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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
=============================================================================
VXX    IPATH-S&P S  VXX US 12/17/11 C30       72.7  83.0  14.30    0.7    500
DRYS   DRYSHIPS IN  DRYS US 01/21/12 C1       65.2 169.5   1.74   -5.4    237
ETE    ENERGY TRAN  ETE US 12/17/11 C35       58.7  41.0   3.50   32.1    500
OVTI   OMNIVISION   OVTI US 12/17/11 C13      57.1  91.1   2.50  -30.6    401
CRUS   CIRRUS LOGI  CRUS US 01/21/12 C12.5    38.4  64.9   5.20    6.1    543
USB    US BANCORP   USB US 01/19/13 C12.5     36.4  56.6  13.50    0.8   2003
AMGN   AMGEN INC    AMGN US 12/17/11 P60      34.8  21.7   3.25  -43.0   1585
CRNT   CERAGON NET  CRNT US 12/17/11 C7.5     30.7  62.7   2.45  -21.0    208
AMT    AMERICAN TO  AMT US 01/21/12 C50       27.3  41.2   9.00   -1.1    800
FRPT   FORCE PROTE  FRPT US 12/17/11 C4       20.3  66.8   1.45  383.3    763
OCR    OMNICARE IN  OCR US 12/17/11 P29       19.2  48.5   1.30   18.2   2562
PZG    PARAMOUNT G  PZG US 12/17/11 C2.5      16.9 100.3   0.65    8.3    205
OCZ    OCZ TECHNOL  OCZ US 03/17/12 C5        14.5  62.6   3.61    0.3    320
PGR    PROGRESSIVE  PGR US 02/18/12 C16       13.9  41.7   2.96   20.8    410
TSLA   TESLA MOTOR  TSLA US 01/21/12 C30      13.2  48.3   3.50   12.9    349
VC     VISTEON COR  VC US 12/17/11 C60        11.4  45.1   2.25  -10.0    210
ERF    ENERPLUS CO  ERF US 01/21/12 C29       11.2  28.6   1.10    0.0    215
OCZ    OCZ TECHNOL  OCZ US 12/17/11 C7.5      10.6  78.3   1.45    3.6    240

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
TKLC   TEKELEC      TKLC US 05/19/12 P10     -77.2  13.2   0.10  -94.1    705
SDS    PROSHARES U  SDS US 12/17/11 C16      -46.4  23.1   4.30    6.2    210
XYL    XYLEM INC    XYL US 01/21/12 C25      -27.6  32.6   1.50  -50.0    490
NPSP   NPS PHARM I  NPSP US 12/17/11 P5      -23.5  70.6   0.25  -44.4    210
DISH   DISH NETWOR  DISH US 12/17/11 C25     -17.9  42.0   1.05    5.0    280
OPEN   OPENTABLE I  OPEN US 12/17/11 C37.5   -17.0  55.1   4.30  -21.8    631
EV     EATON VANCE  EV US 12/17/11 P22.5     -16.6  50.3   0.50    0.0    453
FMCN   FOCUS MEDIA  FMCN US 04/21/12 P5      -16.5 131.6   0.10  -60.0    224
ALU    ALCATEL-LUC  ALU US 12/17/11 P2       -15.9  79.8   0.20   33.3    200
ITG    INVESTMENT   ITG US 01/21/12 C10      -15.1  51.5   1.70    6.2    223
VXX    IPATH-S&P S  VXX US 12/17/11 P43      -14.8  95.5   5.00   -5.7    262
DISH   DISH NETWOR  DISH US 12/17/11 P25     -14.2  43.4   1.60  -39.6    260
WEN    WENDY'S CO/  WEN US 12/17/11 C5       -14.0  39.4   0.60    9.1   1106
SONS   SONUS NETWO  SONS US 01/21/12 C2.5    -13.5  53.7   0.35  -12.5   1783
OPEN   OPENTABLE I  OPEN US 12/17/11 C40     -12.3  52.9   2.85  -36.0    701
TSM    TAIWAN SEMI  TSM US 12/17/11 C12.5    -12.0  28.0   0.70  -12.5    701
EXEL   EXELIXIS IN  EXEL US 12/17/11 P4      -11.7  69.7   0.35   16.7   2047
DISH   DISH NETWOR  DISH US 01/21/12 P24     -10.7  42.9   1.55  -31.1    418
AMCC   APPLIED MIC  AMCC US 12/17/11 C7.5    -10.4  51.8   0.40  -20.0    290

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

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