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
=============================================================================
SNDA   SHANDA INTE  SNDA US 03/17/12 C42      50.6  11.4   0.10    0.0    260
UUP    POWERSHARES  UUP US 01/21/12 C21       47.1   9.3   1.13    1.8    417
JAG    JAGUAR MINI  JAG US 01/21/12 P5        27.1 110.7   0.30   50.0   1350
OMEX   ODYSSEY MAR  OMEX US 01/21/12 C2.5     25.0 110.2   0.33  -26.7    326
SFSF   SUCCESSFACT  SFSF US 01/21/12 C40      24.8   3.3   0.10    0.0   2371
SCG    SCANA CORP   SCG US 05/19/12 C45       23.3  19.5   1.20  -11.1    217
SPY    SPDR S&P 50  SPY US 01/21/12 C90       20.2  50.2  35.59   -1.2    201
PGNX   PROGENICS P  PGNX US 01/21/12 C7       18.7 102.9   1.35   42.1   2020
THQI   THQ INC      THQI US 06/16/12 P1       17.5 103.4   0.15    0.0    215
HRB    H&R BLOCK I  HRB US 04/21/12 C16       16.9  53.0   1.55   63.2    391
PM     PHILIP MORR  PM US 01/21/12 C57.5      16.3  47.0  17.40   -3.3    250
HRB    H&R BLOCK I  HRB US 04/21/12 P15       16.2  58.0   2.10   16.7    525
KOG    KODIAK OIL   KOG US 01/21/12 P7.5      16.1  76.3   0.30    0.0   6623
LLY    ELI LILLY &  LLY US 01/21/12 C40       15.0  21.3   1.01   80.4   1315
JAG    JAGUAR MINI  JAG US 01/21/12 C6        14.4  92.4   1.10  -33.3    740
SCG    SCANA CORP   SCG US 02/18/12 C45       13.9  18.2   0.75    7.1    327
LLY    ELI LILLY &  LLY US 01/21/12 C41       13.8  20.3   0.56   69.7   1270
EXAS   EXACT SCIEN  EXAS US 01/21/12 C8       13.7  51.8   0.50  -16.7    280
HRB    H&R BLOCK I  HRB US 04/21/12 P14       13.5  61.7   1.65   13.8    634
IWM    ISHARES-RUS  IWM US 12/30/11 C72       12.6  35.9   3.55  -14.2    305
LLY    ELI LILLY &  LLY US 01/21/12 C38       12.5  23.9   2.32   36.5    830
PVX    PROVIDENT E  PVX US 03/17/12 C10       12.0  27.5   0.35    0.0    662
LLY    ELI LILLY &  LLY US 01/21/12 P36       12.0  28.5   0.35   -5.4    359
SPY    SPDR S&P 50  SPY US 01/21/12 C109      11.7  34.8  17.14   -2.7    243
XLNX   XILINX INC   XLNX US 01/21/12 P30      11.3  41.5   0.65   10.2   4713
XLNX   XILINX INC   XLNX US 01/21/12 P28      11.2  46.5   0.40   25.0   3301
XLNX   XILINX INC   XLNX US 01/21/12 P31      11.1  39.4   0.82    7.9   3616
XLNX   XILINX INC   XLNX US 01/21/12 P29      10.9  44.0   0.50   19.1    929
SPY    SPDR S&P 50  SPY US 12/30/11 C117      10.7  30.7   8.80  -12.3    237
ENB    ENBRIDGE IN  ENB US 01/21/12 C35       10.7  23.4   0.85  -45.2    258
LLY    ELI LILLY &  LLY US 01/21/12 P34       10.7  33.7   0.20    5.3    270
IWM    ISHARES-RUS  IWM US 01/21/12 C69       10.6  37.7   6.25  -14.4    243
LLY    ELI LILLY &  LLY US 01/21/12 P35       10.6  30.7   0.25    0.0    555
NOG    NORTHERN OI  NOG US 01/21/12 C20       10.3  66.1   5.93   -1.2    325
SON    SONOCO PROD  SON US 01/21/12 P30       10.2  30.5   0.60  -53.9    200
SPY    SPDR S&P 50  SPY US 12/30/11 C119      10.1  29.8   7.65   -7.2   1388

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
EDC    DIR EM BULL  EDC1 US 01/21/12 P26.32  -80.4  94.1   9.80    0.0   1107
PLX    PROTALIX BI  PLX US 05/19/12 P2.5     -30.1 127.1   0.35  -30.0    200
CLSN   CELSION COR  CLSN US 01/21/12 C2      -29.9  59.8   0.25    0.0   4025
WMT    WAL-MART ST  WMT US 01/21/12 C40      -28.0  49.6  19.15    1.6    415
RAI    REYNOLDS AM  RAI US 01/21/12 C36      -27.1  30.5   4.70  -19.0    435
THQI   THQ INC      THQI US 01/21/12 P1      -19.7 176.8   0.10    0.0   1707
WMT    WAL-MART ST  WMT US 01/21/12 C50      -19.4  27.3   9.20    4.0    448
VHC    VIRNETX HOL  VHC US 03/17/12 C10      -17.1 102.7  13.50    0.0    400
LDK    LDK SOLAR C  LDK US 03/17/12 C3.5     -16.5  49.5   0.78  -17.9    284
VTSS   VITESSE SEM  VTSS US 02/18/12 C2.5    -16.1 106.2   0.55   57.1    201
RAI    REYNOLDS AM  RAI US 01/21/12 C37.5    -15.5  28.1   3.40  -19.1    221
TLB    TALBOTS INC  TLB US 02/18/12 C1       -13.8  97.3   1.50    0.0    200
SFSF   SUCCESSFACT  SFSF US 06/16/12 C40     -12.9   1.4   0.15    0.0   1168
SFSF   SUCCESSFACT  SFSF US 03/17/12 C40     -11.1   1.9   0.15   50.0    604
LDK    LDK SOLAR C  LDK US 03/17/12 C4       -10.8  55.2   0.55    0.0    359
AMR    AMR CORP     AMR US 01/19/13 C0.5     -10.4  61.4   0.49   53.1    546

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

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