11 P55       16.4  73.4   1.15  784.6   1998
HPQ    HEWLETT-PAC  HPQ US 10/22/11 P23       16.3  50.6   1.21  -12.9    533
AFFY   AFFYMAX INC  AFFY US 01/21/12 C4       14.5  98.3   1.35   17.4   1000
BMY    BRISTOL-MYE  BMY US 10/22/11 C30       13.7  26.4   1.60   -3.0    801
EQT    EQT CORP     EQT US 10/22/11 P60       13.0  49.1   1.85  -21.3    232
HPQ    HEWLETT-PAC  HPQ US 11/19/11 C24       13.0  49.0   1.39   27.5    730
HPQ    HEWLETT-PAC  HPQ US 10/22/11 P22       12.9  52.1   0.80  -14.9    627
HPQ    HEWLETT-PAC  HPQ US 11/19/11 P23       12.9  50.1   1.68  -12.0    621
VPRT   VISTAPRINT   VPRT US 01/21/12 P22.5    12.6  58.0   1.60    0.0   1896
HPQ    HEWLETT-PAC  HPQ US 11/19/11 C23       12.5  50.2   2.00   43.9   1226
WRLD   WORLD ACCEP  WRLD US 10/22/11 C60      12.4  49.4   3.04  -27.6    300
WFR    MEMC ELEC M  WFR US 10/22/11 C6        12.4  61.4   0.95  -13.6   1020
WLT    WALTER ENER  WLT US 10/22/11 C65       12.3  74.0   6.95  -42.6   2946
WLT    WALTER ENER  WLT US 03/17/12 P65       12.3  73.0  12.19   98.2    406
HPQ    HEWLETT-PAC  HPQ US 11/19/11 P22       11.5  51.3   1.27  -10.6    261
UPL    ULTRA PETRO  UPL US 11/19/11 P34       11.4  47.5   2.75    0.0    656
COG    CABOT OIL &  COG US 10/22/11 C72.5     11.2  60.1   4.70   14.6    536
BMY    BRISTOL-MYE  BMY US 10/22/11 C32       11.1  22.6   0.43    2.4    825
FAZ    FINANCIAL B  FAZ US 10/22/11 C43       11.1  95.0  16.40   14.3    500
ARIA   ARIAD PHARM  ARIA US 10/22/11 C10      11.1  63.6   1.00   25.0    280
PRXL   PAREXEL INT  PRXL US 12/17/11 P17.5    11.1  53.4   0.90  -43.8    200
HPQ    HEWLETT-PAC  HPQ US 10/22/11 P21       11.0  54.4   0.53  -14.5    321
ILMN   ILLUMINA IN  ILMN US 10/22/11 P42      11.0  61.1   3.00  100.0    202
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P58       10.9  28.0   2.64    1.1   6577
WLT    WALTER ENER  WLT US 11/19/11 P60       10.8  78.3   4.95  106.2    228
BMY    BRISTOL-MYE  BMY US 10/22/11 C31       10.8  24.0   0.90   -5.3   1160
VPRT   VISTAPRINT   VPRT US 01/21/12 P20      10.7  62.4   1.00   33.3    840
UPRO   PROSHARES U  UPRO US 10/22/11 P57      10.7  86.0   6.70   13.4    572
WLT    WALTER ENER  WLT US 12/17/11 P55       10.7  76.2   4.35   97.7    226
WLT    WALTER ENER  WLT US 03/17/12 P45       10.6  77.4   4.20   77.2    542
WLT    WALTER ENER  WLT US 10/22/11 P60       10.6  73.8   2.55  214.8   2680
AAPL   APPLE INC    AAPL US 10/22/11 C385     10.5  38.8  39.00   11.3    509
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P59       10.4  26.7   3.32   -1.2   1862
HGSI   HUMAN GENOM  HGSI US 10/22/11 C14      10.4  67.4   1.17   95.0    404
