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
=============================================================================
MVC    MVC CAPITAL  MVC US 10/22/11 C10       78.3  43.8   0.65   44.4    299
S      SPRINT NEXT  S US 10/22/11 C2.5        57.2 146.6   0.35  -16.7   2772
S      SPRINT NEXT  S US 10/22/11 P2          53.7 155.9   0.10  900.0    300
S      SPRINT NEXT  S US 10/22/11 P2.5        53.0 146.4   0.30  150.0   3620
TLT    ISHARES BAR  TLT US 01/19/13 C110      49.7  20.0  16.55   10.3   1071
MIL    MFC INDUSTR  MIL US 01/21/12 C5.86     47.9  62.7   1.50   36.4    760
S      SPRINT NEXT  S US 10/22/11 C2          47.3 149.0   0.65  -20.7    735
UNG    US NAT GAS   UNG1 US 10/22/11 P7       45.6  94.5   2.54   -0.4    240
C      CITIGROUP I  C1 US 01/21/12 P5         41.3  74.7   2.80    4.1   3093
BAC    BANK OF AME  BAC US 10/22/11 C2        40.8 276.3   3.45   -4.2    662
CIGX   STAR SCIENT  CIGX US 10/22/11 P2       40.4 106.0   0.10  -33.3   1032
ACC    AMERICAN CA  ACC US 12/17/11 P35       34.7  52.5   2.70   20.0    200
VXX    IPATH-S&P S  VXX US 12/17/11 C22       33.6 123.3  35.40   -2.5    290
AGNC   AMERICAN CA  AGNC US 12/17/11 P25      31.4  45.7   2.20   94.7    245
BAC    BANK OF AME  BAC US 01/19/13 C2.5      30.9 135.1   3.45   -4.2    249
S      SPRINT NEXT  S US 11/19/11 C2.5        30.5 124.9   0.43  -15.7   1507
S      SPRINT NEXT  S US 11/19/11 C2          29.9 134.7   0.73  -30.5    236
AGNC   AMERICAN CA  AGNC US 10/22/11 P24      29.4  55.1   1.10  340.0    657
MU     MICRON TECH  MU US 10/22/11 P4         29.4 160.9   0.41   32.3   3842
AGNC   AMERICAN CA  AGNC US 11/19/11 P23      29.2  53.4   1.05  133.3   1314
TIN    TEMPLE-INLA  TIN US 01/21/12 P30       28.8  17.3   0.40  -33.3    250
S      SPRINT NEXT  S US 11/19/11 P2          28.7 131.0   0.19  280.0    826
MU     MICRON TECH  MU US 10/22/11 C4         28.3 160.3   0.80   25.0   1013
NLY    ANNALY CAPI  NLY US 10/22/11 P15       28.3  49.5   0.59  168.2   2638
AGNC   AMERICAN CA  AGNC US 01/19/13 C17.5    27.8  52.7   7.50  -36.4    230
BAC    BANK OF AME  BAC US 01/21/12 C4        27.1 153.4   2.07   -7.2    722
MU     MICRON TECH  MU US 10/22/11 P3         27.1 185.1   0.13   62.5   1730
NLY    ANNALY CAPI  NLY US 10/22/11 C15       26.1  50.2   0.75  -31.8   3190
AGNC   AMERICAN CA  AGNC US 01/21/12 P22.5    26.1  45.8   2.00   90.5    357
BAC    BANK OF AME  BAC US 02/18/12 C5        26.0 128.0   1.52   -4.4   1528
BAC    BANK OF AME  BAC US 01/21/12 C5        25.7 132.3   1.43   -3.4   1779
BAC    BANK OF AME  BAC US 12/17/11 C5        25.7 132.5   1.25   -3.9   1907
BAC    BANK OF AME  BAC US 12/17/11 C4        24.9 155.1   1.90   -5.9    906
VXX    IPATH-S&P S  VXX US 01/21/12 P38       24.6  83.8   2.20  -29.9    216
STP    SUNTECH POW  STP US 01/21/12 P2        24.5 170.7   0.68   21.4    425
AGNC   AMERICAN CA  AGNC US 01/19/13 C22.5    24.4  41.4   3.20  -52.9    375
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C39       24.0  57.3  11.61   -7.9    202
MU     MICRON TECH  MU US 11/19/11 P2         23.1 165.5   0.07  250.0    246
S      SPRINT NEXT  S US 05/19/12 P1.5        23.0  99.2   0.25    0.0    301
