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
=============================================================================
UNG    US NAT GAS   UNG1 US 10/22/11 P8       52.4  98.8   3.30   -1.5    273
XME    SPDR S&P ME  XME US 10/22/11 P53       44.3  49.2   4.64  -30.6   1523
NEM    NEWMONT MIN  NEM US 10/22/11 C45       37.6  84.2  20.85    5.3    250
CIGX   STAR SCIENT  CIGX US 10/22/11 P2       22.1 105.7   0.05    0.0   7074
HEK    HECKMANN CO  HEK US 12/17/11 C2.5      21.6  98.4   3.10    3.3    200
SAP    SAP AG-SPON  SAP US 10/22/11 C42.5     21.2  59.2   9.50   36.3    210
IRE    BANK IRELAN  IRE US 10/22/11 C1        20.6 110.1   0.17   13.3    607
HRBN   HARBIN ELEC  HRBN US 12/17/11 C16      20.4  89.8   5.30   -3.6    653
NLY    ANNALY CAPI  NLY US 10/22/11 C17       19.7  21.0   0.46    2.2   2028
HL     HECLA MININ  HL US 11/19/11 C4         16.1  92.2   2.17  -31.1    360
IVR    INVESCO MOR  IVR US 10/22/11 C15       15.6  35.4   0.56   40.0    293
AMSC   AMER SUPERC  AMSC US 10/22/11 C4       15.4  95.4   0.60  -23.1    210
GG     GOLDCORP IN  GG US 10/22/11 C33        15.4  90.6  14.70    7.3    250
BMTI   BIOMIMETIC   BMTI US 10/22/11 P3       14.6 217.0   0.50   25.0    445
ABX    BARRICK GOL  ABX US 10/22/11 C33       13.8  78.6  15.65   13.0    250
XME    SPDR S&P ME  XME US 12/17/11 P50       13.6  51.0   5.03  -29.7   2181
NLY    ANNALY CAPI  NLY US 10/22/11 C16       13.5  47.0   1.47    3.5   1776
GLD    SPDR GOLD T  GLD US 10/22/11 P100      13.5  77.5   0.04  -20.0    223
RENN   RENREN INC-  RENN US 10/22/11 P5       12.2 111.5   0.35  -22.2    828
SD     SANDRIDGE E  SD US 11/19/11 C2         11.7 166.8   4.65    0.0    240
MUR    MURPHY OIL   MUR US 10/22/11 C40       11.6  69.4   8.63   46.3    314
MFN    MINEFINDERS  MFN US 10/22/11 C13       11.2  70.4   2.80  -36.4    500
RIMM   RESEARCH IN  RIMM US 10/22/11 C24      11.1  71.0   1.30  103.1   5366
RIMM   RESEARCH IN  RIMM US 10/22/11 P24      11.0  69.9   2.19  -26.5    351
RIMM   RESEARCH IN  RIMM US 10/22/11 P23      10.9  70.1   1.64  -34.4    959
RIMM   RESEARCH IN  RIMM US 10/22/11 C23      10.2  70.6   1.70   84.8   4458

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
BBBB   BLACKBOARD   BBBB US 04/21/12 P44     -55.8   4.1   0.20    0.0    270
XME    SPDR S&P ME  XME US 10/22/11 P42      -53.1  70.2   0.72  -57.6    546
XME    SPDR S&P ME  XME US 10/22/11 P45      -47.8  63.4   1.11  -55.2    513
BBBB   BLACKBOARD   BBBB US 01/21/12 C45     -47.1   1.1   0.09   80.0    276
XME    SPDR S&P ME  XME US 01/21/12 P30      -46.8  70.4   0.65  -44.9  10877
BBBB   BLACKBOARD   BBBB US 01/21/12 P44     -37.7   4.2   0.10  -66.7    653
LVLT   LEVEL 3 COM  LVLT US 10/22/11 C1.5    -35.0  49.6   0.15   50.0    616
WAG    WALGREEN CO  WAG US 10/22/11 C36      -27.0  32.4   0.52  -69.8    925
