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
=============================================================================
BEXP   BRIGHAM EXP  BEXP US 12/17/11 C36      51.4   8.2   0.45  -10.0    300
GRPN   GROUPON INC  GRPN US 04/21/12 C17      50.5  35.3   4.40  -49.4    273
BEXP   BRIGHAM EXP  BEXP US 04/21/12 P36      48.0   3.5   0.15  200.0    350
CIM    CHIMERA INV  CIM US 06/16/12 C2        42.8  60.0   0.70    0.0    200
SWS    SWS GROUP I  SWS US 12/17/11 C5        38.5  88.8   0.70    0.0    822
GRPN   GROUPON INC  GRPN US 12/17/11 C20      37.6  54.7   1.80  -53.9    553
SFL    SHIP FINANC  SFL US 05/19/12 P10       34.3  76.7   1.85  184.6   1593
BEXP   BRIGHAM EXP  BEXP US 12/17/11 P36      32.9   7.0   0.10  100.0    263
BEXP   BRIGHAM EXP  BEXP US 01/18/14 P35      32.0   3.6   0.10  100.0   1000
C      CITIGROUP I  C1 US 01/21/12 P4         31.7  68.8   1.56    3.3    300
SFL    SHIP FINANC  SFL US 02/18/12 P10       30.2  89.0   1.30  116.7    476
HS     HEALTHSPRIN  HS US 12/17/11 C55        27.1   5.1   0.15    0.0   2387
BEXP   BRIGHAM EXP  BEXP US 01/21/12 C35      26.2  10.4   1.46   -2.7    210
SFL    SHIP FINANC  SFL US 05/19/12 P7.5      25.5  89.3   0.75   66.7   1104
SPPI   SPECTRUM PH  SPPI US 12/17/11 P13      22.5  69.6   0.85   -3.4    429
LNKD   LINKEDIN CO  LNKD US 12/17/11 C40      21.6 107.8  28.60    4.8    300
LRN    K12 INC      LRN US 12/17/11 P22.5     21.5  80.0   1.05  -41.7    362
ETP    ENERGY TRAN  ETP US 12/17/11 P45       20.5  19.6   1.60    0.0    224
FRX    FOREST LABS  FRX US 12/17/11 C30       19.4  32.1   0.65   62.5   4387
BEXP   BRIGHAM EXP  BEXP US 01/21/12 P35      18.7   9.1   0.05    0.0    500
SPPI   SPECTRUM PH  SPPI US 12/17/11 P12      17.9  72.9   0.50   11.1    330
ENDP   ENDO PHARMA  ENDP US 12/17/11 P30      17.3  65.3   1.10   22.2   7752
KGC    KINROSS GOL  KGC US 12/17/11 C11       16.6  59.4   2.08   49.6   2023
GMCR   GREEN MOUNT  GMCR US 12/17/11 P37      16.2 104.4   0.83   84.4    239
KGC    KINROSS GOL  KGC US 12/17/11 P12       15.4  53.2   0.34  -27.7    598
VPHM   VIROPHARMA   VPHM US 12/17/11 P22.5    15.1  48.6   1.15   27.8    343
KGC    KINROSS GOL  KGC US 12/17/11 C12       14.5  53.9   1.17   44.4    527
GMCR   GREEN MOUNT  GMCR US 12/17/11 P38      14.3 102.8   0.91  139.5    228
SPPI   SPECTRUM PH  SPPI US 12/17/11 C13      14.2  67.9   0.95   31.9    258
GMCR   GREEN MOUNT  GMCR US 12/17/11 P40      13.9 100.5   1.34  127.1   1511
GMCR   GREEN MOUNT  GMCR US 12/17/11 P35      13.7 106.6   0.52  160.0    421
GMCR   GREEN MOUNT  GMCR US 12/17/11 P44      12.9  96.4   2.35   94.2    383
GMCR   GREEN MOUNT  GMCR US 12/17/11 P41      12.7  99.2   1.47  107.0    237
GMCR   GREEN MOUNT  GMCR US 12/17/11 P46      12.5  94.4   3.09   75.6    818
CLWR   CLEARWIRE -  CLWR US 12/17/11 P1.5     12.4 226.1   0.30    0.0    382
GMCR   GREEN MOUNT  GMCR US 12/17/11 P43      12.4  97.1   2.11  108.9    256
GMCR   GREEN MOUNT  GMCR US 12/17/11 P45      12.4  95.4   2.69   85.5    523
FAF    FIRST AMERI  FAF US 12/17/11 P10       12.2  57.9   0.15   50.0    683
