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
=============================================================================
FAS    FINL BULL 3  FAS1 US 01/21/12 P10     205.4 368.4   1.60   -5.3    400
FAS    FINL BULL 3  FAS1 US 01/21/12 P9      180.3 355.4   1.10  -27.1    551
FOE    FERRO CORP   FOE US 12/17/11 C5        48.1 139.2   0.85   88.9   3203
LNKD   LINKEDIN CO  LNKD US 12/17/11 C37.5    39.9 101.0  20.13    1.7    283
TAOM   TAOMEE HOLD  TAOM US 12/17/11 P5       37.0 158.7   0.60    9.1    347
SHLD   SEARS HOLDI  SHLD US 12/17/11 C35      35.3 106.0  23.15    4.5    612
FOE    FERRO CORP   FOE US 01/21/12 P5        29.2 118.0   0.65  -13.3    229
FIO    FUSION-IO I  FIO US 12/17/11 P30       28.2 105.0   1.80    2.9   2754
VRA    VERA BRADLE  VRA US 12/17/11 P35       26.7  85.5   3.00   71.4    472
FIO    FUSION-IO I  FIO US 12/17/11 P25       23.6 109.1   0.40   33.3   2136
FOE    FERRO CORP   FOE US 01/21/12 C5        22.9 121.3   1.15   53.3    498
GG     GOLDCORP IN  GG US 12/17/11 C43        20.5  48.4   6.70  -21.6    500
LDK    LDK SOLAR C  LDK US 12/17/11 C2        19.6 137.8   1.57   10.6    977
FIO    FUSION-IO I  FIO US 12/17/11 C30       18.6  86.0   3.80   52.0    918
LCC    US AIRWAYS   LCC US 12/17/11 C4        18.6  91.1   0.69   43.8    748
ALU    ALCATEL-LUC  ALU US 06/16/12 P1        18.2 110.4   0.15    0.0   2405
LCC    US AIRWAYS   LCC US 12/17/11 P4        16.9  91.3   0.10  -41.2    216
NGD    NEW GOLD IN  NGD US 12/17/11 C8        16.8  83.8   2.55   52.7    305
SGEN   SEATTLE GEN  SGEN US 12/17/11 P15      16.3  74.2   0.70   27.3   1080
UAL    UNITED CONT  UAL US 12/17/11 P18       15.1  56.2   1.10  -34.5    423
TOL    TOLL BROTHE  TOL US 12/17/11 C17       14.4  55.3   2.20   10.0    354
FTI    FMC TECHNOL  FTI US 12/17/11 P42.5     13.8  60.5   0.35  -12.5    887
VXX    IPATH-S&P S  VXX US 12/17/11 C40       13.7  80.2   7.10   -2.7    388
UAL    UNITED CONT  UAL US 12/17/11 C17       13.5  58.8   1.20  110.5    383
DAL    DELTA AIR L  DAL US 12/17/11 C7        12.7  57.4   0.97   76.4    410
NGD    NEW GOLD IN  NGD US 12/17/11 C10       12.7  71.9   0.85   70.0    425
BJRI   BJ'S RESTAU  BJRI US 12/17/11 C45      12.7  49.2   3.20   60.0    500
PM     PHILIP MORR  PM US 12/17/11 C72.5      12.7  25.3   3.15   75.0    584
CEDC   CENTRAL EUR  CEDC US 12/17/11 P2.5     12.6 241.7   0.15  -25.0  16897
OIH    OIL SVC HLD  OIH US 12/17/11 C110      11.9  53.4  10.59   13.9    488
UAL    UNITED CONT  UAL US 12/17/11 C15       11.9  66.3   2.98   48.3   1450
QQQ    POWERSH-QQQ  QQQ US 12/17/11 C50       11.9  36.7   4.96    1.2    754
PM     PHILIP MORR  PM US 12/17/11 P70        11.7  29.3   0.35  -38.6    301
PM     PHILIP MORR  PM US 01/21/12 C55        11.6  45.4  19.48   11.3    200
UAL    UNITED CONT  UAL US 01/21/12 P17.5     11.6  55.6   1.35  -19.6    831
UAL    UNITED CONT  UAL US 12/17/11 C16       11.5  62.2   1.93   58.2   2668
UAL    UNITED CONT  UAL US 01/21/12 C17.5     11.4  56.0   1.49   58.5    558
PM     PHILIP MORR  PM US 12/17/11 P72.5      11.3  25.4   0.68  -46.5   1157
UAL    UNITED CONT  UAL US 12/17/11 P15       11.2  66.6   0.13  -51.9    827
SHLD   SEARS HOLDI  SHLD US 12/17/11 C37.5    11.2  75.3  20.65  -18.7    336
JRCC   JAMES RIVER  JRCC US 03/17/12 P4       11.2 117.2   0.35   16.7   1107
UAL    UNITED CONT  UAL US 12/17/11 P17       11.0  57.2   0.58  -39.6   1265
DAL    DELTA AIR L  DAL US 12/17/11 C8        11.0  52.4   0.20   81.8   4503
UAL    UNITED CONT  UAL US 12/17/11 P16       10.8  61.1   0.31  -39.2    952
UAL    UNITED CONT  UAL US 12/17/11 C18       10.8  56.1   0.68  183.3   1787
NGD    NEW GOLD IN  NGD US 02/18/12 P9        10.6  69.3   0.65   -7.1    236
TOT    TOTAL SA-SP  TOT US 05/19/12 C30       10.6  54.8  19.64    2.6    266
SVM    SILVERCORP   SVM US 12/17/11 C7        10.2  79.3   0.76    8.6    205