WAG    WALGREEN CO  WAG US 10/22/11 P34      -26.8  33.7   1.04   16.9   1664
WAG    WALGREEN CO  WAG US 10/22/11 C34      -26.4  34.0   1.35  -53.1    317
WAG    WALGREEN CO  WAG US 10/22/11 P35      -26.1  33.2   1.50   26.1   7055
GM     GENERAL MOT  GM US 10/22/11 C22       -25.4  45.6   0.91   28.2    370
AMT    AMERICAN TO  AMT US 10/22/11 C50      -25.2  29.6   4.80   20.0    502
WAG    WALGREEN CO  WAG US 10/22/11 P33      -25.0  35.2   0.60    1.7    890
WAG    WALGREEN CO  WAG US 10/22/11 P31      -22.5  38.6   0.25  -10.7    353
WAG    WALGREEN CO  WAG US 10/22/11 P30      -19.9  40.9   0.17   -5.6    425
ZSL    PRSH-ULTSH   ZSL US 10/22/11 P13      -18.1 115.9   0.95   58.3    351
GM     GENERAL MOT  GM US 10/22/11 P20       -18.0  52.8   0.49  -34.7    390
AMJ    JPM-ALERIAN  AMJ US 10/22/11 C36      -17.7  28.9   0.35    0.0   2000
WAG    WALGREEN CO  WAG US 11/19/11 P34      -17.2  33.7   1.51   -7.4    326
ZSL    PRSH-ULTSH   ZSL US 10/22/11 P11      -17.0 113.9   0.35  133.3    213
CNW    CON-WAY INC  CNW US 10/22/11 C20      -17.0  61.9   4.80   50.0    250
WAG    WALGREEN CO  WAG US 11/19/11 P31      -16.9  37.7   0.61  -12.9    225
KCI    KINETIC CON  KCI US 10/22/11 C65      -16.7  21.3   2.00   -2.4    512
MOO    MKT VECT-AG  MOO US 02/18/12 P48      -16.5  30.9   4.79   91.6    500
FAZ    FINANCIAL B  FAZ US 10/22/11 C48      -15.9 100.4  11.05  -43.0    751
WIN    WINDSTREAM   WIN US 10/22/11 C13      -15.4  19.4   0.05    0.0    264
WAG    WALGREEN CO  WAG US 11/19/11 P32      -15.4  36.2   0.87   -4.4   1491
GM     GENERAL MOT  GM US 12/17/11 C20       -15.3  52.8   2.97   13.4    255
SMH    SEMICONDUCT  SMH US 10/22/11 P31      -15.3  35.7   1.35  -42.1    256
ANW    AEGEAN MARI  ANW US 12/17/11 P5       -15.2  73.9   0.75  -25.0    200
TIN    TEMPLE-INLA  TIN US 01/21/12 C32      -14.9   6.0   0.15   50.0    270
MAS    MASCO CORP   MAS US 10/22/11 C8       -14.4  51.8   0.25   66.7   1104
CMED   CHINA MEDIC  CMED US 01/21/12 P5      -14.2 138.6   1.40  -17.6   2970
AUY    YAMANA GOLD  AUY US 10/22/11 C11      -14.1  65.2   3.65   40.4   1321
AKS    AK STEEL HL  AKS US 10/22/11 P7       -14.0  86.6   0.44  -39.7    431
GR     GOODRICH CO  GR US 10/22/11 P120      -13.8   6.6   0.30  -33.3    349
SMH    SEMICONDUCT  SMH US 11/19/11 P30      -13.8  33.0   1.30  -32.6    448
VSEA   VARIAN SEMI  VSEA US 11/19/11 P55     -13.6  34.6   0.80  -46.7    294
SWC    STILLWATER   SWC US 10/22/11 C10      -13.3  76.3   0.59   96.7    841
NLY    ANNALY CAPI  NLY US 10/22/11 C18      -12.9  18.8   0.04  -20.0   1022
MCF    CONTANGO OI  MCF US 10/22/11 P50      -12.7  51.5   0.50  -56.5    200
EEM    ISHARES-EMG  EEM US 10/22/11 P39      -12.5  42.4   2.21  -43.5   1382