VPHM   VIROPHARMA   VPHM US 12/17/11 C22.5    12.0  47.8   1.00    0.0   1000
GMCR   GREEN MOUNT  GMCR US 12/17/11 P47      11.8  93.9   3.50   67.5    536
KGC    KINROSS GOL  KGC US 12/17/11 C13       11.8  52.4   0.60   76.5   2665
NMR    NOMURA HLDG  NMR US 12/17/11 P2.5      11.8 103.0   0.10    0.0    522
GMCR   GREEN MOUNT  GMCR US 12/17/11 C50      11.4  91.0   4.60  -24.0    585
GMCR   GREEN MOUNT  GMCR US 12/17/11 P49      10.8  92.2   4.35   59.9    704
NLY    ANNALY CAPI  NLY US 01/21/12 C12.5     10.7  42.7   3.45  -10.4    345
HLIT   HARMONIC IN  HLIT US 12/17/11 C5       10.5  64.4   0.35  -36.4    972
ANR    ALPHA NATUR  ANR US 12/17/11 C21       10.5  91.8   1.68  -19.6    914
GMCR   GREEN MOUNT  GMCR US 12/17/11 P48      10.5  92.6   3.95   69.5    663
GMCR   GREEN MOUNT  GMCR US 12/17/11 P50      10.1  91.9   4.95   54.7   1704
MU     MICRON TECH  MU US 12/17/11 C6         10.1  73.0   0.55   17.0   9793

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
FRO    FRONTLINE L  FRO US 01/21/12 P2       -41.5 140.1   0.25    0.0    203
KRG    KITE REALTY  KRG US 05/19/12 P2.5     -40.3  59.1   0.10  -33.3   1000
OSG    OVERSEAS SH  OSG US 12/17/11 C9       -36.3  98.4   1.50    0.0    200
BRCD   BROCADE COM  BRCD US 12/17/11 C5      -35.5  54.6   0.26   18.2   1151
CPB    CAMPBELL SO  CPB US 12/17/11 P30      -31.7  24.2   0.25   92.3    211
BRCD   BROCADE COM  BRCD US 12/17/11 P4.5    -28.8  65.5   0.14  -67.4    423
PSS    COLLECTIVE   PSS US 12/17/11 P12      -27.3  62.5   0.80   45.5    480
FRO    FRONTLINE L  FRO US 12/17/11 P3       -27.0 127.2   0.40    0.0    243
STP    SUNTECH POW  STP US 12/17/11 C2       -27.0  75.5   0.44   10.0   1350
OSG    OVERSEAS SH  OSG US 12/17/11 C10      -26.8  94.8   0.95    0.0    200
JBLU   JETBLUE AIR  JBLU US 12/17/11 C3      -25.4  54.9   0.60  -20.0    228
HPQ    HEWLETT-PAC  HPQ US 12/17/11 P26      -25.1  44.5   1.37    3.0   2550
EP     EL PASO COR  EP US 04/21/12 C24       -24.9  24.3   1.75    0.0    500
HPQ    HEWLETT-PAC  HPQ US 12/17/11 C26      -24.4  45.6   1.07  -48.1   3929
LDK    LDK SOLAR C  LDK US 12/17/11 P2       -24.0 208.3   0.19  -45.7    908
HPQ    HEWLETT-PAC  HPQ US 12/17/11 P25      -23.6  47.3   0.94   -2.1   1800
HPQ    HEWLETT-PAC  HPQ US 12/17/11 C25      -23.5  47.5   1.62  -40.0   1568
BRCD   BROCADE COM  BRCD US 12/17/11 P5      -23.3  58.6   0.34  -54.0    450
HPQ    HEWLETT-PAC  HPQ US 12/17/11 C27      -23.2  44.9   0.66  -57.7   3953
BRCD   BROCADE COM  BRCD US 12/17/11 C4.5    -23.1  67.4   0.60   39.5    524
LDK    LDK SOLAR C  LDK US 12/17/11 P1       -22.9 303.1   0.09  -10.0    336
HPQ    HEWLETT-PAC  HPQ US 12/17/11 P24      -22.3  49.4   0.60   -7.7    567
FRO    FRONTLINE L  FRO US 01/21/12 P3       -21.9 120.3   0.60  200.0    214
CIM    CHIMERA INV  CIM US 03/17/12 C2.5     -21.4  44.0   0.30    0.0    500
HPQ    HEWLETT-PAC  HPQ US 12/17/11 P23      -21.2  51.8   0.38  -17.4   1712
CHS    CHICO'S FAS  CHS US 12/17/11 P10      -21.1  51.6   0.75  400.0    568
LNG    CHENIERE EN  LNG US 12/17/11 C11      -20.9  94.0   1.55   -6.1   1931
