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
=============================================================================
XLE    SPDR-ENERGY  XLE US 10/22/11 C50      119.5  60.2  11.30    8.1   5000
CMTL   COMTECH TEL  CMTL US 10/22/11 P30      84.4  61.2   1.55  -48.3   2769
CMTL   COMTECH TEL  CMTL US 10/22/11 P27.5    77.5  62.5   0.55  -59.6   3534
CMTL   COMTECH TEL  CMTL US 10/22/11 C27.5    68.3  59.5   2.95  145.8    773
CMTL   COMTECH TEL  CMTL US 10/22/11 C30      64.3  56.2   1.45  625.0   1253
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C46       62.3  46.8   7.89    2.1    481
CMTL   COMTECH TEL  CMTL US 11/19/11 C30      56.0  54.0   2.10  281.8   3789
CMTL   COMTECH TEL  CMTL US 10/22/11 P25      49.9  67.0   0.15  -50.0    206
EXC    EXELON CORP  EXC US 10/22/11 C38       47.5  26.1   3.10  -42.0    210
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C44       43.8  43.8  10.06    4.6    221
CMTL   COMTECH TEL  CMTL US 11/19/11 C27.5    41.3  54.1   2.60   57.6   1135
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C47       36.7  44.3   7.10    6.0   1091
TZOO   TRAVELZOO I  TZOO US 10/22/11 C12.5    36.6 182.7  13.10   42.4    505
CMTL   COMTECH TEL  CMTL US 01/21/12 C30      32.1  50.9   3.10  113.8    752
HAR    HARMAN INTL  HAR US 10/22/11 P27.5     30.7  80.3   0.76  -45.7    447
HAR    HARMAN INTL  HAR US 10/22/11 C27.5     26.6  76.5   3.60  200.0    534
HAR    HARMAN INTL  HAR US 10/22/11 P30       24.0  69.8   1.59  -47.0    330
CMTL   COMTECH TEL  CMTL US 01/21/12 C27.5    23.9  50.5   4.40   69.2   1147
CMTL   COMTECH TEL  CMTL US 01/21/12 P30      23.9  47.5   3.00  -33.3    492
CMTL   COMTECH TEL  CMTL US 01/21/12 P27.5    22.6  49.8   2.10   -8.7   1296
AIMC   ALTRA HOLDI  AIMC US 02/18/12 C10      21.9  78.8   3.30    0.0    500
GGP    GENERAL GRO  GGP US 10/22/11 P12       20.6  76.7   1.00  -33.3    300
SPY    SPDR S&P 50  SPY US 10/22/11 C102      20.1  45.0  13.55    4.8    288
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C48       18.6  43.4   6.02    3.8    990
MON    MONSANTO CO  MON US 10/22/11 P70       16.5  39.4   2.12  -51.8   1959
EEM    ISHARES-EMG  EEM US 06/16/12 P37       15.5  37.9   5.30   -4.5   1313
MDR    MCDERMOTT I  MDR US 10/22/11 P13       15.4 143.4   1.10  -33.3    362
MPEL   MELCO CROWN  MPEL US 11/19/11 C6       15.3 110.8   3.70  100.0   2555
MDR    MCDERMOTT I  MDR US 02/18/12 C13       15.3  88.6   3.60  213.0    201
MON    MONSANTO CO  MON US 10/22/11 C65       14.6  45.1   5.91   99.0    565
MDR    MCDERMOTT I  MDR US 10/22/11 P12       14.5 139.1   0.65  -29.4    573
RBA    RITCHIE BRO  RBA US 11/19/11 P20       14.5  59.2   2.00    0.0    458
REE    RARE ELEMEN  REE US 10/22/11 C4        14.4 107.6   1.20   60.0    493
MON    MONSANTO CO  MON US 10/22/11 C67.5     14.2  42.0   4.00  170.3    365
COP    CONOCOPHILL  COP US 10/22/11 C65       14.1  34.9   0.93  -21.2    441
MON    MONSANTO CO  MON US 10/22/11 C62.5     14.1  48.6   8.00   70.2    230
CECO   CAREER EDUC  CECO US 10/22/11 P12      14.1  97.1   0.20  -60.0   1504
