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
=============================================================================
DELL   DELL INC     DELL US 01/19/13 C7.5     73.5  47.2   8.13    9.1    233
NMR    NOMURA HLDG  NMR US 04/21/12 P2.5      28.8  81.7   0.20  -20.0    500
SPY    SPDR S&P 50  SPY US 12/30/11 P129      28.3  23.4   6.58   39.1    434
SPY    SPDR S&P 50  SPY US 12/30/11 P130      28.0  21.9   7.32   40.2    316
SPY    SPDR S&P 50  SPY US 12/30/11 P128      24.2  23.8   5.83   42.2    832
MTL    MECHEL-SPON  MTL US 07/21/12 P9        21.3  73.5   2.25    0.0    349
XLV    SPDR-HEALTH  XLV US 01/21/12 C35       19.9  19.2   0.27  -10.0  10000
OSG    OVERSEAS SH  OSG US 04/21/12 P5        18.0 123.9   0.60  200.0    755
XLV    SPDR-HEALTH  XLV US 01/21/12 P34       17.4  20.9   1.27   14.4   2501
SPY    SPDR S&P 50  SPY US 12/30/11 P127      16.4  23.6   5.11   43.5   2861
WCRX   WARNER CHIL  WCRX US 01/21/12 P14      16.4  67.5   1.00  150.0    415
SPY    SPDR S&P 50  SPY US 01/21/12 P130      15.8  22.4   8.14   31.3    306
CLWR   CLEARWIRE -  CLWR US 01/21/12 P1.5     15.3 138.8   0.10    0.0    507
SPY    SPDR S&P 50  SPY US 12/30/11 P125      15.3  25.3   3.74   50.2    873
LNG    CHENIERE EN  LNG US 01/21/12 P7        14.9 103.3   0.20    0.0    913
AES    AES CORP     AES US 02/18/12 C12       14.8  33.0   0.55  -15.4    234
HL     HECLA MININ  HL US 01/21/12 P6         14.7  70.0   0.49   53.1    831
OSG    OVERSEAS SH  OSG US 04/21/12 P4        14.0 128.4   0.35   75.0   1492
SPY    SPDR S&P 50  SPY US 12/30/11 P124      13.7  25.9   3.33   50.7   1675
IBKR   INTERACTIVE  IBKR US 01/21/12 P13.21   13.4  36.3   0.10  233.3   1182
CLWR   CLEARWIRE -  CLWR US 06/16/12 P1       13.3 158.4   0.20    0.0    200
STP    SUNTECH POW  STP US 01/21/12 C2.5      13.3  79.5   0.39    0.0    201
HL     HECLA MININ  HL US 01/21/12 C5         12.6  77.8   1.30  -16.1    884
SFSF   SUCCESSFACT  SFSF US 03/17/12 C40      12.6   2.2   0.10    0.0    250
YHOO   YAHOO! INC   YHOO US 01/21/12 P10      12.5  71.5   0.03  200.0   1328
HL     HECLA MININ  HL US 01/21/12 C6         12.4  70.7   0.65  -15.6  27559
NFLX   NETFLIX INC  NFLX US 01/21/12 C72.5    12.0  72.1   8.75   57.7   1362
TLEO   TALEO CORP-  TLEO US 06/16/12 C40      12.0  51.0   6.40    8.5    200
SPY    SPDR S&P 50  SPY US 12/30/11 P123      11.8  26.4   2.73   45.2   1716
SPY    SPDR S&P 50  SPY US 01/21/12 P128      11.6  23.3   6.60   31.7    598
ZSL    PRSH-ULTSH   ZSL US 01/21/12 P10       11.4  89.7   0.35   -2.8    325
NFLX   NETFLIX INC  NFLX US 01/21/12 C75      11.2  70.7   7.30   60.4    699
NFLX   NETFLIX INC  NFLX US 01/21/12 C70      11.1  72.1  10.20   52.2    349
SPY    SPDR S&P 50  SPY US 12/30/11 P118      11.0  29.2   1.17   58.1   1715
SPY    SPDR S&P 50  SPY US 01/21/12 P129      10.8  22.3   7.27   26.4    392
CCE    COCA-COLA E  CCE US 01/21/12 C26       10.7  25.8   0.60  -25.0    387
SPY    SPDR S&P 50  SPY US 01/21/12 P127      10.7  23.8   6.00   29.3   3232
SPY    SPDR S&P 50  SPY US 12/30/11 P120      10.5  28.1   1.69   53.6   8354
SPY    SPDR S&P 50  SPY US 12/30/11 P122      10.5  26.6   2.32   44.1    696
SPY    SPDR S&P 50  SPY US 12/30/11 P121      10.5  27.5   2.04   56.9    279
NFLX   NETFLIX INC  NFLX US 01/21/12 C77.5    10.2  69.8   6.05   68.1   1034
RES    RPC INC      RES US 01/21/12 C17.5     10.0  70.6   1.50  -24.2    416