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
JBLU   JETBLUE AIR  JBLU US 12/17/11 C4      -31.6  51.0   0.15   50.0    571
TIF    TIFFANY & C  TIF US 12/17/11 P65      -27.8  46.1   1.93   70.8   2436
TIF    TIFFANY & C  TIF US 12/17/11 C70      -27.7  43.5   1.37  -76.8   3965
TIF    TIFFANY & C  TIF US 12/17/11 P60      -27.5  49.3   0.60   27.7   5221
TIF    TIFFANY & C  TIF US 12/17/11 P67.5    -26.9  45.1   3.05   86.0    377
ONXX   ONYX PHARM   ONXX US 12/17/11 P40     -26.8  60.3   0.75  -54.5    545
TIF    TIFFANY & C  TIF US 12/17/11 C67.5    -25.8  45.0   2.26  -69.9    336
KMI    KINDER MORG  KMI US 12/17/11 C30      -25.2  17.3   0.15    0.0    472
VXX    IPATH-S&P S  VXX US 12/17/11 P32      -24.4  72.4   0.02    0.0    260
UAL    UNITED CONT  UAL US 01/21/12 C7.5     -24.1  88.2  10.25   15.8    347
TIF    TIFFANY & C  TIF US 12/17/11 P55      -23.1  55.1   0.19   18.8    514
ONXX   ONYX PHARM   ONXX US 12/17/11 P38     -22.6  60.8   0.30  -70.0    853
ONXX   ONYX PHARM   ONXX US 12/17/11 P39     -22.4  61.2   0.70  -33.3   4092
ONXX   ONYX PHARM   ONXX US 01/21/12 P31     -21.4  64.7   0.45  -52.6   2000
EK     EASTMAN KOD  EK US 01/18/14 C1        -20.0  84.4   0.47    0.0    494
C      CITIGROUP I  C1 US 12/17/11 P3.5      -18.8 105.7   0.94   -1.1    774
ONXX   ONYX PHARM   ONXX US 12/17/11 P41     -18.8  63.6   1.05  -47.5   1002
TIF    TIFFANY & C  TIF US 01/21/12 C70      -16.4  42.7   3.40  -54.0    223
SFI    ISTAR FINAN  SFI US 12/17/11 C5       -16.3  65.2   0.41  -68.5    450
TIF    TIFFANY & C  TIF US 01/21/12 C67.5    -16.2  43.8   4.00  -53.5    443
VXX    IPATH-S&P S  VXX US 03/17/12 P20      -16.1  85.4   0.18  -28.0    261
TIF    TIFFANY & C  TIF US 01/21/12 P65      -15.7  45.1   3.75   53.1    271
CTCM   CTC MEDIA I  CTCM US 02/18/12 P7.5    -15.5  56.4   0.25  -28.6    802
CAST   CHINACAST E  CAST US 12/17/11 P2.5    -14.2 249.3   0.15   50.0    465
ONXX   ONYX PHARM   ONXX US 02/18/12 P32     -13.9  67.5   1.00  -54.5   3000
TLT    ISHARES BAR  TLT US 01/21/12 C100     -13.0  30.5  19.48   -1.5    279
LDK    LDK SOLAR C  LDK US 12/17/11 C1       -12.9 260.3   2.52    5.0    950
TIF    TIFFANY & C  TIF US 01/21/12 P50      -12.5  56.7   0.51  -16.4    917
PAY    VERIFONE SY  PAY US 12/17/11 C41      -12.4  59.0   2.20  -13.7    211
PAY    VERIFONE SY  PAY US 12/17/11 P42      -12.4  56.9   3.00   -3.2    332
PAY    VERIFONE SY  PAY US 12/17/11 P41      -12.2  58.9   2.15    4.9    316
XLU    SPDR-UTIL S  XLU US 12/17/11 P35      -12.2  16.1   1.30  -23.5    202
SPY    SPDR S&P 50  SPY US 12/17/11 C20      -12.1 274.4 100.80    0.9    250
VXX    IPATH-S&P S  VXX US 12/17/11 P35      -11.9  72.6   0.09  -18.2    203
TIF    TIFFANY & C  TIF US 02/18/12 C70      -11.6  44.0   4.35  -50.6    379
LDK    LDK SOLAR C  LDK US 12/17/11 C3.5     -11.6  62.8   0.18    0.0   5520
ONXX   ONYX PHARM   ONXX US 02/18/12 P43     -11.4  64.8   5.10    0.0    502
FAS    FINL BULL 3  FAS1 US 12/17/11 P6      -11.1 148.3   0.03  -57.1    251
ARNA   ARENA PHARM  ARNA US 01/21/12 P1      -10.8 130.8   0.10   -9.1    450
LDK    LDK SOLAR C  LDK US 01/21/12 C3       -10.6  51.0   0.60   11.1    250
OCR    OMNICARE IN  OCR US 01/21/12 C33      -10.4  40.4   1.45   11.5    923
SHLD   SEARS HOLDI  SHLD US 12/17/11 C27.5   -10.2 126.2  30.50    0.0    640
PAY    VERIFONE SY  PAY US 12/17/11 P40      -10.1  62.4   1.75    0.0    432

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

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