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
=============================================================================
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1.5     55.6  56.5   0.41    7.9    644
RVSN   RADVISION L  RVSN US 01/21/12 C5       55.5 118.2   1.90    0.0    245
XME    SPDR S&P ME  XME US 12/17/11 P53       42.2  50.9   1.37  -25.9   2712
TWI    TITAN INTL   TWI US 12/17/11 C22.5     38.6  73.3   1.15   76.9   1108
BZH    BEAZER HOME  BZH US 01/19/13 C1.5      37.1  93.3   1.20    9.1    328
FIO    FUSION-IO I  FIO US 12/17/11 C10       33.6 351.3  22.25   -2.7    345
XME    SPDR S&P ME  XME US 12/17/11 P54       33.0  49.3   1.70  -25.1   3461
GCI    GANNETT CO   GCI US 12/17/11 C12       29.4  47.7   0.30  200.0    210
XME    SPDR S&P ME  XME US 12/17/11 C56       23.5  46.4   1.16   -0.8   3586
C      CITIGROUP I  C1 US 01/21/12 P4         21.7  59.3   1.16  -12.8   1049
KMI    KINDER MORG  KMI US 01/21/12 C32.5     20.5  25.1   0.70  180.0    444
DTG    DOLLAR THRI  DTG US 12/17/11 P70       19.6  25.6   2.40  -20.0    450
ING    ING GROEP-A  ING US 12/17/11 C8        19.4  78.2   0.50   66.7   2094
AEO    AMER EAGLE   AEO US 12/17/11 C12       19.1  53.5   2.25   12.5    300
MNKD   MANNKIND CO  MNKD US 01/19/13 C3       19.0  29.0   0.39   -7.1    892
JEF    JEFFERIES G  JEF US 12/17/11 P9        18.6 135.3   0.15  -25.0    286
JPM    JPMORGAN CH  JPM US 12/17/11 P26       17.5  74.5   0.12  -40.0   1838
KMI    KINDER MORG  KMI US 12/17/11 C32.5     17.4  31.8   0.35  250.0    908
TGB    TASEKO MINE  TGB US 12/17/11 C3        17.3  68.1   0.20    0.0    200
GCI    GANNETT CO   GCI US 12/17/11 C11       16.9  53.9   0.90   80.0    200
RES    RPC INC      RES US 12/17/11 C20       16.6  80.0   1.25   38.9    906
JPM    JPMORGAN CH  JPM US 12/17/11 P24       16.2  87.5   0.06  -45.5    263
KMI    KINDER MORG  KMI US 12/17/11 C30       16.2  27.7   1.50  100.0    487
FXE    CRYSHS-EURO  FXE US 01/21/12 P110      16.0  28.0   0.10  233.3  10000
JPM    JPMORGAN CH  JPM US 12/17/11 P27       15.6  68.0   0.12  -57.1    574
JEF    JEFFERIES G  JEF US 12/17/11 C11       15.3  88.2   1.50   76.5    337
OMEX   ODYSSEY MAR  OMEX US 12/17/11 P2.5     15.2  96.8   0.20  -20.0    275
JPM    JPMORGAN CH  JPM US 12/17/11 P18       15.1 134.2   0.02    0.0   1000
SGI    SILICON GRA  SGI US 12/17/11 P15       15.0  64.2   0.80    6.7    372
SLE    SARA LEE CO  SLE US 01/18/14 C20       14.8  28.2   2.40   71.4    524
JPM    JPMORGAN CH  JPM US 12/17/11 P25       13.8  78.9   0.08  -46.7   1561
JPM    JPMORGAN CH  JPM US 12/17/11 P21       13.7 109.9   0.04  -20.0    621
JPM    JPMORGAN CH  JPM US 12/17/11 P28       13.5  62.1   0.16  -64.4    459
JEF    JEFFERIES G  JEF US 12/17/11 P11       13.2 102.2   0.50  -23.1    588
JBLU   JETBLUE AIR  JBLU US 01/19/13 P3       12.9  64.2   0.45  -10.0   2522
JPM    JPMORGAN CH  JPM US 12/17/11 C27       12.7  67.0   5.80   58.5    399
AKAM   AKAMAI TECH  AKAM US 12/17/11 C31      12.6  47.3   0.58   45.0   3856
JEF    JEFFERIES G  JEF US 01/21/12 P6        12.4 150.4   0.25   25.0    332