MON    MONSANTO CO  MON US 10/22/11 C72.5     13.6  37.5   1.15  422.7   4977
QQQ    POWERSH-QQQ  QQQ US 10/22/11 C49       13.6  43.0   5.14    4.3    610
TSL    TRINA SOLAR  TSL US 10/22/11 P7        13.5 121.7   0.27  -35.7    354
MDR    MCDERMOTT I  MDR US 10/22/11 P11       13.4 137.8   0.42    5.0    309
MDR    MCDERMOTT I  MDR US 02/18/12 C12       13.2  92.0   4.20   23.5    517
MON    MONSANTO CO  MON US 10/22/11 C70       13.1  39.1   2.38  266.1   2550
MDR    MCDERMOTT I  MDR US 01/21/12 P14       12.9  95.6   2.72  -32.0    492
FORM   FORMFACTOR   FORM US 11/19/11 C6       12.8  69.9   0.90    5.9   1000
CECO   CAREER EDUC  CECO US 10/22/11 C15      12.8  75.3   0.64   42.2    915
MDR    MCDERMOTT I  MDR US 10/22/11 P14       12.6 147.9   1.75  -41.7    350
MON    MONSANTO CO  MON US 10/22/11 P67.5     12.4  42.1   1.30  -52.0    963
MDR    MCDERMOTT I  MDR US 11/19/11 P14       12.4 119.0   2.20  -38.9    993
MDR    MCDERMOTT I  MDR US 11/19/11 C14       12.2 119.9   2.35   34.3    568
XLE    SPDR-ENERGY  XLE US 10/22/11 C54       12.2  54.2   7.40    6.5   6311
MDR    MCDERMOTT I  MDR US 01/21/12 C14       12.0  94.9   2.84   42.0    761
HYG    ISH-IBOXX H  HYG US 12/17/11 P84       11.9  26.5   5.30  -27.4    310
MON    MONSANTO CO  MON US 10/22/11 P65       11.8  45.2   0.71  -57.0   1176
MON    MONSANTO CO  MON US 10/22/11 P62.5     11.6  49.0   0.42  -54.4    714
MCK    MCKESSON CO  MCK US 10/22/11 P55       11.2  66.8   0.15  -40.0    828
APKT   ACME PACKET  APKT US 10/22/11 C35      11.0  92.5   5.40  -11.5    291
MON    MONSANTO CO  MON US 10/22/11 P60       10.8  53.5   0.24  -55.6    299
NUAN   NUANCE COMM  NUAN US 10/22/11 C22      10.8  64.9   0.80  100.0   2240
SIRI   SIRIUS XM R  SIRI US 11/19/11 C1.5     10.6  77.8   0.18   38.5    395
YHOO   YAHOO! INC   YHOO US 01/19/13 C15      10.3  40.5   2.89   -8.2    519
CECO   CAREER EDUC  CECO US 10/22/11 P14      10.3  79.0   0.75  -37.5    498
AUY    YAMANA GOLD  AUY US 10/22/11 C11       10.1  76.7   3.00   15.4    761
HYG    ISH-IBOXX H  HYG US 12/17/11 P85       10.1  26.0   5.80   -7.9    400
C      CITIGROUP I  C1 US 12/17/11 P5         10.0  69.4   2.52   -1.2    235

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5     -39.6  34.9   1.00   17.6    250
MHS    MEDCO HEALT  MHS US 10/22/11 C50      -30.9  29.4   0.60   50.0    998
LDK    LDK SOLAR C  LDK US 12/17/11 C3       -30.4  53.1   0.63   12.5    520
OCZ    OCZ TECHNOL  OCZ US 10/22/11 P5       -30.4 103.1   0.15  -75.0    273
NLY    ANNALY CAPI  NLY US 10/22/11 C16      -26.4  28.0   0.37    5.7   5438
IVR    INVESCO MOR  IVR US 10/22/11 C15      -24.8  27.5   0.15   87.5   1388
IYT    ISHARES-DJ   IYT US 10/22/11 P79      -24.5  39.3   3.00  -44.4    460
NLY    ANNALY CAPI  NLY US 10/22/11 P16      -24.1  27.7   0.33  -46.8    516
P      PANDORA MED  P US 10/22/11 C12        -23.3  84.5   1.35   35.0    300
JDSU   JDS UNIPHAS  JDSU US 01/19/13 C2.5    -22.2  93.8   7.80   26.4    400
JNK    SPDR BARCLA  JNK US 10/22/11 P36      -20.4  23.7   0.85  -29.8   2000
YHOO   YAHOO! INC   YHOO US 10/22/11 P12     -18.6  67.5   0.05    0.0    489
