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
=============================================================================
SMH    SEMICONDUCT  SMH US 11/19/11 C30.5     75.2  30.3   1.03    8.4    224
XLY    SPDR-CONS D  XLY US 01/21/12 C34       58.6  36.2   5.45   -0.9   3274
NGD    NEW GOLD IN  NGD US 11/19/11 C11       51.4  87.8   1.24   55.0  41525
NGD    NEW GOLD IN  NGD US 11/19/11 P11       42.4  85.5   0.95   46.1   1782
NGD    NEW GOLD IN  NGD US 11/19/11 P10       41.1  88.7   0.60   71.4    649
NGD    NEW GOLD IN  NGD US 11/19/11 P9        37.6  94.3   0.30  100.0    306
NGD    NEW GOLD IN  NGD US 01/21/12 C10       32.9  80.2   2.34   41.8    587
NGD    NEW GOLD IN  NGD US 01/21/12 C11       29.7  75.5   1.75   29.6    849
EEM    ISHARES-EMG  EEM US 01/21/12 P37       27.9  39.8   2.35  -20.6    400
NGD    NEW GOLD IN  NGD US 01/21/12 P11       27.5  75.7   1.55   10.7    475
NGD    NEW GOLD IN  NGD US 01/21/12 P10       25.3  76.3   1.10   37.5    403
NGD    NEW GOLD IN  NGD US 02/18/12 P10       23.2  74.6   1.25   25.0    758
ARIA   ARIAD PHARM  ARIA US 11/19/11 C11      21.3  60.2   0.60   71.4   1342
DKS    DICK'S SPOR  DKS US 11/19/11 C32       21.2  59.7   5.80  114.8    200
BAC    BANK OF AME  BAC US 11/19/11 C4        17.2 116.7   2.80    5.3    247
PPDI   PHARM PROD   PPDI US 01/21/12 C32.5    15.4  16.3   1.40    3.7    598
C      CITIGROUP I  C1 US 01/21/12 P4         14.2  45.4   0.99   -2.9   6284
MPEL   MELCO CROWN  MPEL US 11/19/11 P8       13.7 101.3   0.25   25.0   4802
GNK    GENCO SHIPP  GNK US 11/19/11 P7        13.3 142.0   0.35  -36.4   1487
SPY    SPDR S&P 50  SPY US 11/19/11 P128      13.3  23.7   6.76    2.6    321
WLT    WALTER ENER  WLT US 11/19/11 C80       12.4  98.4   7.15   23.3    388
NEWP   NEWPORT COR  NEWP US 11/19/11 C12.5    12.3  73.9   0.75    7.1    416
WLT    WALTER ENER  WLT US 11/19/11 P70       12.3  97.2   5.10    1.0    304
MPEL   MELCO CROWN  MPEL US 11/19/11 P9       11.9  93.6   0.45   12.5    220
ALU    ALCATEL-LUC  ALU US 03/17/12 P2.5      11.9  88.4   0.50   25.0    288
SPY    SPDR S&P 50  SPY US 11/19/11 P127      11.3  24.4   6.12    0.7    539
ARIA   ARIAD PHARM  ARIA US 11/19/11 P10      11.2  63.0   0.45  -25.0   1231
IWM    ISHARES-RUS  IWM US 11/19/11 P74       10.6  35.9   4.87   -3.4   3515
NI     NISOURCE IN  NI US 01/21/12 C22.5      10.5  31.1   1.40   47.4   1536
BBEP   BREITBURN E  BBEP US 11/19/11 P17.5    10.3  36.6   1.00   -4.8    200
KMP    KINDER MORG  KMP US 11/19/11 C77.5     10.2  21.1   0.71   47.9    310
SPY    SPDR S&P 50  SPY US 11/19/11 P125      10.1  25.9   4.89   -6.0   1996

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
XME    SPDR S&P ME  XME US 11/19/11 P44      -37.4  66.1   1.32  -14.8    599
VSEA   VARIAN SEMI  VSEA US 02/18/12 P60     -31.9   7.5   0.20  -79.0    263
CVS    CVS CAREMAR  CVS US 01/21/12 C17.5    -30.8  51.9  17.55    0.0    218
VSEA   VARIAN SEMI  VSEA US 11/19/11 P60     -27.3  12.7   0.10  -77.8   1365
VSEA   VARIAN SEMI  VSEA US 01/21/12 P60     -26.3   8.1   0.25  -72.2    310
