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
=============================================================================
CNW    CON-WAY INC  CNW US 10/22/11 C20      179.1  76.2   3.70   68.2    250
GDXJ   MARKET VECT  GDXJ US 11/19/11 C20     145.6  76.9   7.10   18.3    300
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C41       64.5  59.1  11.80   16.8    328
IWM    ISHARES-RUS  IWM US 10/22/11 C53       61.5  60.4  12.61   37.7    242
FVE    FIVE STAR Q  FVE US 04/21/12 C2.5      51.2 126.8   0.80   14.3    257
IWM    ISHARES-RUS  IWM US 10/22/11 C57       37.7  57.7   8.79   16.7    446
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C42       37.2  53.2  10.82    4.6    216
TYC    TYCO INTL L  TYC US 04/21/12 C30       34.5  46.8  12.11    0.0    200
VHC    VIRNETX HOL  VHC US 01/21/12 C10       34.3 142.2   7.00   55.6    200
RMBS   RAMBUS INC   RMBS US 10/22/11 P15      33.9 250.6   2.89  -12.4    291
CAST   CHINACAST E  CAST US 11/19/11 C2.5     33.1 167.7   1.00    0.0   1053
IWM    ISHARES-RUS  IWM US 10/22/11 C60       27.7  55.2   6.23   14.7    845
CP     CANADIAN PA  CP US 10/22/11 C40        26.1  60.3   9.80    0.0    250
IWM    ISHARES-RUS  IWM US 10/22/11 C59       25.5  56.3   7.25   12.2    914
BWLD   BUFFALO WIL  BWLD US 10/22/11 C60      25.4  65.1   2.20   37.5    392
BWLD   BUFFALO WIL  BWLD US 10/22/11 C55      24.9  69.4   4.50   40.6    209
IWM    ISHARES-RUS  IWM US 10/22/11 C58       23.6  56.7   7.63   20.4    439
IWM    ISHARES-RUS  IWM US 10/22/11 C61       23.3  54.5   5.29    2.1    900
SMTC   SEMTECH COR  SMTC US 11/19/11 C21      22.8  47.6   1.95    0.0   1705
RIMM   RESEARCH IN  RIMM US 10/22/11 P17      22.2 114.1   0.16  -57.9    476
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C46       22.1  47.6   7.00   19.7    311
RIMM   RESEARCH IN  RIMM US 10/22/11 P18      22.0 109.7   0.27  -48.1   1214
RIMM   RESEARCH IN  RIMM US 10/22/11 P19      20.9 105.1   0.38  -52.5    581
RIMM   RESEARCH IN  RIMM US 10/22/11 C18      20.7 107.7   5.90   73.5    608
IWM    ISHARES-RUS  IWM US 10/22/11 C62       19.9  53.4   4.66   15.1   2160
ALGT   ALLEGIANT T  ALGT US 10/22/11 P45      19.7  66.6   1.55  -18.4    437
RIMM   RESEARCH IN  RIMM US 10/22/11 P20      19.3 101.6   0.56  -49.5   2182
XLE    SPDR-ENERGY  XLE US 01/21/12 P60       18.4  43.6   6.20  -25.8    510
AMT    AMERICAN TO  AMT US 10/22/11 C52.5     18.3  40.2   3.20   29.0    266
SODA   SODASTREAM   SODA US 11/19/11 C32.5    18.1 111.0   5.20    0.0    775
IWM    ISHARES-RUS  IWM US 10/22/11 C63       18.0  52.8   3.98   16.0  12471
CSCO   CISCO SYSTE  CSCO US 04/21/12 C10      17.7  53.4   6.40   18.5    275
LVLT   LEVEL 3 COM  LVLT US 10/22/11 C1.5     17.6  99.2   0.10    0.0    726
