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
=============================================================================
XLF    SPDR-FINL S  XLF US 12/17/11 C10       44.8  57.6   1.95   -9.3    624
QQQ    POWERSH-QQQ  QQQ US 12/30/11 C44       39.7  39.7   9.65   -7.4    207
FIO    FUSION-IO I  FIO US 12/17/11 C5        35.0 362.0  24.40  -11.6    674
C      CITIGROUP I  C1 US 01/21/12 P5         32.3  83.9   2.63    2.7    342
QQQ    POWERSH-QQQ  QQQ US 12/17/11 C46       31.4  40.8   7.70  -11.0    765
KRG    KITE REALTY  KRG US 05/19/12 P2.5      30.8  69.4   0.10    0.0    531
JNK    SPDR BARCLA  JNK US 12/17/11 C38       30.6  18.3   0.20  100.0   1556
GRPN   GROUPON INC  GRPN US 04/21/12 C14      27.7  58.9   4.30  -60.9    704
DMND   DIAMOND FOO  DMND US 12/17/11 C30      27.4 127.5   3.40  -49.2    212
FSIN   FUSHI COPPE  FSIN US 06/16/12 P7.5     24.5  54.8   1.30   23.8   1441
TRNX   TORNIER NV   TRNX US 12/17/11 P17.5    21.6  60.4   1.00  300.0    202
QQQ    POWERSH-QQQ  QQQ US 12/17/11 C47       21.1  39.5   6.65   -7.5    465
DMND   DIAMOND FOO  DMND US 12/17/11 P25      18.8 142.4   2.10  180.0   1577
EDMC   EDUCATION M  EDMC US 12/17/11 C2.5     18.6 422.2  18.60    0.5    200
DMND   DIAMOND FOO  DMND US 12/17/11 P30      18.5 131.2   4.20  147.1    447
CAST   CHINACAST E  CAST US 12/17/11 P2.5     17.6 287.2   0.20   33.3    375
GRPN   GROUPON INC  GRPN US 12/17/11 C18      17.6  99.9   1.25  -56.9    384
FIG    FORTRESS IN  FIG US 01/21/12 C2.5      17.3  66.3   0.75   -6.2    200
GRPN   GROUPON INC  GRPN US 12/17/11 P18      16.6 127.6   2.75  111.5    790
FSIN   FUSHI COPPE  FSIN US 12/17/11 P7.5     15.6  69.1   0.55    0.0    553
QQQ    POWERSH-QQQ  QQQ US 12/17/11 C48       15.2  38.0   5.82  -13.8    298
XLI    SPDR-INDU S  XLI US 12/17/11 C30       15.1  37.1   1.92  -19.7    418
COOL   MAJESCO ENT  COOL US 03/17/12 P2.5     14.8 111.1   0.50   25.0    304
EXPR   EXPRESS INC  EXPR US 12/17/11 C20      14.6  71.5   1.55   -6.1    750
DYN    DYNEGY INC   DYN US 12/17/11 P2        14.4 173.3   0.25   66.7    752
CAST   CHINACAST E  CAST US 12/17/11 C5       14.3 169.9   0.95    5.6    350
FSIN   FUSHI COPPE  FSIN US 12/17/11 C7.5     13.4  69.1   0.40    0.0    545
SPY    SPDR S&P 50  SPY US 12/17/11 C110      13.3  35.6   8.46  -13.7   1043
GRPN   GROUPON INC  GRPN US 01/21/12 P18      13.2 115.1   3.80   72.7    209
FSIN   FUSHI COPPE  FSIN US 06/16/12 C7.5     13.1  53.8   1.10    4.8   2386
FSIN   FUSHI COPPE  FSIN US 06/16/12 P5       12.6  63.0   0.25  -28.6   3205
GRPN   GROUPON INC  GRPN US 12/17/11 P15      12.6 133.4   1.30  188.9    833
DIA    SPDR DJIA T  DIA US 12/17/11 C107.75   12.3  32.5   6.85  -18.4    500
YGE    YINGLI GREE  YGE US 12/17/11 C4        12.0  93.9   0.30   50.0   3953
CEDC   CENTRAL EUR  CEDC US 06/16/12 P2       11.9 194.5   0.85   13.3    618
SPY    SPDR S&P 50  SPY US 12/17/11 C111      11.8  34.9   7.66  -15.9    701
HYG    ISH-IBOXX H  HYG US 12/17/11 C86       11.7  14.3   0.35  -12.5    582
AGNC   AMERICAN CA  AGNC US 12/17/11 C28      11.6  21.6   0.55  -21.4    296
FSLR   FIRST SOLAR  FSLR US 12/17/11 P42      11.4  84.1   3.60   -5.3    271
XLI    SPDR-INDU S  XLI US 12/17/11 C31       11.4  34.3   1.24  -23.0   1200
MCD    MCDONALDS C  MCD US 12/17/11 C87.5     11.3  22.4   4.65  -13.1    333
MMI    MOTOROLA MO  MMI US 01/21/12 C39       11.1   8.6   0.30    0.0    250
CIT    CIT GROUP I  CIT US 12/17/11 P30       11.1  45.0   1.32   25.7    553
ZIOP   ZIOPHARM ON  ZIOP US 04/21/12 C3       11.1  72.0   1.80   -2.7    304
CIT    CIT GROUP I  CIT US 12/17/11 C31       11.0  43.5   0.89  -26.4    732
XLF    SPDR-FINL S  XLF US 12/17/11 C12       10.9  42.4   0.42  -19.2    822
YHOO   YAHOO! INC   YHOO US 12/17/11 C15      10.7  58.4   0.85    6.2   1448
GILD   GILEAD SCIE  GILD US 12/17/11 P37      10.7  36.5   0.49  -18.3   3636
GRPN   GROUPON INC  GRPN US 01/21/12 P16      10.5 114.9   2.60  100.0    240
SPY    SPDR S&P 50  SPY US 12/17/11 C112      10.5  34.3   6.91  -19.2   2831
SPY    SPDR S&P 50  SPY US 12/17/11 C113      10.4  33.7   6.11  -17.9   4490
XLE    SPDR-ENERGY  XLE US 12/17/11 C63       10.3  41.5   3.55  -23.7    481
QQQ    POWERSH-QQQ  QQQ US 12/17/11 C49       10.3  36.2   4.95  -14.4    456
FRO    FRONTLINE L  FRO US 01/21/12 P2        10.2 163.2   0.30   20.0   1195
KRE    SPDR S&P RE  KRE US 12/17/11 C21       10.1  49.6   1.38  -42.3    212

