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
=============================================================================
AGNC   AMERICAN CA  AGNC US 01/21/12 C25      25.6  54.9   3.90   -2.5    300
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5      22.1  92.5   1.73    2.4    239
DAL    DELTA AIR L  DAL US 03/17/12 C3        20.8 128.0   5.70    0.9    300
CIE    COBALT INTE  CIE US 01/21/12 P7.5      20.2 103.0   0.35  -45.3    200
MJN    MEAD JOHNSO  MJN US 01/21/12 C75       18.9  30.1   1.50   -2.0   1500
MJN    MEAD JOHNSO  MJN US 01/21/12 C70       18.9  29.7   4.00   19.4    548
CYB    WISDOMTR CH  CYB US 07/21/12 P25       18.1  11.2   0.65   62.5   1065
WBMD   WEBMD HEALT  WBMD US 01/21/12 C35      17.8  58.3   4.30  145.7   1665
PGNX   PROGENICS P  PGNX US 01/21/12 C6       16.4 121.5   1.95    2.6    200
EWZ    ISHARES-BRA  EWZ US 01/21/12 C45       15.5  58.9  12.12  -24.5    297
IPSU   IMPERIAL SU  IPSU US 07/21/12 P2.5     15.1 124.3   0.65    0.0    312
AGNC   AMERICAN CA  AGNC US 01/21/12 C24      14.6  60.2   4.90    0.0    200
MJN    MEAD JOHNSO  MJN US 02/18/12 P70       14.6  30.2   2.43   24.0    288
CHMT   CHEMTURA CO  CHMT US 03/17/12 C10      13.8  64.0   1.85  -42.2    750
MJN    MEAD JOHNSO  MJN US 01/21/12 C65       13.8  33.0   8.00   -5.3    300
HSC    HARSCO CORP  HSC US 01/21/12 C20       12.2  47.0   0.95  -38.7    500
RIMM   RESEARCH IN  RIMM US 01/21/12 P13      11.7  87.9   0.73   23.7   2426
ITMN   INTERMUNE I  ITMN US 01/21/12 C12.5    11.6 118.7   2.50    0.0    225
RIMM   RESEARCH IN  RIMM US 01/21/12 P12      11.4  91.4   0.49   36.1    514
RIMM   RESEARCH IN  RIMM US 01/21/12 P11      11.1  96.2   0.32   45.5    468
AMR    AMR CORP     AMR US 01/21/12 C0.5      10.5 118.7   0.19   -9.5    230
RIMM   RESEARCH IN  RIMM US 01/21/12 P14      10.3  85.4   1.09   14.7   2456
CYMI   CYMER INC    CYMI US 02/18/12 C50      10.3  48.0   2.65   10.0    211
RIMM   RESEARCH IN  RIMM US 01/21/12 P10      10.1 103.4   0.20   53.9    321

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
SONO   SONOSITE IN  SONO US 06/16/12 P50     -74.7   9.7   0.30  -97.4    350
SONO   SONOSITE IN  SONO US 01/21/12 P50     -71.1  16.8   0.15    0.0    254
SONO   SONOSITE IN  SONO US 03/17/12 P50     -70.0  13.0   0.25  -97.4    805
BPAX   BIOSANTE PH  BPAX US 01/21/12 C0.5    -36.3 180.5   0.15  -90.3    641
VPHM   VIROPHARMA   VPHM US 01/21/12 P25     -28.8  51.6   1.00   -4.8    528
EXXI   ENERGY XXI   EXXI US 01/21/12 C19     -27.6  70.2   9.50   93.9   1500
FDX    FEDEX CORP   FDX US 01/21/12 C85      -21.1  27.6   1.60   63.3    964
FDX    FEDEX CORP   FDX US 01/21/12 C82.5    -19.4  29.0   2.65   57.7   1422
FTR    FRONTIER CO  FTR US 01/21/12 C5       -19.4  38.4   0.15  -28.6    674
FDX    FEDEX CORP   FDX US 01/21/12 P80      -18.7  30.4   2.32  -55.5    528
FDX    FEDEX CORP   FDX US 01/21/12 C80      -18.3  30.6   4.08   60.0   1906
PAY    VERIFONE SY  PAY US 01/21/12 C40      -16.9  41.6   1.35  -51.8    422
FDX    FEDEX CORP   FDX US 01/21/12 P77.5    -16.6  32.0   1.50  -61.5    659
POR    PORTLAND GE  POR US 03/17/12 C25      -15.3  24.7   0.75   36.4    479
FDX    FEDEX CORP   FDX US 01/21/12 P75      -15.0  33.9   1.00  -64.8   1619
PAY    VERIFONE SY  PAY US 01/21/12 P38      -14.7  44.6   2.61   68.4    510
MRK    MERCK & CO   MRK US 01/21/12 P17.5    -14.5  82.0   0.01    0.0    315
HWD    HARRY WINST  HWD US 01/21/12 P10      -14.2  46.0   0.65   62.5    200
FDX    FEDEX CORP   FDX US 01/21/12 P72.5    -13.9  35.8   0.63  -68.2    222
GRPN   GROUPON INC  GRPN US 04/21/12 C23     -12.1  38.5   2.10    2.4    411
T      AT&T INC     T US 01/21/12 C30        -12.0  12.6   0.07  -36.4    300
FDX    FEDEX CORP   FDX US 01/21/12 P70      -11.8  37.8   0.47  -66.2    273
LRCX   LAM RESEARC  LRCX US 01/21/12 C37     -11.7  38.0   2.45  -33.8    377
FDX    FEDEX CORP   FDX US 01/21/12 C70      -11.3  37.6  11.75   32.3    211
EXC    EXELON CORP  EXC US 01/21/12 C45      -11.0  14.4   0.20    0.0    367
PM     PHILIP MORR  PM US 03/17/12 P35       -10.6  65.8   0.03  -57.1    277

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

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