RIMM   RESEARCH IN  RIMM US 10/22/11 P21      17.5  98.7   0.82  -45.3   1415
GDXJ   MARKET VECT  GDXJ US 10/22/11 C27      17.2  66.6   1.80   24.1    472
RMBS   RAMBUS INC   RMBS US 10/22/11 P14      17.0 257.4   2.38   -6.7    423
RIMM   RESEARCH IN  RIMM US 10/22/11 C21      17.0  99.0   3.25  109.7    958
AMR    AMR CORP     AMR US 10/22/11 P0.5      16.5 481.7   0.02    0.0    200
IWM    ISHARES-RUS  IWM US 10/22/11 C64       15.6  51.8   3.39   18.9   6484
LVLT   LEVEL 3 COM  LVLT US 11/19/11 P1.5     15.4  94.5   0.15  -25.0    420
IWM    ISHARES-RUS  IWM US 11/19/11 C57       15.3  54.4  10.05   11.4    215
CIGX   STAR SCIENT  CIGX US 11/19/11 C2       15.2 102.2   0.80  100.0    204
XLE    SPDR-ENERGY  XLE US 10/22/11 P60       15.2  47.7   2.83  -26.1    239
SDS    PROSHARES U  SDS US 12/17/11 P23       14.7  65.0   1.73   23.6    480
RIMM   RESEARCH IN  RIMM US 10/22/11 P22      14.1  96.3   1.09  -48.1   3164
TEN    TENNECO INC  TEN US 01/21/12 C28       14.0  70.9   3.70   85.0    538
BMRN   BIOMARIN PH  BMRN US 04/21/12 C30      13.9  49.7   5.50   -8.3    450
IWM    ISHARES-RUS  IWM US 10/22/11 C65       13.8  50.6   2.81   20.6   8654
IWM    ISHARES-RUS  IWM US 11/19/11 C58       13.7  53.6   9.28   12.1    517
PGH    PENGROWTH E  PGH US 04/21/12 C9        13.2  47.5   0.95   46.1   1202
COP    CONOCOPHILL  COP US 10/22/11 P65       13.1  45.4   3.25  -38.7   1761
IWM    ISHARES-RUS  IWM US 10/22/11 C66       13.0  49.5   2.26   20.9   5286
SDS    PROSHARES U  SDS US 01/21/12 P23       13.0  67.6   2.20   10.6    447
SDS    PROSHARES U  SDS US 12/17/11 P24       12.9  69.5   2.29   19.9    395
ONNN   ON SEMICOND  ONNN US 10/22/11 P6       12.9  83.7   0.10    0.0    200
IWM    ISHARES-RUS  IWM US 11/19/11 C59       12.6  52.8   8.21    8.6    329
QCOR   QUESTCOR PH  QCOR US 10/22/11 C27      12.4  73.0   3.10   37.8    503
LQD    ISHARES-IBO  LQD US 12/17/11 P105      12.3  13.8   0.75   15.4    630
CVC    CABLEVISION  CVC US 10/22/11 C16       12.2  53.2   0.60   71.4    200
LVLT   LEVEL 3 COM  LVLT US 10/22/11 P1.5     12.2  99.3   0.10  -33.3    405
IWM    ISHARES-RUS  IWM US 11/19/11 C60       12.0  52.1   7.50    9.3    483
RIMM   RESEARCH IN  RIMM US 11/19/11 C21      11.9  89.9   4.00   69.5    231
RIMM   RESEARCH IN  RIMM US 10/22/11 C23      11.9  96.3   2.36  191.4   8382
RIMM   RESEARCH IN  RIMM US 11/19/11 P18      11.8  93.4   0.68  -40.9    452
RIMM   RESEARCH IN  RIMM US 11/19/11 C18      11.8  94.2   6.15   73.2    767
SFSF   SUCCESSFACT  SFSF US 10/22/11 C23      11.8  69.5   1.45   20.8   1510
VZ     VERIZON COM  VZ US 10/22/11 C35        11.7  28.5   1.32  -10.2    340
IWM    ISHARES-RUS  IWM US 10/22/11 C67       11.7  48.3   1.79   22.6   7024