WLT    WALTER ENER  WLT US 10/22/11 P65       10.2  73.5   4.90  172.2   4072
ADSK   AUTODESK IN  ADSK US 10/22/11 C31      10.1  45.2   1.02   45.7    279
UPL    ULTRA PETRO  UPL US 10/22/11 P30       10.0  50.5   0.50  -16.7    240
SWN    SOUTHWESTRN  SWN US 10/22/11 C38       10.0  48.7   3.00   35.1    208

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
STP    SUNTECH POW  STP US 10/22/11 C2       -57.2 104.1   1.06    0.0    206
ARUN   ARUBA NETWO  ARUN US 10/22/11 C13     -42.8  77.7   8.00    1.3    358
LVLT   LEVEL 3 COM  LVLT US 10/22/11 C1.5    -33.4  56.0   0.15    0.0    817
AGNC   AMERICAN CA  AGNC US 01/21/12 C25     -29.4  31.9   3.30  -19.5    232
WFC    WELLS FARGO  WFC US 10/22/11 C13      -26.6 101.4  12.05    7.4    200
OREX   OREXIGEN TH  OREX US 10/22/11 C2      -25.3 109.6   0.50  900.0    594
EM     EMDEON INC-  EM US 01/21/12 P17.5     -24.9  11.1   0.05  -80.0    500
AGNC   AMERICAN CA  AGNC US 10/22/11 P28     -24.2  20.3   0.89   -6.3    567
AGNC   AMERICAN CA  AGNC US 10/22/11 C28     -24.1  22.9   0.45  -57.1    817
ADBE   ADOBE SYS I  ADBE US 10/22/11 C26     -23.0  39.3   0.86   -9.5   1559
ADBE   ADOBE SYS I  ADBE US 10/22/11 P26     -22.9  39.4   1.57  -31.4   1122
ADBE   ADOBE SYS I  ADBE US 10/22/11 C25     -22.1  41.2   1.36    1.5   1162
ADBE   ADOBE SYS I  ADBE US 10/22/11 P25     -21.8  41.3   1.00  -41.2   1590
AGNC   AMERICAN CA  AGNC US 10/22/11 P27     -20.9  23.6   0.50  -15.2   1227
ADBE   ADOBE SYS I  ADBE US 10/22/11 P24     -19.6  43.6   0.67  -44.6   1423
MHS    MEDCO HEALT  MHS US 10/22/11 C50      -19.4  32.5   2.40  -11.4    415
AGNC   AMERICAN CA  AGNC US 10/22/11 P25     -19.1  28.5   0.15  -25.0    383
ADBE   ADOBE SYS I  ADBE US 10/22/11 P23     -19.1  46.5   0.45  -49.4    465
UNG    US NAT GAS   UNG US 11/19/11 P7       -18.2  37.5   0.01    0.0    320
GR     GOODRICH CO  GR US 11/19/11 C110      -18.1  25.0   4.60  -35.2    730
GDXJ   MARKET VECT  GDXJ US 11/19/11 C32     -17.2  48.1   5.50   11.8    200
HRBN   HARBIN ELEC  HRBN US 12/17/11 C12.5   -17.1  78.0   8.60   -2.3    213
XME    SPDR S&P ME  XME US 10/22/11 P53      -16.3  48.2   3.40   25.0   4170
ADBE   ADOBE SYS I  ADBE US 10/22/11 P22     -16.2  50.1   0.29  -54.0    342
TLT    ISHARES BAR  TLT US 12/17/11 P79      -15.8  34.4   0.09  -57.1    200
GR     GOODRICH CO  GR US 10/22/11 C115      -15.7  27.0   1.60  -42.9   2033
CFSG   CHINA FIRE   CFSG US 03/17/12 P7.5    -15.5  30.2   0.15  -40.0    250
ORCL   ORACLE CORP  ORCL US 10/22/11 P31     -15.1  37.4   1.66  -48.9    839
ORCL   ORACLE CORP  ORCL US 10/22/11 C31     -15.0  37.7   0.99   83.3   3227
