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
=============================================================================
TKLC   TEKELEC      TKLC US 12/17/11 C11      63.9   6.8   0.10    0.0    534
ED     CONS EDISON  ED US 12/17/11 C60        38.0  15.6   0.55  -15.4   1080
C      CITIGROUP I  C1 US 01/21/12 P5         27.8  71.2   2.18    4.8   1000
CEDC   CENTRAL EUR  CEDC US 03/17/12 P1       22.4 203.8   0.15    0.0    380
LNG    CHENIERE EN  LNG US 12/17/11 C11       20.3 115.3   1.90   81.0   1560
LNG    CHENIERE EN  LNG US 12/17/11 P10       19.1 117.1   0.85  -22.7    291
CEDC   CENTRAL EUR  CEDC US 06/16/12 P1       16.4 180.2   0.30  100.0    853
MNKD   MANNKIND CO  MNKD US 01/19/13 C3       15.5  31.2   0.40   -4.8    227
LNG    CHENIERE EN  LNG US 12/17/11 P9        14.9 122.0   0.55  -21.4    404
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P16      14.4 188.4   1.70   30.8    272
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P14      13.7 202.1   1.25  228.9    241
GLD    SPDR GOLD T  GLD US 12/17/11 P104      13.0  70.2   0.06    0.0    445
AMT    AMERICAN TO  AMT US 12/17/11 C60       12.9  25.6   0.95   -1.0   1358
CIM    CHIMERA INV  CIM US 12/17/11 C2.5      12.6  72.3   0.20  -20.0    204
GLW    CORNING INC  GLW US 12/17/11 C14       12.6  52.3   1.69    6.3   3102
SPLS   STAPLES INC  SPLS US 12/17/11 C16      12.1  50.8   0.65    0.0    274
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P20      12.1 158.9   2.75   17.0    472
VMW    VMWARE INC-  VMW US 12/17/11 P105      12.1  40.9   5.40  -42.7    540
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P23      12.0 142.6   4.00   14.3    823
CEDC   CENTRAL EUR  CEDC US 06/16/12 P2       11.8 155.9   0.70   70.7    833
VMW    VMWARE INC-  VMW US 12/17/11 C100      11.5  43.4   6.80   33.3    694
VLO    VALERO ENER  VLO US 12/17/11 C24       11.3  56.7   1.77   -6.3    318
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P19      11.2 165.9   2.45   19.5    434
GLD    SPDR GOLD T  GLD US 12/17/11 P105      11.2  69.0   0.06   50.0    437
GLD    SPDR GOLD T  GLD US 12/17/11 P107      11.2  66.6   0.06    0.0    204
WLT    WALTER ENER  WLT US 12/17/11 P75       11.1  79.5   7.80   -3.6    213
TGT    TARGET CORP  TGT US 12/17/11 C55       10.9  25.7   0.76   -1.3    218
HLIT   HARMONIC IN  HLIT US 01/21/12 P5       10.7  64.1   0.30   20.0    511
GLD    SPDR GOLD T  GLD US 12/17/11 P101      10.7  72.4   0.06  100.0    234
GLD    SPDR GOLD T  GLD US 12/17/11 P99       10.7  74.9   0.06   20.0    733
VMW    VMWARE INC-  VMW US 12/17/11 C105      10.5  40.8   4.11   46.8    259
WLT    WALTER ENER  WLT US 12/17/11 C75       10.4  80.4   7.10   36.5    255
GLD    SPDR GOLD T  GLD US 12/17/11 P90       10.2  84.7   0.05    0.0    203
SE     SPECTRA ENE  SE US 12/17/11 C30        10.2  27.0   0.55    0.0    255
GLD    SPDR GOLD T  GLD US 12/17/11 P100      10.0  74.4   0.06  200.0    710

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1      -23.9  66.6   0.73    0.0    445
CECO   CAREER EDUC  CECO US 12/17/11 P7      -16.1  79.4   0.30  -50.0   2909
CECO   CAREER EDUC  CECO US 12/17/11 P6      -14.4  85.6   0.15  -40.0    503
HERO   HERCULES OF  HERO US 01/21/12 P2.5    -14.3  95.7   0.10   11.1   1250
SCCO   SOUTHERN CO  SCCO US 12/17/11 P32     -13.3  44.6   1.98    7.0    200
RMBS   RAMBUS INC   RMBS US 02/18/12 P11     -12.0  97.9   0.59    1.7    210
AUXL   AUXILIUM PH  AUXL US 06/16/12 P12.5   -11.3  53.4   1.10  -21.4    310

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

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