AGNC   AMERICAN CA  AGNC US 11/19/11 C24      22.5  50.7   2.10  -46.1   1100
QQQ    POWERSH-QQQ  QQQ US 12/17/11 C38       22.5  53.4  13.70   -2.8    295
AGNC   AMERICAN CA  AGNC US 10/22/11 P23      21.4  59.3   0.65  828.6    354
VXX    IPATH-S&P S  VXX US 01/21/12 P35       21.2  83.3   1.41    0.7    340
S      SPRINT NEXT  S US 01/21/12 P2          21.2 111.9   0.30   66.7    517
BAC    BANK OF AME  BAC US 01/19/13 C4        20.9 110.1   2.62   -4.7    287
S      SPRINT NEXT  S US 02/18/12 P2          20.6 105.9   0.37   76.2    788
XLF    SPDR-FINL S  XLF US 10/22/11 C9        19.8  90.4   2.30   -5.7    384
TLT    ISHARES BAR  TLT US 01/21/12 C110      19.7  25.5  13.95   -6.4    534
S      SPRINT NEXT  S US 01/21/12 C2.5        19.6 106.0   0.60   -6.2  22117
AGNC   AMERICAN CA  AGNC US 01/21/12 C24      19.4  43.5   2.25  -23.7    265
AGNC   AMERICAN CA  AGNC US 01/21/12 P20      19.0  51.6   1.20  200.0    273
S      SPRINT NEXT  S US 01/21/12 P2.5        18.7 104.7   0.62   77.1   1226
ZMH    ZIMMER HLDG  ZMH US 10/22/11 P40       18.3  78.3   0.30    0.0    294
DLR    DIGITAL REA  DLR US 11/19/11 P50       17.0  48.2   2.00   33.3    389
NLY    ANNALY CAPI  NLY US 11/19/11 C15       17.0  46.1   1.13  -19.3    515
SPY    SPDR S&P 50  SPY US 10/22/11 C99       16.5  49.5  11.15  -14.9    438
VNDA   VANDA PHARM  VNDA US 12/17/11 P5       16.4  64.8   0.50   -9.1    400
MU     MICRON TECH  MU US 11/19/11 P4         16.3 121.6   0.55   27.9    796
CNH    CNH GLOBAL   CNH US 10/22/11 P20       16.1 100.7   0.85  183.3    370
ATPG   ATP OIL & G  ATPG US 01/21/12 P4       16.1 170.8   0.95  206.4    750
WLT    WALTER ENER  WLT US 11/19/11 P35       16.0 124.8   1.56   75.3    200
HYG    ISH-IBOXX H  HYG US 10/22/11 P80       15.9  31.9   2.25   80.0    282
MU     MICRON TECH  MU US 11/19/11 C4         15.9 122.0   0.72  -12.2   2564
MU     MICRON TECH  MU US 11/19/11 P3         15.7 137.8   0.22   69.2   2255
EWH    ISHARES-HON  EWH US 11/19/11 P13       15.4  53.9   0.77    0.0    207
BAC    BANK OF AME  BAC US 01/19/13 C5        15.3  99.3   2.15   -3.6   1622
BAC    BANK OF AME  BAC US 11/19/11 C2        15.2 231.9   3.50   -2.8    479
LSI    LSI CORP     LSI US 10/22/11 P5        15.2  67.8   0.25  -28.6    300
C      CITIGROUP I  C1 US 01/21/12 P4         15.2  58.7   1.78    4.1   1547
NLY    ANNALY CAPI  NLY US 01/21/12 P15       15.2  39.2   1.48   48.0    243
SPY    SPDR S&P 50  SPY US 10/22/11 C101      15.2  49.6   9.69  -11.8   1381
NLY    ANNALY CAPI  NLY US 01/21/12 C15       14.9  40.9   1.20  -24.1    233
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C47       14.9  49.5   4.92    5.8    308
WLT    WALTER ENER  WLT US 11/19/11 P30       14.5 131.0   0.78    0.0    263
SPY    SPDR S&P 50  SPY US 10/22/11 C100      14.5  49.1  10.77   -0.2    485
NLY    ANNALY CAPI  NLY US 11/19/11 P15       14.4  45.4   0.91   85.7    634
TLT    ISHARES BAR  TLT US 11/19/11 C110      14.3  28.4  14.10    0.7    491
S      SPRINT NEXT  S US 10/22/11 C1.5        14.2 152.7   1.04  -20.6    458
OIL    IPATH GS CR  OIL US 11/19/11 P19       14.1  60.9   1.50    7.1    300