LDK    LDK SOLAR C  LDK US 12/17/11 C1       -20.8 187.5   1.77   -5.8    347
LNG    CHENIERE EN  LNG US 12/17/11 C12      -20.4  93.2   1.00  -16.7   2743
EPI    WISDOMTREE   EPI US 12/17/11 C17      -19.9  32.7   0.40  -11.1    547
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P14     -19.9 169.4   1.50  -36.2   5030
FIO    FUSION-IO I  FIO US 12/17/11 P30      -19.8  79.0   1.50   25.0    478
LNG    CHENIERE EN  LNG US 12/17/11 P11      -19.5  95.7   0.80  -27.3    322
GDX    MKT VECT-GO  GDX US 01/21/12 C30      -19.4  82.8  26.60  -16.9    235
FMCN   FOCUS MEDIA  FMCN US 12/17/11 C16     -19.4 153.4   3.10   10.7    491
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5     -19.0  73.2   0.48  -17.2    210
MRK    MERCK & CO   MRK US 01/18/14 C25      -19.0  33.0   9.53    0.3    740
HPQ    HEWLETT-PAC  HPQ US 12/17/11 P22      -18.9  55.2   0.25  -16.7    319
FIO    FUSION-IO I  FIO US 12/17/11 P25      -18.8  87.1   0.50   25.0    721
TSL    TRINA SOLAR  TSL US 12/17/11 P5       -18.7 117.4   0.27  -18.2   1361
FIO    FUSION-IO I  FIO US 12/17/11 C30      -18.6  65.8   3.60  -49.3    313
TSL    TRINA SOLAR  TSL US 12/17/11 P6       -18.6 104.0   0.59  -14.5    279
FMCN   FOCUS MEDIA  FMCN US 12/17/11 C14     -18.4 170.5   4.40   10.0    202
LNG    CHENIERE EN  LNG US 12/17/11 P10      -18.1  99.7   0.42  -44.0    287
FIO    FUSION-IO I  FIO US 12/17/11 C20      -17.9  80.8  12.40  -23.9    220
LNG    CHENIERE EN  LNG US 12/17/11 P9       -17.8 103.9   0.25  -44.4    427
EPI    WISDOMTREE   EPI US 12/17/11 P16      -17.7  38.5   0.40  -33.3    208
FRO    FRONTLINE L  FRO US 05/19/12 P2       -17.3 122.9   0.45  350.0    901
PSS    COLLECTIVE   PSS US 01/21/12 P10      -17.3  65.7   0.40   60.0   1026
ADI    ANALOG DEVI  ADI US 12/17/11 C34      -17.2  36.7   0.75  -54.5    545
FRO    FRONTLINE L  FRO US 01/18/14 P3       -17.1  70.9   1.80   71.4    231
TRH    TRANSATLANT  TRH US 12/17/11 P55      -17.0  13.3   0.60  -40.0    400
CPB    CAMPBELL SO  CPB US 12/17/11 P32      -17.0  20.2   0.95  375.0    347
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P15     -16.4 163.2   1.80  -34.1   5356
SIRI   SIRIUS XM R  SIRI US 03/17/12 C1      -16.3  70.1   0.85   -5.6   2011
FRO    FRONTLINE L  FRO US 12/17/11 C3       -16.2 127.5   0.45    0.0    277
MFN    MINEFINDERS  MFN US 12/17/11 C11      -16.1  49.6   0.65    0.0   1899
CSTR   COINSTAR IN  CSTR US 12/17/11 C37.5   -15.8  59.3   5.20    0.0    200
NOK    NOKIA CORP-  NOK US 12/17/11 C4       -15.7  75.9   1.64  -20.8    260
QQQ    POWERSH-QQQ  QQQ US 12/17/11 C45      -15.3  42.3   9.09   -5.7    266
EXPE   EXPEDIA INC  EXPE US 01/21/12 C26     -15.2  34.5   1.60  -26.3    909
BRCD   BROCADE COM  BRCD US 01/21/12 P4.5    -15.1  67.8   0.37  -35.1    217
CHS    CHICO'S FAS  CHS US 12/17/11 C10      -15.0  54.4   0.40  -76.5    270
FMCN   FOCUS MEDIA  FMCN US 01/21/12 P12.5   -14.9 152.3   1.85  -24.5    739
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P17     -14.9 151.2   2.70  -30.8   1167
LNG    CHENIERE EN  LNG US 01/21/12 C10      -14.7  98.0   2.80    1.8    280
RIMM   RESEARCH IN  RIMM US 01/19/13 P3      -14.5  91.6   0.10  -37.5    210
