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
=============================================================================
WFM    WHOLE FOODS  WFM US 01/21/12 C35       32.2  73.2  34.40   10.6    500
LIZ    LIZ CLAIBOR  LIZ US 11/19/11 P6        21.1  91.9   0.30  -81.9    256
RTEC   RUDOLPH TEC  RTEC US 11/19/11 C7.5     12.9  66.3   0.45   12.5   1025
DSX    DIANA SHIPP  DSX US 11/19/11 C8        11.5  53.5   0.70   40.0    417
SIRI   SIRIUS XM R  SIRI US 11/19/11 C1.5     11.1  61.2   0.27   17.4    429
LIZ    LIZ CLAIBOR  LIZ US 01/21/12 C5        10.5  84.9   2.50  194.1    460
LIZ    LIZ CLAIBOR  LIZ US 11/19/11 C6        10.3  86.9   1.20  500.0    372

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
INFY   INFOSYS LTD  INFY US 11/19/11 P57.5   -28.3  35.0   3.30    0.0   2263
RAD    RITE AID CO  RAD US 04/21/12 P1       -21.1  67.7   0.20  -16.7    246
CNP    CENTERPOINT  CNP US 11/19/11 C20      -19.9  28.8   0.80  -30.4   1000
AA     ALCOA INC    AA US 11/19/11 C10       -18.5  51.9   0.63  -35.0   4534
AA     ALCOA INC    AA US 11/19/11 P10       -17.8  52.0   0.69   -2.8   1516
OGE    OGE ENERGY   OGE US 11/19/11 C50      -17.7  21.7   1.00    0.0    500
MBT    MOBILE TELE  MBT US 12/17/11 C12      -17.4  44.2   2.50   90.8   1000
UUP    POWERSHARES  UUP US 01/21/12 C20      -16.9   9.3   1.78  -11.0    379
ASML   ASML HOLDIN  ASML US 11/19/11 C40     -16.5  42.7   1.70   70.0   1035
AA     ALCOA INC    AA US 11/19/11 P9        -16.4  55.9   0.32   -8.6   1535
AA     ALCOA INC    AA US 11/19/11 C9        -15.8  57.0   1.18  -26.7   1018
DUG    PROSHARES U  DUG US 01/21/12 P30      -15.1  73.7   3.70   23.3    405
AA     ALCOA INC    AA US 11/19/11 C8        -15.1  64.1   1.98  -18.5    211
INFY   INFOSYS LTD  INFY US 11/19/11 P55     -14.9  37.2   2.00  -60.8   2262
PEP    PEPSICO INC  PEP US 11/19/11 C65      -14.7  18.8   0.71   65.1    842
AMJ    JPM-ALERIAN  AMJ US 11/19/11 C35      -14.4  23.2   0.90  -10.0   1000
INFY   INFOSYS LTD  INFY US 11/19/11 C55     -14.1  39.8   3.60   75.6   2804
AONE   A123 SYSTEM  AONE US 12/17/11 C4      -13.8  81.4   0.50  100.0   1582
INFY   INFOSYS LTD  INFY US 11/19/11 P52.5   -13.8  39.9   1.00  -71.8    281
AA     ALCOA INC    AA US 11/19/11 P8        -13.5  63.5   0.16    0.0    273
PEP    PEPSICO INC  PEP US 11/19/11 C62.5    -12.4  20.9   2.00   62.6    370
CL     COLGATE-PAL  CL US 11/19/11 C92.5     -11.8  23.0   1.81   -5.7   1728
DPM    DCP MIDSTRE  DPM US 11/19/11 C40      -11.6  31.1   1.70   47.8    261
ADTN   ADTRAN INC   ADTN US 11/19/11 C29     -11.6  49.1   1.33  -44.6    405
EWT    ISHARES-TAI  EWT US 01/21/12 C13      -11.4  33.4   0.68   -2.9    929
SPY    SPDR S&P 50  SPY US 11/19/11 P127     -11.3  23.1   7.17  -16.9    224
NGG    NATIONAL GR  NGG US 12/17/11 C50      -11.0  22.6   1.65  -21.4    760
EWT    ISHARES-TAI  EWT US 12/17/11 C13      -11.0  32.3   0.60   17.6   1002
AA     ALCOA INC    AA US 01/21/12 C10       -10.8  51.3   1.00  -27.5   1328
AA     ALCOA INC    AA US 01/21/12 P9        -10.8  54.6   0.67   -4.3    304
AA     ALCOA INC    AA US 01/21/12 P10       -10.8  51.3   1.10    0.9    275
RAS    RAIT FINANC  RAS US 11/19/11 C4       -10.6  62.7   0.35   75.0    250
SDS    PROSHARES U  SDS US 11/19/11 C18      -10.5  37.1   4.00  -14.9    265
UUP    POWERSHARES  UUP US 11/19/11 C20      -10.5  14.7   1.78  -11.0    303
C      CITIGROUP I  C1 US 01/19/13 P7.5      -10.3  52.1   4.65   -6.1    241
AA     ALCOA INC    AA US 01/21/12 C9        -10.3  54.8   1.59  -20.9    237
NGG    NATIONAL GR  NGG US 12/17/11 P50      -10.3  23.9   2.60  -29.7    227
IT     GARTNER INC  IT US 12/17/11 P35       -10.3  35.0   1.25  -34.2    200
ABT    ABBOTT LABS  ABT US 01/21/12 C40      -10.3  36.2  12.95    2.0    235
CIGX   STAR SCIENT  CIGX US 11/19/11 P2.5    -10.2 117.7   0.30    0.0    511

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

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