VXX    IPATH-S&P S  VXX US 12/17/11 C35       13.6  82.9  22.88   -1.4    279
BKD    BROOKDALE S  BKD US 10/22/11 P10       13.6  97.7   0.35    0.0    293
EUO    PROSH-UL/SH  EUO US 10/22/11 C18       13.5  34.5   1.65   -8.3    854
STP    SUNTECH POW  STP US 03/17/12 P1        13.4 191.6   0.29    7.4    202
DEER   DEER CONSUM  DEER US 03/17/12 P5       13.3 160.1   2.00   14.3    550
BAC    BANK OF AME  BAC US 11/19/11 C5        13.2 127.3   1.11   -1.8   4712
SIRI   SIRIUS XM R  SIRI US 10/22/11 P1.5     13.2  84.5   0.12  -14.3   3712
AGNC   AMERICAN CA  AGNC US 10/22/11 C24      13.0  51.6   1.47  -41.2    303
SPY    SPDR S&P 50  SPY US 10/22/11 C102      13.0  48.8   8.98   -2.8   1451
TZOO   TRAVELZOO I  TZOO US 10/22/11 C12.5    12.9 151.5   9.20   -3.2   1012
BAC    BANK OF AME  BAC US 11/19/11 P2        12.8 224.7   0.12   50.0   3196
BKI    BUCKEYE TEC  BKI US 01/21/12 P22.5     12.6  69.8   3.00    5.3    284
BAC    BANK OF AME  BAC US 11/19/11 C4        12.6 150.6   1.77   -6.8    574
KFN    KKR FINANCI  KFN US 10/22/11 C7        12.5  68.0   0.45  -56.7    200
C      CITIGROUP I  C1 US 01/19/13 P5         12.4  60.9   2.93   17.7    371
IAU    ISHARES GOL  IAU US 11/19/11 C15       12.4  36.1   1.37   -5.5    332
SPXU   PROSHARES U  SPXU US 10/22/11 C21      12.4 121.7   3.00    1.0    795
NLY    ANNALY CAPI  NLY US 01/21/12 P14       12.2  42.6   1.08   52.1    826
EK     EASTMAN KOD  EK US 10/22/11 C1         12.2 261.4   0.39  -18.8    829
EK     EASTMAN KOD  EK US 01/21/12 C1         12.1 178.6   0.63    8.6   1210
KFN    KKR FINANCI  KFN US 10/22/11 P7        12.0  64.3   0.35   40.0   3030
BAC    BANK OF AME  BAC US 11/19/11 P5        11.8 126.5   0.75   27.1   8267
FAZ    FINANCIAL B  FAZ1 US 01/21/12 C39      11.6 183.6   1.96   27.3   1736
NLY    ANNALY CAPI  NLY US 01/19/13 C15       11.5  33.5   1.46  -17.5    319
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C48       11.5  48.5   4.29   10.0    768
DTG    DOLLAR THRI  DTG US 11/19/11 C55       11.3  84.7   4.60  -43.9    279
SHLD   SEARS HOLDI  SHLD US 10/22/11 P55      11.2  91.0   1.82  -39.3    265
UIS    UNISYS CORP  UIS US 11/19/11 P12       11.1  97.7   0.95   72.7   2047
SYY    SYSCO CORP   SYY US 11/19/11 P21       11.1  46.2   0.25    0.0    385
NLY    ANNALY CAPI  NLY US 11/19/11 C14       11.1  50.4   1.70  -22.7    756
ETE    ENERGY TRAN  ETE US 10/22/11 P30       11.0  59.4   0.75   66.7    307
HOV    HOVNANIAN E  HOV US 05/19/12 P1        10.9 145.3   0.45   28.6    280
IWM    ISHARES-RUS  IWM US 10/22/11 C54       10.8  62.3   8.14    3.8    284
CVI    CVR ENERGY   CVI US 11/19/11 P17.5     10.8  96.2   1.60   23.1   1049
BAC    BANK OF AME  BAC US 11/19/11 P4        10.8 149.6   0.44   37.5   6092
BAC    BANK OF AME  BAC US 11/19/11 P3        10.8 181.5   0.24   33.3   6546
HRB    H&R BLOCK I  HRB US 01/19/13 P7.5      10.6  66.3   1.00    0.0    200
ZMH    ZIMMER HLDG  ZMH US 10/22/11 P45       10.6  64.7   0.60   20.0   2451
VRX    VALEANT PHA  VRX US 10/22/11 C34       10.6  75.2   1.85  -11.9    987
IOC    INTEROIL CO  IOC US 01/19/13 P22.5     10.5 136.8  10.50   40.0    200
SQNM   SEQUENOM IN  SQNM US 01/21/12 P5       10.5 103.6   1.11   14.4    567