RIMM   RESEARCH IN  RIMM US 11/19/11 P19      11.7  91.2   0.88  -39.7    433
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C47       11.6  45.9   6.08   14.3    483
RIMM   RESEARCH IN  RIMM US 11/19/11 C20      11.4  91.0   5.00   77.3   2552
RIMM   RESEARCH IN  RIMM US 11/19/11 P15      11.4 101.4   0.26  -46.9   1373
AMZN   AMAZON.COM   AMZN US 10/22/11 C215     11.0  55.0   9.60    3.2    528
IWM    ISHARES-RUS  IWM US 10/22/11 C68       11.0  47.1   1.41   12.8   2649
TIBX   TIBCO SOFTW  TIBX US 10/22/11 C24      11.0  65.9   1.00  122.2   1366
IWM    ISHARES-RUS  IWM US 11/19/11 C61       10.9  51.2   6.86    9.6    287
RIMM   RESEARCH IN  RIMM US 11/19/11 P20      10.6  89.1   1.14  -38.4    560
QSFT   QUEST SOFTW  QSFT US 01/21/12 C17.5    10.5  49.8   1.45   20.8    251
RIMM   RESEARCH IN  RIMM US 11/19/11 P21      10.4  88.1   1.51  -36.0    405
HGG    HHGREGG INC  HGG US 10/22/11 C11       10.4  75.9   0.55   57.1   2029
WGO    WINNEBAGO I  WGO US 10/22/11 C7.5      10.3  92.2   0.55   37.5    292
VXX    IPATH-S&P S  VXX US 10/22/11 P47       10.3  88.0   1.77   36.1    465
PHM    PULTEGROUP   PHM US 01/21/12 C1        10.3 146.1   2.83   10.1    240
RIMM   RESEARCH IN  RIMM US 11/19/11 P22      10.2  86.8   1.93  -35.0    356

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
STP    SUNTECH POW  STP US 01/19/13 P2       -37.5 118.3   0.92  -16.4    447
GR     GOODRICH CO  GR US 10/22/11 P120      -30.9   4.0   0.40  -63.6    245
DEER   DEER CONSUM  DEER US 11/19/11 C5      -28.8  34.1   0.70   40.0    418
PPDI   PHARM PROD   PPDI US 01/21/12 P32.5   -27.9  11.0   1.25    0.0   1000
UUP    POWERSHARES  UUP US 12/17/11 C20      -25.7  10.3   2.42    0.4    258
XLE    SPDR-ENERGY  XLE US 11/19/11 P36      -24.6  72.8   0.11  -47.6    382
BAC    BANK OF AME  BAC US 12/17/11 C2       -23.9 172.8   3.80   11.8    442
XLE    SPDR-ENERGY  XLE US 11/19/11 P37      -23.8  71.1   0.13  -51.9    333
KBH    KB HOME      KBH US 11/19/11 P2       -23.7 152.4   0.01    0.0    237
CEPH   CEPHALON IN  CEPH US 10/22/11 P80     -23.3  10.4   0.30  -14.3    250
GDXJ   MARKET VECT  GDXJ US 10/22/11 P27     -23.3  67.6   1.45  -30.9    209
VZ     VERIZON COM  VZ US 10/22/11 C33       -23.2  34.3   2.93    0.7    220
BAC    BANK OF AME  BAC US 12/17/11 C3       -22.6 136.6   2.89   11.6    662
BAC    BANK OF AME  BAC US 12/17/11 C4       -22.3 111.7   2.01   -3.4    364
XLE    SPDR-ENERGY  XLE US 12/17/11 P34      -21.9  71.9   0.25  -34.2    200
BAC    BANK OF AME  BAC US 01/21/12 C5       -21.8  97.5   1.50   -6.2   1830
BAC    BANK OF AME  BAC US 01/19/13 C1       -21.2 137.6   4.85    4.3    440
XLE    SPDR-ENERGY  XLE US 01/21/12 P34      -20.9  66.8   0.46  -35.2    478