ZSL    PRSH-ULTSH   ZSL US 10/22/11 P15      -12.5 122.1   2.10   82.6    286
GLD    SPDR GOLD T  GLD US 10/22/11 C166     -12.4  33.3   3.55   16.4   1104
GLD    SPDR GOLD T  GLD US 10/22/11 C168     -12.4  33.3   2.90   12.4    907
GLD    SPDR GOLD T  GLD US 10/22/11 C169     -12.3  33.4   2.61   10.1    276
ARIA   ARIAD PHARM  ARIA US 10/22/11 C10     -12.3  57.4   0.75    7.1    816
GLD    SPDR GOLD T  GLD US 10/22/11 C160     -12.3  33.4   6.15   18.3   1101
AKS    AK STEEL HL  AKS US 10/22/11 C7       -12.2  86.5   0.88   17.3   1617
ZSL    PRSH-ULTSH   ZSL US 10/22/11 C14      -12.2 113.6   2.24  -56.3    650
WAG    WALGREEN CO  WAG US 01/21/12 C35      -12.1  33.1   2.13  -37.7    718
EWS    ISHARES-SIN  EWS US 10/22/11 C12      -12.1  32.4   0.30   50.0    210
DFS    DISCOVER FI  DFS US 10/22/11 P26      -12.0  43.5   1.35  -22.9    818
GLD    SPDR GOLD T  GLD US 10/22/11 C162     -11.9  33.3   5.15   19.8   2002
GLD    SPDR GOLD T  GLD US 10/22/11 C167     -11.9  33.4   3.20   11.9    301
T      AT&T INC     T US 10/22/11 C30        -11.8  19.5   0.11   22.2    302
GLD    SPDR GOLD T  GLD US 10/22/11 C163     -11.8  33.3   4.70   18.1    644
VXX    IPATH-S&P S  VXX US 10/22/11 P46      -11.7  86.8   4.15   25.8    480
WAG    WALGREEN CO  WAG US 01/21/12 C36      -11.7  32.4   1.70  -41.6    220
VWO    VANGUARD MS  VWO US 10/22/11 C40      -11.5  39.6   1.02   50.0    407
GDXJ   MARKET VECT  GDXJ US 10/22/11 P32     -11.4  61.8   2.45  -41.7    373
GLD    SPDR GOLD T  GLD US 10/22/11 C158     -11.4  33.8   7.25   17.9    403
WAG    WALGREEN CO  WAG US 01/21/12 C33      -11.4  34.7   3.40  -10.5    750
XME    SPDR S&P ME  XME US 03/17/12 P43      -11.3  52.7   3.98  -25.7    765
GLD    SPDR GOLD T  GLD US 10/22/11 C156     -11.3  33.9   8.65   19.3    204
ABX    BARRICK GOL  ABX US 10/22/11 C40      -11.2  50.5   8.90   31.9    262
GLD    SPDR GOLD T  GLD US 10/22/11 P160     -11.2  33.2   4.85  -33.6   1830
SWC    STILLWATER   SWC US 10/22/11 C9       -11.2  79.9   1.10   96.4    733
GLD    SPDR GOLD T  GLD US 10/22/11 C161     -11.2  33.5   5.65   20.2   1696
AMD    ADV MICRO D  AMD US 10/22/11 C7       -11.2  54.6   0.24   20.0    825
UNP    UNION PAC C  UNP US 10/22/11 C90      -11.2  34.4   1.85   49.2    414
GLD    SPDR GOLD T  GLD US 10/22/11 P159     -11.2  33.0   4.40  -34.3    755
WAG    WALGREEN CO  WAG US 01/21/12 P32      -11.2  35.9   1.75   -0.6    433
WAG    WALGREEN CO  WAG US 01/21/12 P35      -11.2  33.4   2.98    9.2    625
GLD    SPDR GOLD T  GLD US 10/22/11 C165     -11.0  33.4   3.77   14.2   1462
GDXJ   MARKET VECT  GDXJ US 10/22/11 C31     -11.0  57.7   1.94   84.8    244
AMD    ADV MICRO D  AMD US 10/22/11 P7       -10.9  54.6   0.55  -38.2   5362
TIBX   TIBCO SOFTW  TIBX US 10/22/11 C22     -10.9  60.7   2.65   55.9    265
