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
=============================================================================
XLU    SPDR-UTIL S  XLU US 01/21/12 P32       18.8  22.3   1.00    2.0    260
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1       17.0  62.7   0.71   -5.3    355
SPY    SPDR S&P 50  SPY US 11/19/11 C107      15.9  37.8  13.93   -3.3    397
SPY    SPDR S&P 50  SPY US 11/19/11 C108      14.6  37.0  12.80   -5.3    360
WLT    WALTER ENER  WLT US 11/19/11 P60       14.4  87.8   3.80   13.4    482
RMBS   RAMBUS INC   RMBS US 11/19/11 C16      14.3 169.7   3.60   25.0    262
SPY    SPDR S&P 50  SPY US 11/19/11 C109      13.7  36.3  11.95  -11.8    255
C      CITIGROUP I  C1 US 01/21/12 C4.5       13.6  49.8   0.01    0.0    850
ONXX   ONYX PHARM   ONXX US 11/19/11 C37      13.5  63.7   2.35   80.8    235
ONXX   ONYX PHARM   ONXX US 11/19/11 C35      13.2  64.7   3.00   50.0    618
SPY    SPDR S&P 50  SPY US 11/19/11 C110      12.8  35.7  11.11  -10.3    898
DIA    SPDR DJIA T  DIA US 11/19/11 C107      11.7  31.6   8.50   -8.1    255
UUP    POWERSHARES  UUP US 12/17/11 C21       11.5  11.9   0.95    5.6   1398
C      CITIGROUP I  C1 US 01/21/12 C5         11.2  58.1   0.01    0.0    200
LNKD   LINKEDIN CO  LNKD US 11/19/11 C82.5    11.0  82.1   8.95   11.9    424
SPY    SPDR S&P 50  SPY US 11/19/11 C112      11.0  34.1   9.45  -11.3    676
SPY    SPDR S&P 50  SPY US 11/19/11 C113      10.5  33.5   8.71  -10.7    428

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
HOGS   ZHONGPIN IN  HOGS US 12/17/11 C7.5    -24.8  41.2   1.10   10.0    517
SIRI   SIRIUS XM R  SIRI US 12/17/11 C1      -19.2  68.4   0.73   -1.4    893
AFFX   AFFYMETRIX   AFFX US 11/19/11 P5      -17.8  70.5   0.35  -12.5    364
VXX    IPATH-S&P S  VXX US 12/17/11 P23      -16.4  83.2   0.10  -33.3    310
AAP    ADVANCE AUT  AAP US 03/17/12 C50      -16.3  39.7  12.00  -14.3    300
IVZ    INVESCO LTD  IVZ US 01/21/12 C17.5    -15.7  53.6   1.75  -30.0    347
IVZ    INVESCO LTD  IVZ US 01/21/12 P15      -14.1  61.1   1.25  -19.4   1088
SDS    PROSHARES U  SDS US 11/19/11 C18      -13.4  38.2   4.65   10.7    245
FAST   FASTENAL CO  FAST US 11/19/11 P32.5   -12.6  37.0   1.20   26.3   1552
IVZ    INVESCO LTD  IVZ US 11/19/11 P15      -11.3  63.1   0.55  -54.2   8629
FCS    FAIRCHILD S  FCS US 11/19/11 C13      -11.1  54.6   0.90   38.5   1052
FAST   FASTENAL CO  FAST US 11/19/11 C32.5   -10.5  36.9   1.85  -39.7    466
FCS    FAIRCHILD S  FCS US 11/19/11 C12      -10.5  55.2   1.55   28.1   1054
JPM    JPMORGAN CH  JPM US 11/19/11 P27      -10.2  60.9   0.73   28.1   1244
JPM    JPMORGAN CH  JPM US 11/19/11 P28      -10.2  57.9   0.93   36.8    704
JPM    JPMORGAN CH  JPM US 11/19/11 P31      -10.1  50.0   1.88   41.4  10522

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

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