BAC    BANK OF AME  BAC US 12/17/11 C5       -20.5  96.8   1.30   -4.4   2569
XLE    SPDR-ENERGY  XLE US 12/17/11 P33      -20.1  73.1   0.21  -41.7    278
COP    CONOCOPHILL  COP US 10/22/11 C60      -19.8  36.4   3.90   16.4    221
SDS    PROSHARES U  SDS US 10/22/11 C22      -19.8  59.8   3.60  -16.5    261
JNK    SPDR BARCLA  JNK US 10/22/11 P36      -18.5  28.3   1.15  -20.7   1000
TEN    TENNECO INC  TEN US 01/21/12 P28      -18.0  71.1   4.80   -6.1    407
PAA    PLAINS ALL   PAA US 10/22/11 C60      -17.9  21.0   0.30    0.0    200
YUM    YUM! BRANDS  YUM US 10/22/11 C49      -17.5  42.9   1.22  -47.0    219
COP    CONOCOPHILL  COP US 10/22/11 C65      -17.1  32.6   0.97  -10.2   1976
YUM    YUM! BRANDS  YUM US 10/22/11 P47      -17.1  45.1   1.43    4.4    213
YUM    YUM! BRANDS  YUM US 10/22/11 C50      -17.1  42.0   0.81  -54.8   1506
YUM    YUM! BRANDS  YUM US 10/22/11 C48      -16.8  44.0   1.66  -43.0    242
COST   COSTCO WHOL  COST US 10/22/11 P72.5   -16.4  41.8   0.57   -6.6    309
YUM    YUM! BRANDS  YUM US 10/22/11 P46      -16.4  46.2   1.07    4.9    457
COST   COSTCO WHOL  COST US 10/22/11 P70     -16.3  44.3   0.31  -42.6    368
MS     MORGAN STAN  MS US 10/22/11 P14       -16.1 121.5   1.53  -18.6   3034
MS     MORGAN STAN  MS US 10/22/11 C14       -15.8 123.0   1.29  -24.6   2412
YUM    YUM! BRANDS  YUM US 10/22/11 P45      -15.8  47.4   0.78    0.0   2567
MS     MORGAN STAN  MS US 10/22/11 P13       -15.6 130.4   1.14  -14.3   3883
MON    MONSANTO CO  MON US 10/22/11 C67.5    -15.5  38.2   1.36   52.8    887
TJX    TJX COS INC  TJX US 01/21/12 C22.5    -15.4  62.0  33.50    8.4    300
STP    SUNTECH POW  STP US 10/22/11 C2       -15.2 133.5   0.50   72.4    455
CCI    CROWN CASTL  CCI US 04/21/12 P41      -15.0  35.7   4.70   23.7    251
XLE    SPDR-ENERGY  XLE US 12/17/11 C57      -14.9  47.9   5.60   27.3   1142
MS     MORGAN STAN  MS US 10/22/11 C13       -14.3 131.2   1.93  -16.1    332
COST   COSTCO WHOL  COST US 10/22/11 P77.5   -14.2  37.2   1.79   17.8    755
TEF    TELEFONICA-  TEF US 11/19/11 C20      -14.2  41.5   0.60  -14.3   1621
NLY    ANNALY CAPI  NLY US 10/22/11 P16      -14.1  37.2   0.86  -10.4    710
COST   COSTCO WHOL  COST US 10/22/11 P80     -14.1  35.2   2.89   41.7    920
UUP    POWERSHARES  UUP US 10/22/11 C23      -13.8  14.3   0.08  -27.3   5862
KCI    KINETIC CON  KCI US 10/22/11 P65      -13.7  23.6   0.55  -69.4    250
XLV    SPDR-HEALTH  XLV US 01/21/12 P32      -13.6  26.4   2.40   16.5    200
LINE   LINN ENERGY  LINE US 11/19/11 P29     -13.6  48.8   0.65    0.0    325
EUO    PROSH-UL/SH  EUO US 11/19/11 C18      -13.5  27.7   1.70   -5.6    308
MON    MONSANTO CO  MON US 10/22/11 P65      -13.5  41.3   2.00  -51.8    781