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
VXX    IPATH-S&P S  VXX US 12/17/11 C30      -49.2  77.9  18.30    7.0    250
TIVO   TIVO INC     TIVO US 12/17/11 C10     -37.9  45.9   0.40  -24.5   1147
FIO    FUSION-IO I  FIO US 12/17/11 C10      -36.6 162.3  19.20  156.0    622
TIVO   TIVO INC     TIVO US 12/17/11 P10     -35.7  45.4   0.52  -45.3   1143
MNKD   MANNKIND CO  MNKD US 01/19/13 C3      -35.4  17.6   0.37    2.8   2375
P      PANDORA MED  P US 12/17/11 P10        -30.5 105.3   0.95   11.8    275
TIVO   TIVO INC     TIVO US 12/17/11 C9      -27.8  54.3   1.03   -1.0    235
TIVO   TIVO INC     TIVO US 12/17/11 P9      -27.3  53.4   0.19  -57.8   7356
BEXP   BRIGHAM EXP  BEXP US 04/21/12 P35     -26.6   5.6   0.05    0.0    500
P      PANDORA MED  P US 12/17/11 P9         -25.1 109.7   0.55    0.0    251
OLN    OLIN CORP    OLN US 01/21/12 C15      -24.8  49.9   3.28  -34.4    291
TOT    TOTAL SA-SP  TOT US 01/19/13 C30      -23.0  40.8  17.81   -5.3   1074
P      PANDORA MED  P US 03/17/12 C8         -22.6  51.1   2.75  -37.5   1066
OLN    OLIN CORP    OLN US 02/18/12 C15      -19.6  52.5   3.53    0.0    291
YGE    YINGLI GREE  YGE US 12/17/11 P4       -18.9  93.8   0.45  -35.7    707
FIO    FUSION-IO I  FIO US 12/17/11 C7.5     -18.3 258.6  21.60    0.0    630
XME    SPDR S&P ME  XME US 12/17/11 P47      -17.9  57.4   2.68   67.5   3151
TIVO   TIVO INC     TIVO US 12/17/11 P8      -17.1  67.8   0.09  -60.9   1020
BEXP   BRIGHAM EXP  BEXP US 01/21/12 P36     -17.0   3.9   0.05  -66.7    850
PWRD   PERFECT WOR  PWRD US 03/17/12 P7      -16.7  86.0   0.65   -7.1   1849
TIVO   TIVO INC     TIVO US 01/21/12 P10     -16.4  50.2   0.77  -30.6    217
PWRD   PERFECT WOR  PWRD US 03/17/12 P9      -16.2  79.0   1.50   11.1    377
PWRD   PERFECT WOR  PWRD US 03/17/12 P8      -15.8  83.7   1.00    0.0   1356
NUAN   NUANCE COMM  NUAN US 12/17/11 C23     -15.0  47.8   1.20  -11.1    237
KOG    KODIAK OIL   KOG US 01/21/12 C5       -14.2  94.9   2.90    0.0    500
NUAN   NUANCE COMM  NUAN US 12/17/11 C24     -13.8  46.9   0.70  -24.7    264
LDK    LDK SOLAR C  LDK US 12/17/11 C3       -13.6  88.5   0.35    6.1   2019
ASNA   ASCENA RETA  ASNA US 03/17/12 C25     -13.2  41.5   2.75  -31.2    700
BBD    BRADESCO-AD  BBD US 12/17/11 C15      -13.1  46.3   0.73  -42.1    375
PWRD   PERFECT WOR  PWRD US 12/17/11 P9      -12.8  78.1   0.50    0.0    550
RDN    RADIAN GROU  RDN US 12/17/11 P2       -12.8 116.6   0.25   25.0    200
BEXP   BRIGHAM EXP  BEXP US 01/18/14 P35     -12.2   3.0   0.10    0.0    300
FMCN   FOCUS MEDIA  FMCN US 12/17/11 C18     -12.0 117.0   2.05  -10.9    345
SMH    SEMICONDUCT  SMH US 01/21/12 P28.5    -11.4  36.3   1.60    6.7    264
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P18     -10.9 120.2   2.40  -11.1   1443
VXX    IPATH-S&P S  VXX US 01/21/12 C35      -10.9  75.7  14.06   11.2    278
FIO    FUSION-IO I  FIO US 12/17/11 C20      -10.4  62.0   9.60  -23.8    215
VXX    IPATH-S&P S  VXX US 03/17/12 C31      -10.2  76.6  18.70   -4.3    250
FTI    FMC TECHNOL  FTI US 12/17/11 P45      -10.2  50.5   1.80    5.9   6020
FMCN   FOCUS MEDIA  FMCN US 12/17/11 P14     -10.1 145.6   0.75  -34.8    240

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

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