JPM    JPMORGAN CH  JPM US 12/17/11 P29       12.4  57.8   0.25  -62.7   1259
ALEX   ALEXANDER &  ALEX US 12/17/11 C40      12.3  56.5   4.50  462.5    201
ORI    OLD REPUB I  ORI US 01/21/12 C7.5      12.3  52.9   1.50  100.0    520
JEF    JEFFERIES G  JEF US 01/21/12 P10       12.2 102.2   0.70  -17.6    835
MWV    MEADWESTVAC  MWV US 12/17/11 P25       12.1  64.7   0.15   50.0    200
PCYC   PHARMACYCLI  PCYC US 12/17/11 P15      12.0  63.3   0.58  -22.7    650
XLF    SPDR-FINL S  XLF US 12/17/11 C11       12.0  56.2   2.06   13.8    406
JEF    JEFFERIES G  JEF US 12/17/11 P6        11.8 202.0   0.05    0.0    416
LULU   LULULEMON A  LULU US 12/17/11 P42.5    11.7  66.1   0.38  -36.7   1211
GRPN   GROUPON INC  GRPN US 12/17/11 C19      11.7  85.9   1.55   47.6    204
VRUS   PHARMASSET   VRUS US 12/17/11 C135     11.6  18.6   0.15   50.0   1001
ING    ING GROEP-A  ING US 12/17/11 P8        11.5  81.0   0.40  -38.5   3693
JEF    JEFFERIES G  JEF US 12/17/11 P8        11.3 150.1   0.15    0.0    270
JEF    JEFFERIES G  JEF US 12/17/11 C10       11.3  90.5   2.40   50.0   1602
LULU   LULULEMON A  LULU US 12/17/11 P43.75   11.2  63.1   0.45  -40.0    326
JEF    JEFFERIES G  JEF US 12/17/11 P12       11.2  94.4   0.85  -37.0    405
JEF    JEFFERIES G  JEF US 12/17/11 P10       11.1 113.3   0.25  -37.5    347
LULU   LULULEMON A  LULU US 12/17/11 P46.25   11.1  58.2   1.00  -37.5    213
JPM    JPMORGAN CH  JPM US 12/17/11 P19       11.0 123.2   0.02  -33.3    750
JPM    JPMORGAN CH  JPM US 12/17/11 C29       10.9  57.4   4.00   91.4   1545
KEY    KEYCORP      KEY US 12/17/11 P7        10.8  46.2   0.14  -22.2   1005
MNKD   MANNKIND CO  MNKD US 12/17/11 P3       10.8  97.1   0.23   35.3    350
STMP   STAMPS.COM   STMP US 12/17/11 P25      10.7  71.5   0.60  -14.3    671
JPM    JPMORGAN CH  JPM US 12/17/11 P30       10.6  54.2   0.37  -63.0   1524
PCYC   PHARMACYCLI  PCYC US 12/17/11 C16      10.6  63.2   0.55   83.3    532
CSCO   CISCO SYSTE  CSCO US 12/17/11 P15      10.6  58.3   0.01    0.0    697
NLY    ANNALY CAPI  NLY US 12/17/11 C16       10.5  18.4   0.42   35.5   1093
GCI    GANNETT CO   GCI US 12/17/11 P11       10.5  53.0   0.20  -42.9   9378
CBG    CBRE GROUP   CBG US 12/17/11 P16       10.3  58.1   0.35  -70.8   4000
GE     GENERAL ELE  GE US 12/17/11 P13        10.3  57.0   0.02    0.0    750
WDC    WESTERN DIG  WDC US 12/17/11 C30       10.2  59.7   2.57  162.2   1012
CHK    CHESAPEAKE   CHK US 12/17/11 P19       10.2  76.9   0.02  -80.0    248
LNKD   LINKEDIN CO  LNKD US 12/17/11 C55      10.1  80.2  13.60    2.3    397
GE     GENERAL ELE  GE US 12/17/11 P15        10.1  38.7   0.10  -16.7    774

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
EDMC   EDUCATION M  EDMC US 12/17/11 C22.5   -64.1  12.2   1.10   83.3    380
RY     ROYAL BANK   RY US 12/17/11 P50       -43.5  25.3   2.35  -67.8    500
ULTA   ULTA SALON   ULTA US 12/17/11 C75     -35.6  45.5   1.80    9.1    836
ULTA   ULTA SALON   ULTA US 12/17/11 C70     -32.5  50.5   4.40   39.2    424
ULTA   ULTA SALON   ULTA US 12/17/11 C65     -32.5  51.0   9.00   57.9    211
PVH    PVH CORP     PVH US 12/17/11 P72.5    -32.1  35.3   2.00  -65.0    232
