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
=============================================================================
AFFY   AFFYMAX INC  AFFY US 01/21/12 P7       48.4  85.0   0.40  -85.2   1240
C      CITIGROUP I  C1 US 01/21/12 P5         33.8  81.1   2.16    2.4    364
SFI    ISTAR FINAN  SFI US 04/21/12 P4        24.4  93.0   0.40    0.0   1560
THRX   THERAVANCE   THRX US 01/21/12 P22.5    22.7 111.6   3.60   64.4    292
SFI    ISTAR FINAN  SFI US 04/21/12 P5        22.3  82.2   0.70    0.0   4000
MO     ALTRIA GROU  MO US 01/21/12 C24        17.0  39.1   4.80   -1.0    235
THRX   THERAVANCE   THRX US 01/21/12 C22.5    14.4 111.3   3.60   16.1    212
ETN    EATON CORP   ETN US 01/21/12 C32.5     13.6  58.6  12.75   -1.2    458
MTG    MGIC INVT C  MTG US 01/21/12 C3.5      13.6 130.9   0.65    4.8  12153
ARCC   ARES CAPITA  ARCC US 01/21/12 C16      12.5  25.2   0.20  -20.0    227
EXPE   EXPEDIA INC  EXPE US 01/21/12 C25      12.1  33.4   3.59  -20.2    240
AGNC   AMERICAN CA  AGNC US 01/21/12 C29      11.5  13.5   0.30   20.0   2971
CPX    COMPLETE PR  CPX US 01/21/12 C35       11.3  45.2   2.00   -2.4    231
C      CITIGROUP I  C1 US 01/21/12 C5         11.0  84.6   0.01    0.0   1700
GDX    MKT VECT-GO  GDX US 01/21/12 P46       10.8  46.4   0.30   25.0    330
VMED   VIRGIN MEDI  VMED US 01/21/12 P21      10.7  43.3   1.10   83.3   1956
T      AT&T INC     T US 01/21/12 C30         10.5  15.5   0.17  -32.0    451
SDRL   SEADRILL LT  SDRL US 01/21/12 C35      10.2  33.5   1.05  -30.0    664
KMI    KINDER MORG  KMI US 06/16/12 C30       10.2  21.5   1.40  -18.6    332
LQD    ISHARES-IBO  LQD US 01/21/12 P107      10.2  11.6   0.25  -50.0    232
MCD    MCDONALDS C  MCD US 01/21/12 C90       10.1  23.0   8.30   16.9    267

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
DMAN   DEMANDTEC I  DMAN US 06/16/12 P12.5   -88.3   7.8   0.05    0.0    359
DMAN   DEMANDTEC I  DMAN US 03/17/12 P12.5   -85.5  10.4   0.05    0.0    600
AFFY   AFFYMAX INC  AFFY US 01/21/12 C8      -61.4  71.8   0.90  -14.3   1426
AFFY   AFFYMAX INC  AFFY US 01/21/12 P6      -59.5  95.0   0.15  -92.5    314
AFFY   AFFYMAX INC  AFFY US 01/21/12 C7      -59.2  77.5   1.40   21.7    232
AFFY   AFFYMAX INC  AFFY US 01/21/12 P8      -55.3  77.7   0.75  -75.8   1085
AFFY   AFFYMAX INC  AFFY US 01/21/12 C5      -55.1  95.5   3.40   94.3   1021
TKLC   TEKELEC      TKLC US 02/18/12 C11     -38.5   3.6   0.05  -50.0    250
EP     EL PASO COR  EP US 01/21/12 P22.5     -25.9  24.0   0.15   50.0    464
AFFY   AFFYMAX INC  AFFY US 04/21/12 C5      -23.8 128.2   3.50   32.1    208
AFFY   AFFYMAX INC  AFFY US 04/21/12 P5      -22.7 132.6   0.85  -55.3    371
QIHU   QIHOO 360 T  QIHU US 03/17/12 C10     -20.3  52.3   8.60    3.6    225
CEDC   CENTRAL EUR  CEDC US 03/17/12 P6      -19.8 149.6   1.95  -31.6    979
TWO    TWO HARBORS  TWO US 03/17/12 P9       -18.8  22.1   0.70   -6.7   2942
GIII   G III APPAR  GIII US 01/21/12 C20     -18.1  56.7   4.34  101.9    208
PPC    PILGRIM'S P  PPC US 03/17/12 C5       -17.0  69.8   1.20  -25.0    613
LDK    LDK SOLAR C  LDK US 03/17/12 C3.5     -15.4  38.6   1.05   32.9    290
LDK    LDK SOLAR C  LDK US 03/17/12 C4       -14.0  46.4   0.72   20.0    216
AMR    AMR CORP     AMR US 01/19/13 C0.5     -13.2  72.2   0.40  -39.4    256
THQI   THQ INC      THQI US 01/21/12 P1      -12.3 121.5   0.15   50.0   1809
CEDC   CENTRAL EUR  CEDC US 06/16/12 P6      -12.2 140.2   2.40  -25.0   1047
EV     EATON VANCE  EV US 01/21/12 P22.5     -11.9  43.2   0.75    0.0    500
ONXX   ONYX PHARM   ONXX US 01/21/12 P37     -11.8  58.5   1.40   -6.7    500
HTS    HATTERAS FI  HTS US 01/21/12 C25      -11.6  20.6   1.80  -12.2    210
ATLS   ATLAS ENERG  ATLS US 04/21/12 C25     -11.2  30.6   1.90  -12.0    371
JNS    JANUS CAPIT  JNS US 03/17/12 P5       -10.9  56.8   0.20   33.3   1123
PG     PROCTER & G  PG US 01/21/12 P32.5     -10.7  77.3   0.02    0.0    200
CEDC   CENTRAL EUR  CEDC US 03/17/12 P5      -10.5 163.4   1.35  -22.9   1104

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

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