LNG    CHENIERE EN  LNG US 01/21/12 C12      -13.9  94.3   1.70   -5.6   1770
BRCD   BROCADE COM  BRCD US 01/21/12 P4      -13.8  71.3   0.18  -47.1    357
EPI    WISDOMTREE   EPI US 12/17/11 C16      -13.5  40.4   1.00    0.0    690
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P16     -13.4 158.1   2.20  -33.3   1204
BRCD   BROCADE COM  BRCD US 01/21/12 C5      -13.4  62.3   0.47   42.4    446
HPQ    HEWLETT-PAC  HPQ US 01/21/12 C25      -13.3  46.3   2.24  -31.1    409
EXPE   EXPEDIA INC  EXPE US 01/21/12 C25     -13.3  35.9   2.10  -35.6    922
MDT    MEDTRONIC I  MDT US 12/17/11 C36      -13.2  26.3   0.35   59.1    293
HPQ    HEWLETT-PAC  HPQ US 01/21/12 P27      -12.8  43.2   2.55   10.4    323
FMCN   FOCUS MEDIA  FMCN US 12/17/11 C17     -12.7 150.6   2.60    8.3    607
HPQ    HEWLETT-PAC  HPQ US 01/21/12 C26      -12.6  44.9   1.65  -35.5    280
HPQ    HEWLETT-PAC  HPQ US 01/21/12 P26      -12.6  44.4   2.00    8.7    603
FMCN   FOCUS MEDIA  FMCN US 01/21/12 P14     -12.5 147.3   2.60  -25.7    310
MDT    MEDTRONIC I  MDT US 12/17/11 C35      -12.3  27.6   0.72   56.5    326
HPQ    HEWLETT-PAC  HPQ US 01/21/12 P24      -12.3  47.6   1.20    6.2   1153
HPQ    HEWLETT-PAC  HPQ US 01/21/12 C27      -12.2  43.6   1.25  -37.5   1277
EXEL   EXELIXIS IN  EXEL US 05/19/12 P3      -12.1  80.3   0.20    0.0   3000
NFLX   NETFLIX INC  NFLX US 12/17/11 P40     -12.1 102.9   0.08  -42.9    308
CHS    CHICO'S FAS  CHS US 01/21/12 C10      -11.9  50.8   0.65  -65.8    290
FMCN   FOCUS MEDIA  FMCN US 01/21/12 P10     -11.9 168.2   1.25  -28.6    377
WLT    WALTER ENER  WLT US 12/17/11 P65      -11.9  64.2   3.50    1.7   1927
LDK    LDK SOLAR C  LDK US 12/17/11 C2       -11.8 105.4   0.85   -6.6    990
EXEL   EXELIXIS IN  EXEL US 05/19/12 P4      -11.7  73.4   0.70  -17.6    869
HPQ    HEWLETT-PAC  HPQ US 01/21/12 C24      -11.6  48.1   2.84  -27.0    239
IFF    INTL FLVR &  IFF US 12/17/11 C55      -11.6  23.6   0.50  -16.7    500
BRCD   BROCADE COM  BRCD US 01/21/12 P5      -11.3  63.4   0.50  -38.3    450
PWER   POWER-ONE I  PWER US 01/21/12 C4      -11.2  87.3   1.15  -28.1    200
HPQ    HEWLETT-PAC  HPQ US 01/21/12 P22.5    -11.2  50.8   0.73  -11.0    201
CTRP   CTRIP.COM-A  CTRP US 12/17/11 P26     -11.2  50.9   1.30  -42.2    346
CIGX   STAR SCIENT  CIGX US 01/19/13 C2      -10.9  87.5   0.95   -9.5    300
DUK    DUKE ENERGY  DUK US 01/21/12 C19      -10.6  20.4   1.15   -8.0   3188
MDT    MEDTRONIC I  MDT US 12/17/11 P34      -10.5  29.3   0.83  -46.5    237
NFLX   NETFLIX INC  NFLX US 12/17/11 P42.5   -10.5 102.6   0.15  -28.6    211
WLT    WALTER ENER  WLT US 12/17/11 P60      -10.3  66.1   1.73   -2.8    259
SPRD   SPREADTRUM-  SPRD US 12/17/11 P18     -10.3 113.9   0.50  -37.5    420
S      SPRINT NEXT  S US 12/17/11 P2.5       -10.1  61.1   0.14    7.7   1146
SPRD   SPREADTRUM-  SPRD US 12/17/11 P25     -10.1  93.5   2.60  -16.1    375
HPQ    HEWLETT-PAC  HPQ US 01/21/12 P21      -10.0  54.6   0.52   -1.9    458

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

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