WAG    WALGREEN CO  WAG US 01/21/12 P33      -10.8  35.1   2.05   -1.0    314
EEM    ISHARES-EMG  EEM US 10/22/11 P38      -10.8  44.4   1.76  -36.9    932
MELA   MELA SCIENC  MELA US 01/21/12 P2.5    -10.8 111.1   0.15   50.0   2650
GLD    SPDR GOLD T  GLD US 10/22/11 P158     -10.7  33.6   4.05  -35.2   1549
GLD    SPDR GOLD T  GLD US 11/19/11 C167     -10.7  32.1   5.45    7.9    733
ITW    ILLINOIS TO  ITW US 10/22/11 C47.5    -10.6  33.6   0.85  142.9    324
SLV    ISHARES SIL  SLV US 10/22/11 P32      -10.6  65.0   2.51  -31.2   5248
VRA    VERA BRADLE  VRA US 11/19/11 P35      -10.6  58.9   1.40   -9.7    213
GLD    SPDR GOLD T  GLD US 10/22/11 P162     -10.5  33.1   5.90  -31.6    307
SMH    SEMICONDUCT  SMH US 10/22/11 C31      -10.5  29.4   0.80   53.9    277
SLV    ISHARES SIL  SLV US 10/22/11 C33      -10.5  64.5   1.34   26.4   2856
GLD    SPDR GOLD T  GLD US 10/22/11 P164     -10.5  33.1   7.05  -26.9    224
GLD    SPDR GOLD T  GLD US 10/22/11 P161     -10.4  33.3   5.40  -31.3    843
YHOO   YAHOO! INC   YHOO US 10/22/11 P14     -10.4  58.3   0.51  -21.5    992
SLV    ISHARES SIL  SLV US 10/22/11 P33      -10.4  64.3   3.10  -28.7   1096
YHOO   YAHOO! INC   YHOO US 10/22/11 P13     -10.4  59.0   0.23  -25.8    294
MCP    MOLYCORP IN  MCP US 10/22/11 C40      -10.4  85.1   2.65   65.6   1155
BIDU   BAIDU INC-S  BIDU US 10/22/11 C130    -10.4  61.8   7.30   21.7   2300
PG     PROCTER & G  PG US 10/22/11 C62.5     -10.4  20.8   1.81   23.1   1957
T      AT&T INC     T US 10/22/11 C29        -10.4  21.4   0.39   25.8   4360
GLD    SPDR GOLD T  GLD US 11/19/11 C160     -10.4  31.9   8.30    9.2    254
GLD    SPDR GOLD T  GLD US 10/22/11 P157     -10.4  33.6   3.70  -34.5    811
GLD    SPDR GOLD T  GLD US 10/22/11 C153     -10.3  34.7  10.56   17.3    489
UUP    POWERSHARES  UUP US 10/22/11 P21      -10.3  13.9   0.03  -25.0    310
GLD    SPDR GOLD T  GLD US 11/19/11 C165     -10.3  32.0   6.08    7.6    466
WIN    WINDSTREAM   WIN US 10/22/11 P12      -10.3  23.4   0.18  -30.8    320
EDC    EMER MKT BU  EDC US 10/22/11 C17      -10.3 120.0   2.00   60.0   1016
SINA   SINA CORP    SINA US 10/22/11 P90     -10.1  90.9   9.80  -29.5    204
SLV    ISHARES SIL  SLV US 10/22/11 P31      -10.1  65.8   2.00  -34.4   3689
BCS    BARCLAYS PL  BCS US 10/22/11 C10      -10.1  82.1   1.10   22.2    428
WAG    WALGREEN CO  WAG US 01/21/12 P31      -10.1  37.2   1.35   -6.2    339
EEM    ISHARES-EMG  EEM US 10/22/11 C39      -10.0  41.7   1.19   43.4   1179
GLD    SPDR GOLD T  GLD US 11/19/11 C164     -10.0  32.0   6.85   16.1    250
RIMM   RESEARCH IN  RIMM US 10/22/11 P17     -10.0  72.5   0.08  -74.2    200
GLD    SPDR GOLD T  GLD US 11/19/11 C169     -10.0  32.3   4.65    4.5    412

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

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