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
=============================================================================
WEN    WENDY'S CO/  WEN US 12/17/11 C5        42.0  46.8   0.60    9.1   1427
TOL    TOLL BROTHE  TOL US 01/21/12 C15       36.1  50.8   4.10   28.1    407
TIF    TIFFANY & C  TIF US 01/21/12 C50       34.4  65.2  28.00   -7.3   1085
FRPT   FORCE PROTE  FRPT US 12/17/11 C2       29.5 188.7   3.50    0.0    900
ALXA   ALEXZA PHAR  ALXA US 12/17/11 P1       26.9 197.5   0.15  -25.0    261
AMLN   AMYLIN PHAR  AMLN US 01/21/12 C9       22.0  81.8   1.39  -59.1    588
SPXU   PROSHARES U  SPXU US 06/16/12 P12      21.0  91.3   2.40    4.3    810
AMLN   AMYLIN PHAR  AMLN US 01/21/12 P9       20.9  79.8   1.17  192.5    296
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P18      16.4 132.3   1.15   15.0   2640
WEN    WENDY'S CO/  WEN US 01/21/12 C5        16.4  44.2   0.65   -7.1    387
UUP    POWERSHARES  UUP US 12/17/11 P21       15.4  12.0   0.09   28.6    200
LQD    ISHARES-IBO  LQD US 12/17/11 P109      15.2  12.1   0.05  -70.6   1000
MDR    MCDERMOTT I  MDR US 12/17/11 C12       14.5  78.1   1.11   23.3    535
CKP    CHECKPOINT   CKP US 12/17/11 P12.5     13.7  57.8   1.10   37.5    377
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P24      13.5 101.2   2.70   38.5    436
AMLN   AMYLIN PHAR  AMLN US 12/17/11 P8       13.5  88.2   0.52    0.0    258
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P20      13.4 120.6   1.56    4.0    222
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P7       13.3 102.4   1.24   55.0   1040
HCA    HCA HOLDING  HCA US 12/17/11 C20       12.6  55.5   4.40   10.0    500
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P21      12.5 117.3   1.85   68.2   1322
AMGN   AMGEN INC    AMGN US 12/17/11 C60      11.9  20.9   0.63  -13.7   3313
FOE    FERRO CORP   FOE US 12/17/11 C5        11.9 102.5   2.15   -0.5    578
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P22      11.7 108.7   2.05   64.0    576
RMBS   RAMBUS INC   RMBS US 02/18/12 C12      11.7 101.7   6.80    4.6    467
KOL    MKT VECT-CO  KOL US 04/21/12 C40       10.8  43.6   5.00   51.5    427
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P6       10.7 105.3   0.91   35.8   9078
MTG    MGIC INVT C  MTG US 12/17/11 C2.5      10.5 152.7   0.95   30.1    205

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
TRGT   TARGACEPT I  TRGT US 12/17/11 P7.5    -64.6  88.5   0.55   -8.3   1477
XME    SPDR S&P ME  XME US 12/17/11 P50      -42.8  59.7   1.49  -18.6   1856
TRGT   TARGACEPT I  TRGT US 02/18/12 P7.5    -40.2 108.5   1.40   64.7    303
TKLC   TEKELEC      TKLC US 05/19/12 P11     -30.4   7.8   0.15  -40.0    308
FRPT   FORCE PROTE  FRPT US 12/17/11 C3      -28.1  82.6   2.50    0.0    900
PCLN   PRICELINE.C  PCLN US 12/17/11 C535    -22.3  41.1  28.70    9.5    253
VXX    IPATH-S&P S  VXX US 12/17/11 C20      -20.4 120.2  22.45   -4.9    332
DYN    DYNEGY INC   DYN US 12/17/11 P2       -20.1 216.7   0.20  -55.6   4659
FOSL   FOSSIL INC   FOSL US 12/17/11 P80     -18.3  68.0   3.30   -5.7    215
FOSL   FOSSIL INC   FOSL US 12/17/11 P85     -18.2  65.0   5.00   11.1    472
TRGT   TARGACEPT I  TRGT US 05/19/12 C7.5    -18.1 103.4   2.65    0.0   1082
TKLC   TEKELEC      TKLC US 05/19/12 P10     -17.9  12.4   0.07   40.0    350
PFE    PFIZER INC   PFE US 01/19/13 C10      -17.1  45.4   9.90   -1.5    328
E      ENI SPA-ADR  E US 12/17/11 P45        -16.0  34.7   2.50  -19.4    200
PCLN   PRICELINE.C  PCLN US 12/17/11 P470    -16.0  46.3   7.60  -59.8    273
WMS    WMS INDS IN  WMS US 01/21/12 P17.5    -15.7  55.6   1.20   71.4    291
RAX    RACKSPACE H  RAX US 12/17/11 C44      -15.3  45.2   2.35   30.6    565
PXD    PIONEER NAT  PXD US 12/17/11 C80      -14.8  52.5  10.30  -32.2    508
DRYS   DRYSHIPS IN  DRYS US 12/17/11 C3      -14.2  71.5   0.23   15.0    492
C      CITIGROUP I  C1 US 01/21/12 C4.5      -13.4  46.1   0.01  -50.0    397
XOM    EXXON MOBIL  XOM US 01/21/12 C50      -13.0  54.0  28.95   -1.2   1005
PCLN   PRICELINE.C  PCLN US 12/17/11 P425    -13.0  50.8   2.65  -67.6    355
JEF    JEFFERIES G  JEF US 12/17/11 P6       -12.8 149.5   0.15  -25.0   3001
GTAT   GT ADVANCED  GTAT US 12/17/11 P7.5    -12.4  87.4   0.70   27.3    204
ETP    ENERGY TRAN  ETP US 12/17/11 P40      -11.5  30.4   0.35   40.0    420
TIVO   TIVO INC     TIVO US 02/18/12 C10     -11.3  52.2   1.83   -2.1   1725
YHOO   YAHOO! INC   YHOO US 01/21/12 P10     -10.7  54.9   0.04  -50.0    964
HL     HECLA MININ  HL US 12/17/11 C6        -10.5  60.3   0.99    1.0   3048
JNS    JANUS CAPIT  JNS US 12/17/11 P6       -10.4  51.1   0.20  -42.9    721
EK     EASTMAN KOD  EK US 12/17/11 P1        -10.1 155.1   0.13  -13.3   1217

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

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