DNDN   DENDREON CO  DNDN US 10/22/11 P7       10.5 113.3   0.18  -33.3    236
OVTI   OMNIVISION   OVTI US 10/22/11 C10      10.4 123.3   4.50   45.2    200
OVTI   OMNIVISION   OVTI US 10/22/11 P14      10.3 101.5   0.80  -48.4    278
CVI    CVR ENERGY   CVI US 10/22/11 P20       10.3  93.3   1.95   50.0    676
SCSS   SELECT COMF  SCSS US 10/22/11 P12.5    10.3 100.0   0.95    5.6    262
SHLD   SEARS HOLDI  SHLD US 11/19/11 P52.5    10.1  95.3   3.75  -30.6    702

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
VXX    IPATH-S&P S  VXX US 12/17/11 P23      -57.1 104.4   0.09  -60.9    301
WSM    WILLIAMS-SO  WSM US 11/19/11 C20      -53.6  57.0   8.70  -28.7    200
UUP    POWERSHARES  UUP US 12/17/11 C21      -48.6   6.0   1.50    0.0    721
QQQ    POWERSH-QQQ  QQQ US 11/19/11 C30      -47.4  38.2  20.62   -4.5    349
WFC    WELLS FARGO  WFC US 10/22/11 C13      -45.7 116.5  10.05   -0.5    453
LPS    LENDER PROC  LPS US 10/22/11 C10      -44.4  54.8   3.50  -27.1    200
AMR    AMR CORP     AMR US 10/22/11 C1.5     -35.9 229.8   0.94   30.6    347
VXX    IPATH-S&P S  VXX US 01/21/12 P14      -34.7 114.0   0.02  -33.3    301
XME    SPDR S&P ME  XME US 10/22/11 P38      -34.5  79.4   1.26   22.3   6182
TMX    TELEF MEXI-  TMX US 05/19/12 C15      -34.5  20.7   0.70  -17.6    220
STP    SUNTECH POW  STP US 11/19/11 C2       -33.3 145.8   0.47    6.8    220
AMR    AMR CORP     AMR US 10/22/11 C2       -31.6 211.9   0.57   14.0    859
JPM    JPMORGAN CH  JPM US 11/19/11 C15      -31.4 110.1  13.70  -17.0    362
JASO   JA SOLAR HO  JASO US 10/22/11 P1.5    -26.7 115.4   0.11    0.0    338
RMD    RESMED INC   RMD US 01/21/12 P25      -25.5  48.5   1.85   54.2    200
GR     GOODRICH CO  GR US 10/22/11 C120      -21.0   5.7   0.60  -20.0    727
VXX    IPATH-S&P S  VXX US 10/22/11 C50      -21.0  87.3   8.94   -0.7    474
TNA    SMALL CAP B  TNA US 10/22/11 C27      -20.6 171.4   5.20    0.0    248
COH    COACH INC    COH US 10/22/11 C44      -20.5  76.8   8.00   35.6    400
GR     GOODRICH CO  GR US 10/22/11 P120      -20.4   5.1   0.60  -18.9    485
CX     CEMEX SAB-S  CX3 US 01/19/13 C2.4     -20.3 104.3   1.13  -54.8    500
FAS    FINL BULL 3  FAS US 11/19/11 P1       -19.7 330.0   0.03    0.0    322
FSLR   FIRST SOLAR  FSLR US 10/22/11 P60     -19.6  87.6   3.95  -40.7   8968
FSLR   FIRST SOLAR  FSLR US 10/22/11 P55     -19.1  94.3   2.25  -49.4   1379
VXX    IPATH-S&P S  VXX US 10/22/11 C49      -19.0  85.9   9.20    4.4    426
FAZ    FINANCIAL B  FAZ US 10/22/11 C48      -18.4 111.3  28.30    6.2   2559
SIRI   SIRIUS XM R  SIRI US 12/17/11 C1      -18.4  87.8   0.49    0.0   4007
R      RYDER SYSTE  R US 11/19/11 C32.5      -18.3  68.3   5.20    0.0   1000
PBCT   PEOPLE'S UN  PBCT US 10/22/11 C11     -18.0  46.8   0.45  -47.1    202
XME    SPDR S&P ME  XME US 10/22/11 P42      -17.7  74.0   2.69    0.0    703
FSLR   FIRST SOLAR  FSLR US 10/22/11 C60     -17.6  86.8   5.30   17.8    349
XLY    SPDR-CONS D  XLY US 03/17/12 P30      -17.5  43.0   2.26   37.0    444
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5     -17.1  64.5   0.55  -15.4    410
AMT    AMERICAN TO  AMT US 10/22/11 C55      -17.1  34.0   0.65  -35.0    315