MS     MORGAN STAN  MS US 10/22/11 P12       -13.5 142.1   0.80  -20.8   1360
APKT   ACME PACKET  APKT US 10/22/11 P35     -13.2  92.7   1.80  100.0   2053
AGNC   AMERICAN CA  AGNC US 10/22/11 P26     -13.2  34.4   0.75   -6.2    435
EK     EASTMAN KOD  EK US 10/22/11 C1        -13.1 251.4   0.35    0.0    223
XLE    SPDR-ENERGY  XLE US 12/17/11 P54      -13.0  50.8   3.05  -10.3    206
MTL    MECHEL-SPON  MTL US 10/22/11 P8       -12.9 102.0   0.30  -33.3    650
APKT   ACME PACKET  APKT US 10/22/11 P30     -12.8 102.1   0.65   30.0    462
MON    MONSANTO CO  MON US 10/22/11 C65      -12.7  41.2   2.65   68.8   5127
IRM    IRON MOUNTA  IRM US 10/22/11 P30      -12.7  43.7   1.05  -25.0    500
DIA    SPDR DJIA T  DIA US 10/22/11 P113     -12.6  29.8   6.00   -7.7    253
C      CITIGROUP I  C1 US 01/21/12 P4        -12.6  42.7   1.61   -5.3    519
IWM    ISHARES-RUS  IWM US 10/22/11 P49      -12.6  65.1   0.08  -57.9    261
IWM    ISHARES-RUS  IWM US 10/22/11 P67      -12.5  48.8   3.73   -7.9  10751
JNK    SPDR BARCLA  JNK US 10/22/11 P35      -12.4  32.3   0.70  -30.7   1063
EXXI   ENERGY XXI   EXXI US 10/22/11 P17     -12.4  91.3   0.30  200.0    260
FXI    ISHARES FTS  FXI US 10/22/11 C31      -12.2  46.0   0.87    6.1    542
BAC    BANK OF AME  BAC US 11/19/11 P3       -12.1 151.5   0.11  -38.9   6383
DLR    DIGITAL REA  DLR US 11/19/11 P55      -12.1  49.2   3.10  -31.1    293
XLF    SPDR-FINL S  XLF US 12/17/11 P6       -12.0  84.8   0.06  -25.0    515
T      AT&T INC     T US 10/22/11 C26        -12.0  35.2   2.17    3.8    213
MU     MICRON TECH  MU US 10/22/11 C5        -11.8 121.3   0.41   24.2    931
BAC    BANK OF AME  BAC US 11/19/11 P4       -11.8 120.9   0.22  -26.7  19340
NLY    ANNALY CAPI  NLY US 10/22/11 P15      -11.8  43.7   0.36    2.9   2257
APKT   ACME PACKET  APKT US 10/22/11 C37.5   -11.8  87.3   2.80  -44.0    255
XLE    SPDR-ENERGY  XLE US 01/21/12 P32      -11.7  69.2   0.35  -28.6    442
BAC    BANK OF AME  BAC US 10/22/11 P4       -11.7 138.3   0.08  -33.3   7419
EWZ    ISHARES-BRA  EWZ US 10/22/11 P52      -11.4  49.3   2.35  -20.9   7188
MO     ALTRIA GROU  MO US 10/22/11 C27       -11.2  24.0   0.37    0.0    838
SIRI   SIRIUS XM R  SIRI US 10/22/11 C1.5    -11.2  82.8   0.07  -22.2    220
USB    US BANCORP   USB US 10/22/11 P24      -11.1  50.1   1.63  -29.7   1000
BAC    BANK OF AME  BAC US 10/22/11 P5       -11.1 111.0   0.23  -17.9  14271
S      SPRINT NEXT  S US 10/22/11 C2.5       -10.9 122.1   0.43  -17.3    618
WFC    WELLS FARGO  WFC US 10/22/11 P20      -10.9  85.4   0.33  -52.9   2433
BMTI   BIOMIMETIC   BMTI US 10/22/11 P3      -10.9 208.6   0.40  -46.7    544