ARUN   ARUBA NETWO  ARUN US 10/22/11 C15     -15.0  87.3   6.10   -4.7    452
UNG    US NAT GAS   UNG US 10/22/11 P8       -14.9  33.9   0.02    0.0    912
ORCL   ORACLE CORP  ORCL US 10/22/11 C30     -14.8  39.4   1.55   82.3   6966
CFSG   CHINA FIRE   CFSG US 12/17/11 P7.5    -14.6  36.4   0.15    0.0    250
UA     UNDER ARMOU  UA US 10/22/11 C72.5     -14.5  56.4   5.70  -38.4    708
GR     GOODRICH CO  GR US 11/19/11 C115      -14.5  22.1   2.00  -37.5    646
WEN    WENDY'S CO/  WEN US 10/22/11 C5       -14.4  28.6   0.25    0.0    384
NLY    ANNALY CAPI  NLY US 10/22/11 P18      -14.4  18.0   0.72   -5.3   2561
RPTP   RAPTOR PHAR  RPTP US 11/19/11 C5      -14.2  69.7   0.60   -7.7    250
GR     GOODRICH CO  GR US 10/22/11 C110      -13.8  32.0   4.10  -33.9   3261
NLY    ANNALY CAPI  NLY US 10/22/11 C18      -13.7  16.8   0.21  -22.2   4032
GR     GOODRICH CO  GR US 11/19/11 P110      -13.6  27.0   4.60  -51.6    555
GR     GOODRICH CO  GR US 11/19/11 P100      -13.6  35.6   2.15  -59.4    464
WLT    WALTER ENER  WLT US 10/22/11 C55      -13.4  73.3  12.90  -53.8   1096
IYT    ISHARES-DJ   IYT US 10/22/11 C81      -12.9  36.9   2.60  -51.9    563
SIRI   SIRIUS XM R  SIRI US 03/17/12 C1      -12.8  76.2   0.84   -1.2    674
FST    FOREST OIL   FST US 10/22/11 C19      -12.8  66.6   1.05  -30.0    507
MNTA   MOMENTA PHA  MNTA US 10/22/11 P10     -12.8  82.3   0.55   10.0    272
MNTA   MOMENTA PHA  MNTA US 10/22/11 P11     -12.6  73.7   0.99   16.5    403
ORCL   ORACLE CORP  ORCL US 10/22/11 P28     -12.5  43.1   0.57  -61.2   2998
CFSG   CHINA FIRE   CFSG US 10/22/11 P7.5    -12.3  52.8   0.05  -66.7    250
ORCL   ORACLE CORP  ORCL US 10/22/11 C29     -12.0  41.5   2.17   73.6   6735
ORCL   ORACLE CORP  ORCL US 10/22/11 C28     -11.6  44.0   2.85   62.9   1419
ALSK   ALASKA COMM  ALSK US 10/22/11 C7.5    -11.5  31.8   0.10    0.0    245
CSIQ   CANADIAN SO  CSIQ US 10/22/11 C4      -11.4  80.8   0.70  -29.3    351
PCYC   PHARMACYCLI  PCYC US 10/22/11 P12     -11.4  48.6   0.80  -23.8   6278
ZAGG   ZAGG INC     ZAGG US 11/19/11 C12     -11.2  71.8   1.60  -11.1    210
MHS    MEDCO HEALT  MHS US 10/22/11 C52.5    -11.2  32.8   1.15  -17.9    420
AGNC   AMERICAN CA  AGNC US 11/19/11 P27     -11.1  24.8   0.84    0.0    278
ZIOP   ZIOPHARM ON  ZIOP US 10/22/11 C5      -11.0  58.2   0.20  -20.0    318
ORCL   ORACLE CORP  ORCL US 10/22/11 P27     -10.7  45.6   0.40  -63.3   2905
ADBE   ADOBE SYS I  ADBE US 10/22/11 P20     -10.5  57.4   0.13  -55.2    887

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

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