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
FAS    DIR FIN BUL  FAS1 US 01/21/12 P27     -57.5  82.2  14.80   10.9    200
SPY    SPDR S&P 50  SPY US 01/21/12 C104     -24.7  34.8  19.94   -6.3    270
DMND   DIAMOND FOO  DMND US 01/21/12 P25     -23.1  98.2   0.95    0.0    407
DMND   DIAMOND FOO  DMND US 01/21/12 P30     -21.3  95.3   2.55   24.4    485
SPY    SPDR S&P 50  SPY US 01/21/12 C105     -20.2  35.6  19.20   -9.7    250
AMR    AMR CORP     AMR US 05/19/12 C0.5     -20.0 103.4   0.15  -48.3   2535
AMR    AMR CORP     AMR US 01/21/12 P0.5     -19.9 264.4   0.15  -25.0    849
ENDP   ENDO PHARMA  ENDP US 01/21/12 P30     -19.4  49.6   0.45  -62.5    881
AMR    AMR CORP     AMR US 01/19/13 C0.5     -18.1  73.8   0.20  -28.6   4909
ENDP   ENDO PHARMA  ENDP US 01/21/12 P35     -17.6  45.4   1.65  -50.0    491
ENDP   ENDO PHARMA  ENDP US 01/21/12 C35     -16.3  46.1   2.70   25.6   2407
UXG    US GOLD COR  UXG US 02/18/12 C2.5     -15.7  76.0   1.05   -4.5    200
AMR    AMR CORP     AMR US 01/21/12 C0.5     -15.3 177.4   0.14  -41.7    909
INCY   INCYTE CORP  INCY US 03/17/12 P12.5   -15.3  61.1   0.80  -74.2   1528
AMR    AMR CORP     AMR US 02/18/12 C0.5     -15.2 147.2   0.14  -48.1    784
SPY    SPDR S&P 50  SPY US 01/21/12 C108     -15.0  34.3  16.11  -12.9    215
SPY    SPDR S&P 50  SPY US 01/21/12 C109     -13.7  33.7  15.35  -11.6    399
SPY    SPDR S&P 50  SPY US 12/30/11 C118     -11.7  28.9   6.60  -22.4   1915
KMI    KINDER MORG  KMI US 06/16/12 C30      -11.7  18.1   1.10    0.0    211
KMI    KINDER MORG  KMI US 06/16/12 P30      -11.7  46.3   4.50   -8.2   3796
INCY   INCYTE CORP  INCY US 03/17/12 C15     -11.3  58.2   1.40    7.7   1000
SPY    SPDR S&P 50  SPY US 01/21/12 C112     -10.7  31.9  12.68   -8.7    463
SPY    SPDR S&P 50  SPY US 01/21/12 C111     -10.6  32.5  13.52   -7.1    369
SPY    SPDR S&P 50  SPY US 12/30/11 C119     -10.3  28.2   5.80  -22.7   2354

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

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