ULTA   ULTA SALON   ULTA US 12/17/11 P65     -31.7  51.4   0.50  -80.8    290
GDX    MKT VECT-GO  GDX US 01/21/12 P50      -31.4  40.0   0.60    9.1   1503
LDK    LDK SOLAR C  LDK US 12/17/11 C2       -31.0 137.6   1.66    3.1    402
HA     HAWAIIAN HO  HA US 07/21/12 P4        -29.2  60.5   0.35    0.0   1061
AVGO   AVAGO TECHN  AVGO US 12/17/11 C30     -29.1  44.6   1.45   -3.3    298
ALEX   ALEXANDER &  ALEX US 12/17/11 C45     -26.8  39.6   0.95  533.3    201
VRUS   PHARMASSET   VRUS US 12/17/11 P130    -26.4  18.0   2.40  -22.6    240
FSIN   FUSHI COPPE  FSIN US 12/17/11 P7.5    -23.7  39.8   0.25    0.0    310
FOE    FERRO CORP   FOE US 12/17/11 C5       -22.5  77.1   0.95   11.8    962
UPL    ULTRA PETRO  UPL US 12/17/11 C28      -22.1  56.7   6.90   16.9    500
OIH    OIL SVC HLD  OIH US 12/17/11 C110     -20.9  44.3  16.02    5.7    500
PVH    PVH CORP     PVH US 12/17/11 C75      -20.7  32.7   0.80  220.0   1695
CAR    AVIS BUDGET  CAR US 12/17/11 C11      -20.0  41.6   1.20   20.0   2511
HA     HAWAIIAN HO  HA US 01/21/12 P4        -19.2  75.1   0.10  -33.3    250
TNA    DIR SM CAP   TNA US 12/17/11 C29      -18.8 101.2  16.70    6.4    302
PVH    PVH CORP     PVH US 12/17/11 C72.5    -18.3  35.6   1.91  208.1    636
CHTP   CHELSEA THE  CHTP US 01/21/12 P5      -16.6  90.6   0.40  -33.3    405
CBOE   CBOE HOLDIN  CBOE US 12/17/11 C25     -15.9  30.6   2.13   -3.2   2654
AVGO   AVAGO TECHN  AVGO US 01/21/12 P30     -15.5  43.4   1.55  -34.0   4078
KBR    KBR INC      KBR US 01/21/12 C24      -15.4  53.6   5.70    1.8    647
TAOM   TAOMEE HOLD  TAOM US 12/17/11 P5      -14.9  86.9   0.40  -27.3    325
YGE    YINGLI GREE  YGE US 12/17/11 C4       -13.9  74.2   0.70    7.7   3574
PVX    PROVIDENT E  PVX US 06/16/12 P9       -13.6  27.8   0.65  -27.8    214
DAN    DANA HOLDIN  DAN US 12/17/11 C13      -13.3  46.7   0.20  -20.0    900
PBI    PITNEY BOWE  PBI US 12/17/11 C19      -12.9  21.6   0.20    0.0    715
GDX    MKT VECT-GO  GDX US 03/17/12 P47      -12.9  40.1   0.87  -17.1   1650
ES     ENERGYSOLUT  ES US 04/21/12 P2.5      -12.8  60.2   0.20  -20.0    200
ASNA   ASCENA RETA  ASNA US 12/17/11 P27     -12.8  39.6   0.25  -64.3    944
SIRI   SIRIUS XM R  SIRI US 03/17/12 C1.5    -12.4  53.2   0.44   -2.2   1173
PSS    COLLECTIVE   PSS US 12/17/11 C14      -12.0  45.1   0.50    0.0    253
CBOE   CBOE HOLDIN  CBOE US 12/17/11 C26     -12.0  29.4   1.30   -3.7    335
QIHU   QIHOO 360 T  QIHU US 12/17/11 C17.5   -11.6  49.9   1.20   71.4    324
GDX    MKT VECT-GO  GDX US 01/21/12 P56      -11.5  35.7   2.02   21.7    312
PVH    PVH CORP     PVH US 12/17/11 P65      -11.1  44.4   0.35  -78.8    226
CLX    CLOROX CO    CLX US 12/17/11 C65      -11.0  16.5   1.15   27.8    241
HCBK   HUDSON CITY  HCBK US 12/17/11 C6      -10.8  35.2   0.15  200.0    212
CBOE   CBOE HOLDIN  CBOE US 12/17/11 C27     -10.6  27.4   0.63   -3.1    332
HCBK   HUDSON CITY  HCBK US 04/21/12 C6      -10.3  41.4   0.50   25.0    510
VZ     VERIZON COM  VZ US 12/17/11 P39       -10.2  13.7   1.13  -22.1    220

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

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