PG     PROCTER & G  PG US 01/21/12 C50       -22.3  30.3  15.00   -1.6    712
CREE   CREE INC     CREE US 11/19/11 P22.5   -21.7  79.5   1.00   -9.1   1373
CREE   CREE INC     CREE US 11/19/11 P25     -21.2  77.4   2.00    5.3    631
SVU    SUPERVALU I  SVU US 11/19/11 C8       -20.9  56.2   0.40  -42.9    239
CREE   CREE INC     CREE US 11/19/11 C25     -20.3  77.9   2.50  -43.2    224
CREE   CREE INC     CREE US 11/19/11 P17.5   -20.0  88.1   0.15  -31.8    256
CREE   CREE INC     CREE US 11/19/11 P20     -19.8  84.4   0.41  -18.0    364
AAPL   APPLE INC    AAPL US 11/19/11 P420    -18.1  31.5  21.70   22.6   1526
APOL   APOLLO GROU  APOL US 11/19/11 C49     -17.9  40.2   1.19   60.8    465
AEM    AGNICO-EAGL  AEM US 11/19/11 P32.5    -17.8  68.2   0.11  120.0    727
AAPL   APPLE INC    AAPL US 11/19/11 C420    -17.8  32.0   9.93  -50.8   8319
APH    AMPHENOL CO  APH US 01/21/12 P40      -17.7  38.3   2.15  -34.9    658
APOL   APOLLO GROU  APOL US 11/19/11 P46     -17.4  43.8   1.85  -59.3    298
JNPR   JUNIPER NET  JNPR US 11/19/11 C22     -17.3  50.0   0.81  -32.5   1481
AAPL   APPLE INC    AAPL US 11/19/11 P410    -17.2  32.5  16.25   20.8   1538
AAPL   APPLE INC    AAPL US 11/19/11 C425    -17.1  31.8   8.15  -52.8   4492
AAPL   APPLE INC    AAPL US 11/19/11 P415    -17.1  32.1  19.00   22.2    685
JNPR   JUNIPER NET  JNPR US 11/19/11 C20     -17.0  53.9   1.85  -22.9   1324
HRBN   HARBIN ELEC  HRBN US 11/19/11 P24     -16.9  34.3   1.50  -25.0    578
JNPR   JUNIPER NET  JNPR US 11/19/11 C21     -16.9  52.1   1.32  -25.0    216
AAPL   APPLE INC    AAPL US 11/19/11 P425    -16.8  31.5  25.00   23.1    483
APOL   APOLLO GROU  APOL US 11/19/11 C48     -16.6  41.3   1.92  134.2    511
APOL   APOLLO GROU  APOL US 11/19/11 P47     -16.6  42.4   2.27  -69.5    550
AAPL   APPLE INC    AAPL US 11/19/11 P405    -16.5  32.8  14.00   21.7   2394
INTC   INTEL CORP   INTC US 11/19/11 P25     -16.4  27.9   1.33  -36.4    511
AAPL   APPLE INC    AAPL US 11/19/11 C410    -16.2  32.7  14.35  -44.0   5625
HRBN   HARBIN ELEC  HRBN US 01/21/12 P19     -16.0  58.1   1.00  -28.6    400
AAPL   APPLE INC    AAPL US 11/19/11 C415    -15.8  32.4  11.95  -46.2   3270
APOL   APOLLO GROU  APOL US 11/19/11 P45     -15.7  45.4   1.59  -56.4    427
AAPL   APPLE INC    AAPL US 11/19/11 C400    -15.6  33.5  19.85  -36.5   8347
ISRG   INTUITIVE S  ISRG US 11/19/11 C420    -15.6  37.0  19.30  180.5    254
AAPL   APPLE INC    AAPL US 11/19/11 P400    -15.5  33.2  11.75   19.9   5714
AAPL   APPLE INC    AAPL US 11/19/11 C405    -15.2  33.2  16.90  -40.8   4792
APOL   APOLLO GROU  APOL US 11/19/11 P43     -15.2  48.6   0.93  -64.9    291
AAPL   APPLE INC    AAPL US 11/19/11 P395    -15.0  33.6   9.90   20.0   2428
CREE   CREE INC     CREE US 12/17/11 P25     -15.0  74.3   2.63    4.8    236
VXX    IPATH-S&P S  VXX US 01/21/12 P19      -14.9  86.7   0.16   14.3    227
APOL   APOLLO GROU  APOL US 11/19/11 P44     -14.6  47.0   1.17  -72.1    203
EEM    ISHARES-EMG  EEM US 01/21/12 P38      -14.4  38.3   2.72   -3.2    450
YHOO   YAHOO! INC   YHOO US 11/19/11 P13     -14.0  63.7   0.15  -57.1    761