CRIS   CURIS INC    CRIS US 03/17/12 C2.5    -17.0  94.0   0.90  -21.7    200
VHC    VIRNETX HOL  VHC US 10/22/11 C13      -16.2 141.6   1.95   39.3    217
XME    SPDR S&P ME  XME US 01/21/12 P30      -15.9  72.6   1.66   23.9   7222
FSLR   FIRST SOLAR  FSLR US 10/22/11 P50     -15.7 104.5   1.24  -54.1   1327
XLY    SPDR-CONS D  XLY US 01/21/12 P35      -15.7  37.7   3.85   24.2    920
CBLI   CLEVELAND B  CBLI US 04/21/12 C2.5    -15.6 102.3   0.65   -7.1    500
STE    STERIS CORP  STE US 11/19/11 P25      -15.5  50.7   0.55  -21.4   1070
BBBY   BED BATH &B  BBBY US 11/19/11 C47     -15.2  52.8   8.28   34.6    700
AMR    AMR CORP     AMR US 11/19/11 P1.5     -15.0 210.0   0.25  -30.6    244
KOG    KODIAK OIL   KOG US 11/19/11 P2.5     -14.9 137.7   0.10    0.0   1441
BAC    BANK OF AME  BAC US 12/17/11 P5       -14.8  92.1   0.89   17.1   6986
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P54      -14.7  40.4   3.47  -12.2   8872
JPM    JPMORGAN CH  JPM US 10/22/11 C18      -14.3 111.3  11.00   -4.3    215
SPY    SPDR S&P 50  SPY US 10/22/11 P114     -14.2  38.8   6.65   -1.8   7180
XME    SPDR S&P ME  XME US 10/22/11 P43      -14.1  72.8   3.27    3.8   4078
AMR    AMR CORP     AMR US 11/19/11 C2       -14.0 178.8   0.73   32.7    540
HANS   HANSEN NATU  HANS US 10/22/11 C70     -13.7  79.2  11.80  -38.5    464
AMR    AMR CORP     AMR US 10/22/11 P2       -13.4 209.3   0.25  -46.8    518
GLD    SPDR GOLD T  GLD US 10/22/11 P98      -13.2  79.2   0.03   50.0    215
DIA    SPDR DJIA T  DIA US 10/22/11 P110     -13.2  35.0   6.40    4.1    388
SPY    SPDR S&P 50  SPY US 10/22/11 P113     -13.1  39.6   6.05   -2.1  10097
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P53      -13.0  41.7   2.84  -12.6  16149
AMT    AMERICAN TO  AMT US 10/22/11 C52.5    -12.7  39.3   1.94  -19.2    232
KKD    KRISPY KREM  KKD US 11/19/11 C5       -12.4  81.5   1.60    3.2   1323
SPY    SPDR S&P 50  SPY US 10/22/11 P112     -12.0  40.5   5.44   -2.7  31327
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P52      -11.8  43.2   2.21  -18.1   5659
AMR    AMR CORP     AMR US 01/21/12 P2       -11.8 152.1   0.60  -20.0    221
BAC    BANK OF AME  BAC US 01/21/12 P5       -11.3  93.5   1.05   10.5   5852
C      CITIGROUP I  C US 05/19/12 C21        -11.2  81.8   6.20    0.0    710
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P51      -11.1  44.6   1.79  -17.9   6997
CSIQ   CANADIAN SO  CSIQ US 10/22/11 P3      -11.0 103.4   0.20  100.0    281
MTL    MECHEL-SPON  MTL US 10/22/11 C9       -10.9 100.7   0.60  -36.8    512
BAC    BANK OF AME  BAC US 12/17/11 P3       -10.8 134.6   0.30   15.4   4768
BAC    BANK OF AME  BAC US 12/17/11 P4       -10.8 111.4   0.53   17.8   4430
ALJ    ALON USA EN  ALJ US 03/17/12 C5       -10.6  89.9   1.50  -37.5    500
FAZ    FINANCIAL B  FAZ US 10/22/11 C55      -10.4 141.8  23.50   11.2    525
SFLY   SHUTTERFLY   SFLY US 11/19/11 P40     -10.3  71.6   3.50   -5.4    663
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P50      -10.1  46.0   1.43  -16.9  16278

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

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