SIRI   SIRIUS XM R  SIRI US 12/17/11 C1      -10.9  74.0   0.48   -4.0    375
IWM    ISHARES-RUS  IWM US 10/22/11 P52      -10.8  62.5   0.13  -31.6    721
ARUN   ARUBA NETWO  ARUN US 01/21/12 P19     -10.8  69.8   1.95  -15.2   1360
IDCC   INTERDIGITA  IDCC US 10/22/11 C50     -10.8 131.7   5.50    7.8    344
EWZ    ISHARES-BRA  EWZ US 10/22/11 P51      -10.8  51.1   1.95  -21.7    419
EWZ    ISHARES-BRA  EWZ US 10/22/11 C53      -10.8  47.8   1.47   -5.8   4216
EEM    ISHARES-EMG  EEM US 10/22/11 P36      -10.7  45.1   1.85  -11.9    613
VXX    IPATH-S&P S  VXX US 12/17/11 P40      -10.7  82.6   2.48   60.0    302
AMR    AMR CORP     AMR US 01/19/13 P2.5     -10.7 101.1   1.07  -12.3    260
WFC    WELLS FARGO  WFC US 10/22/11 P19      -10.6  92.5   0.23  -54.0   3026
EWZ    ISHARES-BRA  EWZ US 10/22/11 P53      -10.5  47.9   2.93  -35.6    775
GSM    GLOBE SPECI  GSM US 10/22/11 P15      -10.5  76.2   1.05  -47.5    411
IWM    ISHARES-RUS  IWM US 10/22/11 P50      -10.5  63.4   0.08  -55.6   1033
VGK    VANGUARD MS  VGK US 12/17/11 P35      -10.5  60.1   1.95  -22.0    200
SPY    SPDR S&P 50  SPY US 10/22/11 P118     -10.4  33.5   6.33   -7.0   1632
VZ     VERIZON COM  VZ US 12/17/11 P19       -10.4  65.6   0.03  -25.0    334
WFC    WELLS FARGO  WFC US 10/22/11 P18      -10.4  98.3   0.19  -54.8    436
MS     MORGAN STAN  MS US 10/22/11 P11       -10.3 158.2   0.57  -28.8   1305
AGNC   AMERICAN CA  AGNC US 10/22/11 C27     -10.3  30.8   0.26  -42.2    414
ARUN   ARUBA NETWO  ARUN US 01/21/12 P20     -10.3  69.3   2.10  -25.0   1831
IWM    ISHARES-RUS  IWM US 11/19/11 P67      -10.3  46.7   5.38   -1.3    283
YHOO   YAHOO! INC   YHOO US 10/22/11 P15     -10.3  74.3   1.02  -26.1   3329
APKT   ACME PACKET  APKT US 10/22/11 P32.5   -10.2  96.2   1.07   52.9   1153
MON    MONSANTO CO  MON US 10/22/11 P62.5    -10.2  45.2   1.20  -55.1   1201
QQQ    POWERSH-QQQ  QQQ US 10/22/11 P55      -10.2  36.6   3.00  -13.8   9609
AMJ    JPM-ALERIAN  AMJ US 11/19/11 P31      -10.2  37.9   0.85  -16.7    500
EWZ    ISHARES-BRA  EWZ US 10/22/11 C52      -10.2  49.4   2.04    1.0   1033
BAC    BANK OF AME  BAC US 10/22/11 P3       -10.2 175.2   0.03  -40.0    934
ARUN   ARUBA NETWO  ARUN US 10/22/11 C22     -10.2  71.1   1.50  172.7    289
MO     ALTRIA GROU  MO US 10/22/11 P26       -10.2  28.5   0.44  -18.5    379
UAL    UNITED CONT  UAL US 10/22/11 C19      -10.1  69.7   0.77   18.5    957
FXY    CRYSHS-JAPA  FXY US 10/22/11 P129     -10.1  11.3   1.85    0.0    350
XLE    SPDR-ENERGY  XLE US 10/22/11 P53      -10.0  56.9   0.68  -34.0    254
ARUN   ARUBA NETWO  ARUN US 01/21/12 P21     -10.0  67.6   2.55  -31.1   2598

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

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