AAPL   APPLE INC    AAPL US 11/19/11 P390    -13.9  34.1   8.40   19.1   2929
LLTC   LINEAR TECH  LLTC US 11/19/11 C30     -13.9  32.6   0.85  -55.0    297
APOL   APOLLO GROU  APOL US 11/19/11 P42     -13.9  50.9   0.80  -63.6    624
JNPR   JUNIPER NET  JNPR US 11/19/11 P19     -13.7  55.5   0.46  -27.0   1174
YHOO   YAHOO! INC   YHOO US 11/19/11 P16     -13.7  64.8   1.14  -29.6   1208
YHOO   YAHOO! INC   YHOO US 11/19/11 P14     -13.5  64.3   0.35  -47.0    949
VSEA   VARIAN SEMI  VSEA US 11/19/11 P55     -13.4  27.8   0.05  -80.0   1114
AAPL   APPLE INC    AAPL US 11/19/11 C395    -13.4  33.9  22.90  -35.8   1730
INTC   INTEL CORP   INTC US 11/19/11 C25     -13.3  28.3   0.42   55.6   7697
AAPL   APPLE INC    AAPL US 11/19/11 P385    -13.2  34.6   7.00   19.7   2648
RRR    RSC HOLDING  RRR US 12/17/11 C10      -13.0  63.8   1.00   25.0    205
CREE   CREE INC     CREE US 12/17/11 P15     -12.9  87.1   0.18   -5.3    303
AAPL   APPLE INC    AAPL US 11/19/11 C385    -12.8  34.9  29.58  -30.6   1162
YHOO   YAHOO! INC   YHOO US 11/19/11 C16     -12.7  65.6   1.26   12.5   5042
YHOO   YAHOO! INC   YHOO US 11/19/11 P15     -12.7  65.5   0.69  -36.1   1171
JNPR   JUNIPER NET  JNPR US 11/19/11 P18     -12.5  58.8   0.27  -12.9    478
JNK    SPDR BARCLA  JNK US 11/19/11 C38      -12.4  11.2   0.40   14.3    546
AAPL   APPLE INC    AAPL US 11/19/11 C380    -12.3  35.4  33.60  -28.6   1470
INFN   INFINERA CO  INFN US 01/21/12 P7.5    -12.3  63.4   1.00   11.1    448
HRBN   HARBIN ELEC  HRBN US 12/17/11 P19     -12.1  74.3   1.00  -13.0   2196
AAPL   APPLE INC    AAPL US 11/19/11 C390    -11.9  34.4  26.20  -32.8   1800
APOL   APOLLO GROU  APOL US 11/19/11 P41     -11.8  53.5   0.57  -70.0    321
INTC   INTEL CORP   INTC US 11/19/11 C24     -11.7  29.3   0.87   50.0   9768
AUXL   AUXILIUM PH  AUXL US 03/17/12 C15     -11.1  49.2   3.00   -3.2    350
INTC   INTEL CORP   INTC US 11/19/11 P23     -11.1  31.1   0.42  -51.2   6373
AAPL   APPLE INC    AAPL US 11/19/11 P365    -11.0  36.9   3.15   16.7   1358
C      CITIGROUP I  C1 US 01/21/12 P5        -11.0  48.9   1.95   -4.4   1143
SVU    SUPERVALU I  SVU US 01/21/12 C7.5     -10.9  56.6   0.95  -32.1    449
HRBN   HARBIN ELEC  HRBN US 11/19/11 C24     -10.6  15.6   0.05  -50.0    870
HRBN   HARBIN ELEC  HRBN US 03/17/12 P18     -10.6  54.2   1.05  -34.4    200
SVU    SUPERVALU I  SVU US 01/21/12 P7.5     -10.6  57.7   0.79    5.3    669
AAPL   APPLE INC    AAPL US 12/17/11 P420    -10.5  32.2  27.96   22.1    457
YHOO   YAHOO! INC   YHOO US 01/21/12 C15     -10.4  56.9   2.41   11.1    582
HRBN   HARBIN ELEC  HRBN US 12/17/11 C24     -10.4  13.4   0.10    0.0    287
TXT    TEXTRON INC  TXT US 11/19/11 P17      -10.4  49.9   0.31  -43.6    522
AAPL   APPLE INC    AAPL US 12/17/11 P410    -10.1  32.8  22.50   22.9    548
HGSI   HUMAN GENOM  HGSI US 11/19/11 C14     -10.1 113.7   1.70   13.3    745
HRBN   HARBIN ELEC  HRBN US 11/19/11 P19     -10.1  98.1   0.93  -28.5    836

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

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