BMY    BRISTOL-MYE  BMY US 01/21/12 C22.5    -18.1  43.7  10.13    0.8    427
JBLU   JETBLUE AIR  JBLU US 10/22/11 P4      -17.8  67.9   0.30  -25.0   1366
MHS    MEDCO HEALT  MHS US 10/22/11 C47.5    -17.2  32.1   1.60  113.3    778
SIFY   SIFY TECHNO  SIFY US 10/22/11 P2.5    -16.5 188.9   0.20  -20.0    269
NILSY  MMC NORILSK  NNIA GR 12/17/11 C19     -16.4  56.0   1.78    0.0   1000
JNK    SPDR BARCLA  JNK US 10/22/11 P35      -16.1  28.2   0.60  -25.0   1029
JASO   JA SOLAR HO  JASO US 10/22/11 P2      -15.5  82.2   0.20  -20.0    200
EXC    EXELON CORP  EXC US 10/22/11 P38      -15.4  27.8   0.12  -40.0   2894
ZAGG   ZAGG INC     ZAGG US 10/22/11 C12     -15.4  77.5   0.75   66.7    431
TRH    TRANSATLANT  TRH US 11/19/11 P45      -15.0  31.4   0.40  -65.2    200
YHOO   YAHOO! INC   YHOO US 10/22/11 P13     -15.0  69.1   0.15   -6.2   1115
ZAGG   ZAGG INC     ZAGG US 10/22/11 C10     -14.4  82.0   2.10   27.3    234
C      CITIGROUP I  C1 US 01/21/12 P7.5      -14.4  91.6   5.00   -4.8    479
HRBN   HARBIN ELEC  HRBN US 11/19/11 C23     -14.2  35.8   0.75    0.0    311
AMR    AMR CORP     AMR US 10/22/11 C2       -14.2 151.1   0.53    1.9   2019
YHOO   YAHOO! INC   YHOO US 10/22/11 P14     -14.0  70.7   0.39   14.7   2751
HRBN   HARBIN ELEC  HRBN US 12/17/11 C17.5   -13.7  65.6   5.40    3.9   1303
NLY    ANNALY CAPI  NLY US 11/19/11 C16      -13.6  32.2   0.71    4.4    618
NLY    ANNALY CAPI  NLY US 10/22/11 P15      -13.4  36.9   0.13  -53.6    359
FAZ    FINANCIAL B  FAZ US 10/22/11 C49      -13.2 111.5  18.20  -32.3    750
NLY    ANNALY CAPI  NLY US 10/22/11 C15      -13.1  36.8   1.07   13.8    251
HXL    HEXCEL CORP  HXL US 10/22/11 C20      -12.6  57.0   1.70  -22.7    252
GLNG   GOLAR LNG L  GLNG US 10/22/11 P30     -12.5  65.1   1.35  -45.3    269
HRBN   HARBIN ELEC  HRBN US 11/19/11 C22     -12.4  47.8   1.55    3.3    710
CETV   CENTRAL EUR  CETV US 11/19/11 P7.5    -12.4  98.7   0.70  -30.0    500
LVLT   LEVEL 3 COM  LVLT US 03/17/12 P1.5    -12.3  80.0   0.30  -23.1    850
TGT    TARGET CORP  TGT US 10/22/11 C52.5    -12.2  29.1   1.00  122.2   9241
YHOO   YAHOO! INC   YHOO US 10/22/11 C14     -12.1  70.8   1.49  -34.4   2751
HRBN   HARBIN ELEC  HRBN US 11/19/11 C17     -12.0  90.6   5.80   18.4    394
TGT    TARGET CORP  TGT US 10/22/11 P52.5    -12.0  29.0   1.60  -52.9    366
NLY    ANNALY CAPI  NLY US 11/19/11 P16      -11.7  32.2   0.71  -21.1    222
SFI    ISTAR FINAN  SFI US 10/22/11 P5       -11.4  74.8   0.10  -50.0   2491
SPRD   SPREADTRUM-  SPRD US 10/22/11 P19     -11.2  80.0   1.05  -62.5    300
HRBN   HARBIN ELEC  HRBN US 11/19/11 C20     -10.9  68.2   3.30   10.0    512
NLY    ANNALY CAPI  NLY US 01/21/12 P6       -10.9  79.7   0.06  100.0    338
HRBN   HARBIN ELEC  HRBN US 11/19/11 P22     -10.7  89.1   2.59  -17.8   1042
GE     GENERAL ELE  GE US 01/21/12 C5        -10.7 105.9  10.30   -6.4    747
NLY    ANNALY CAPI  NLY US 11/19/11 P15      -10.2  36.0   0.37  -35.1    234
FSLR   FIRST SOLAR  FSLR US 10/22/11 P45     -10.1  96.4   0.12  -76.5    291

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

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