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
=============================================================================
KOG    KODIAK OIL   KOG US 03/17/12 C2.5      56.8 129.6   5.70    7.3   1020
LDK    LDK SOLAR C  LDK US 12/17/11 P3        45.2 224.4   0.68   79.0   1435
LDK    LDK SOLAR C  LDK US 12/17/11 C3        44.2  91.4   0.39  -13.3    647
TER    TERADYNE IN  TER US 04/21/12 C10       32.3  60.1   4.90   63.3    200
FSIN   FUSHI COPPE  FSIN US 12/17/11 P5       30.2 147.6   0.15  -40.0   2496
PEP    PEPSICO INC  PEP US 12/17/11 C67.5     26.7  20.6   0.85  254.2  10245
LDK    LDK SOLAR C  LDK US 12/17/11 P2        23.8 229.7   0.24   84.6  13674
CAST   CHINACAST E  CAST US 12/17/11 P2.5     23.4 199.3   0.15   50.0    410
KOG    KODIAK OIL   KOG US 12/17/11 C5        21.6 138.8   3.30   11.9   1343
HMY    HARMONY GOL  HMY US 12/17/11 P11       21.0  73.1   0.10    0.0    220
NZT    TELECOM NEW  NZT US 12/17/11 P10       21.0  33.5   0.35    0.0    200
PEP    PEPSICO INC  PEP US 12/17/11 C65       20.9  21.0   2.03   99.0   3592
PEP    PEPSICO INC  PEP US 12/17/11 P65       20.3  21.6   1.39  -22.8   2073
FSIN   FUSHI COPPE  FSIN US 06/16/12 P5       20.2  75.1   0.35  -41.7    215
OPK    OPKO HEALTH  OPK US 12/17/11 C5        19.9  53.9   0.51  -32.0    225
PEP    PEPSICO INC  PEP US 01/21/12 C67.5     18.3  19.8   1.39  117.2   2963
HS     HEALTHSPRIN  HS US 12/17/11 C55        17.2   4.7   0.05  -50.0   3010
PVR    PENN VIRGIN  PVR US 12/17/11 C25       15.4  29.1   0.40   14.3    226
PEP    PEPSICO INC  PEP US 01/21/12 C65       14.8  20.9   2.74   73.4   2298
HEK    HECKMANN CO  HEK US 12/17/11 C5        14.4  66.1   1.40    3.7    255
JOYG   JOY GLOBAL   JOYG US 12/17/11 C90      13.5  56.5   5.85   78.9    266
CMED   CHINA MEDIC  CMED US 03/17/12 C4       13.5 111.7   1.00    5.3    250
GMCR   GREEN MOUNT  GMCR US 01/21/12 P28      12.9 106.5   0.78  -22.0    403
HS     HEALTHSPRIN  HS US 03/17/12 C55        12.6   2.6   0.15    0.0  13510
BMY    BRISTOL-MYE  BMY US 12/17/11 C28       12.6  30.0   3.10  -17.8    700
AH     ACCRETIVE H  AH US 12/17/11 C25        12.3  48.0   2.15  -12.2    268
ENB    ENBRIDGE IN  ENB US 12/17/11 C35       12.0  21.7   0.50  -47.4    750
GMCR   GREEN MOUNT  GMCR US 01/21/12 P29      11.8 104.3   0.88   20.6   3442
DMND   DIAMOND FOO  DMND US 12/17/11 P25      11.6 116.0   0.60   20.0    252
BKS    BARNES & NO  BKS US 04/21/12 C12       11.3  82.9   5.50   17.0   2010
ALU    ALCATEL-LUC  ALU US 01/21/12 P1.5      11.2 100.8   0.15    0.0   5000
PEP    PEPSICO INC  PEP US 01/21/12 C62.5     10.6  22.6   4.45   36.9    208
GMCR   GREEN MOUNT  GMCR US 01/21/12 P30      10.6 102.7   0.95   11.8    798
NG     NOVAGOLD RE  NG US 12/17/11 C9         10.5  83.5   1.75  169.2    820
PEP    PEPSICO INC  PEP US 01/21/12 P62.5     10.2  22.7   1.20  -16.7    605
ACOR   ACORDA THER  ACOR US 12/17/11 C20      10.1  56.7   3.83    0.0   2600

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
UNG    US NAT GAS   UNG US 01/19/13 P8       -51.8  40.2   1.44    6.7    459
DELL   DELL INC     DELL US 12/17/11 P16     -19.8  36.1   1.05    1.0    211
DELL   DELL INC     DELL US 12/17/11 C16     -19.1  36.3   0.39  -40.0   3372
DELL   DELL INC     DELL US 12/17/11 P15     -19.0  39.1   0.50  -15.2   1236
BSDM   BSD MEDICAL  BSDM US 02/18/12 C2.5    -18.2  69.3   0.50    0.0   1114
DELL   DELL INC     DELL US 12/17/11 P14     -17.9  41.6   0.21  -25.0   2606
BWLD   BUFFALO WIL  BWLD US 12/17/11 C60     -14.3  34.4   4.10  -19.6   1461
NOG    NORTHERN OI  NOG US 12/17/11 C25      -13.6  61.0   1.50   25.0    231
BWLD   BUFFALO WIL  BWLD US 12/17/11 C65     -12.8  30.8   1.35  -37.2    918
CMED   CHINA MEDIC  CMED US 12/17/11 P4      -12.3 131.5   0.55   10.0    250
BPAX   BIOSANTE PH  BPAX US 12/17/11 C2.5    -11.8 167.1   0.45   -2.2    725
ANF    ABERCROMBIE  ANF US 12/17/11 C50      -11.0  53.3   2.23  -67.7   2276
RPTP   RAPTOR PHAR  RPTP US 12/17/11 C5      -10.4  61.9   0.30   15.4   3508
DELL   DELL INC     DELL US 01/21/12 C16     -10.3  36.1   0.68  -25.3    276
ANF    ABERCROMBIE  ANF US 12/17/11 C45      -10.2  56.8   4.95  -60.7    218

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

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