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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
=============================================================================
RTH    RETAIL HOLD  RTH US 01/19/13 P109.6    92.0  24.7   8.50  118.0    276
SMH    SEMICONDUCT  SMH US 01/19/13 P28.5     69.4  31.3   3.25   94.6   2414
OIH    OIL SVC HLD  OIH US 01/19/13 P115      67.8  41.5  22.00   50.7    340
OIH    OIL SVC HLD  OIH US 01/19/13 P109      60.5  41.5  19.00    6.4    791
OIH    OIL SVC HLD  OIH US 01/19/13 P110      59.6  42.5  17.50   44.6    549
OIH    OIL SVC HLD  OIH US 01/19/13 P108      58.9  41.9  16.75   -4.6    746
OIH    OIL SVC HLD  OIH US 01/19/13 P107      58.0  42.8  16.05  176.7    342
SMH    SEMICONDUCT  SMH US 01/19/13 P23.5     52.3  34.9   1.50  130.8  18768
COWN   COWEN GROUP  COWN US 01/21/12 C2.5     31.2  18.7   0.05  -50.0    600
DMAN   DEMANDTEC I  DMAN US 01/21/12 P12.5    29.9  22.8   0.10    0.0    210
C      CITIGROUP I  C1 US 01/21/12 P5         23.5 102.6   2.40    0.0   4050
DOV    DOVER CORP   DOV US 01/21/12 C50       21.7  39.9   7.40  -10.8    200
INHX   INHIBITEX I  INHX US 01/21/12 C10      21.4 140.4   2.30  -43.9    733
DMAN   DEMANDTEC I  DMAN US 03/17/12 P12.5    21.2  16.7   0.15   50.0    306
XEL    XCEL ENERGY  XEL US 01/21/12 P25       19.8  19.9   0.20  -20.0   1681
INHX   INHIBITEX I  INHX US 01/21/12 P10      19.1 138.8   1.50  150.0   2222
XIDE   EXIDE TECH   XIDE US 03/17/12 P2.5     18.6  82.0   0.45   25.0    550
ZOLL   ZOLL MEDICA  ZOLL US 01/21/12 C60      18.6  52.0   3.40    0.0    201
VRUS   PHARMASSET   VRUS US 02/18/12 C130     18.4  39.6   6.10   -3.2   3360
KERX   KERYX BIOPH  KERX US 01/21/12 C2.5     18.2 110.8   0.30   20.0    600
INHX   INHIBITEX I  INHX US 02/18/12 P7.5     18.0 158.9   1.10  144.4    327
VRUS   PHARMASSET   VRUS US 01/21/12 C125     17.9  64.0   9.90   -2.0    500
VRUS   PHARMASSET   VRUS US 01/21/12 C130     17.7  50.2   5.60   -3.5   5030
GEOY   GEOEYE INC   GEOY US 03/17/12 C20      17.7  74.6   6.10   64.9    245
INHX   INHIBITEX I  INHX US 05/19/12 C10      17.0 130.0   2.70  -51.8    310
VRUS   PHARMASSET   VRUS US 02/18/12 P80      14.6 117.9   6.00   93.5   1000
EEM    ISHARES-EMG  EEM US 12/22/12 P35       14.3  34.6   4.35   -3.3    893
DTG    DOLLAR THRI  DTG US 04/21/12 P57.5     13.9  46.8   2.45  -40.2    200
VRUS   PHARMASSET   VRUS US 01/21/12 P80      13.8 146.4   3.00   11.1    500
VRUS   PHARMASSET   VRUS US 02/18/12 P100     13.3  90.5   7.40   54.2    533
VRUS   PHARMASSET   VRUS US 01/21/12 P120     12.3  75.7   8.90   39.1   1104
VRUS   PHARMASSET   VRUS US 01/21/12 P125     12.3  63.3  10.00   37.9   1104
VRUS   PHARMASSET   VRUS US 02/18/12 P70      11.7 130.9   4.00   66.7   1001
ATPG   ATP OIL & G  ATPG US 03/17/12 P4       11.4 156.4   0.60    9.1   1204
MSFT   MICROSOFT C  MSFT US 01/21/12 C22.5    11.3  33.5   3.70   12.1    298
DAKT   DAKTRONICS   DAKT US 01/21/12 P9.6     11.3  41.4   0.48  -11.1    242
HD     HOME DEPOT   HD US 01/21/12 P26        11.2  71.3   0.05    0.0    657
MELA   MELA SCIENC  MELA US 07/21/12 P2.5     11.1 120.7   0.55    0.0    200
EEM    ISHARES-EMG  EEM US 12/22/12 P33       11.0  35.6   3.50    6.1   1649
MHS    MEDCO HEALT  MHS US 06/16/12 P50       11.0  46.5   4.50    0.0    640
C      CITIGROUP I  C1 US 01/21/12 P4.5       10.3  78.3   1.87   -1.1   8325
VRUS   PHARMASSET   VRUS US 02/18/12 P105     10.3  83.9   7.20   24.1    500
SPY    SPDR S&P 50  SPY US 01/21/12 P128      10.3  19.5   6.50  -13.2    453

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
ISTA   ISTA PHARMA  ISTA US 04/21/12 P5      -34.7  60.1   0.20    0.0    356
RIMM   RESEARCH IN  RIMM US 01/21/12 P10     -32.7  74.1   0.11  -47.6   6798
RIMM   RESEARCH IN  RIMM US 01/21/12 P11     -31.4  69.5   0.23  -30.3   1287
RIMM   RESEARCH IN  RIMM US 01/21/12 P9      -31.1  79.8   0.06  -60.0    635
RIMM   RESEARCH IN  RIMM US 01/21/12 P8      -30.2  86.1   0.03  -66.7   1410
RIMM   RESEARCH IN  RIMM US 01/21/12 P12     -29.4  67.0   0.46   -4.2   4322
RIMM   RESEARCH IN  RIMM US 01/21/12 C12     -28.4  68.1   2.03  -44.4    418
RIMM   RESEARCH IN  RIMM US 01/21/12 C13     -28.1  66.2   1.39  -52.1   2634
GLW    CORNING INC  GLW US 01/21/12 C10      -27.9  43.1   3.15   -3.1   1967
RIMM   RESEARCH IN  RIMM US 01/21/12 P13     -27.2  66.1   0.83   10.7  56995
INHX   INHIBITEX I  INHX US 01/21/12 C7.5    -27.1 157.6   3.60    0.0    440
RIMM   RESEARCH IN  RIMM US 01/21/12 P14     -25.5  64.5   1.33   26.7   6156
BAC    BANK OF AME  BAC US 01/21/12 C2.5     -24.8 105.3   2.81    0.7    254
CFX    COLFAX CORP  CFX US 01/21/12 C30      -23.9  28.3   0.75    7.1    272
HCBK   HUDSON CITY  HCBK US 01/21/12 C5      -22.8  36.4   1.20   22.4    714
ADBE   ADOBE SYS I  ADBE US 01/21/12 C29     -21.3  31.5   0.83   76.6    438
CFX    COLFAX CORP  CFX US 01/21/12 P30      -19.1  57.6   2.25  -39.2   2021
ADBE   ADOBE SYS I  ADBE US 01/21/12 C28     -19.1  32.2   1.27   71.6   2027
ADBE   ADOBE SYS I  ADBE US 01/21/12 C27     -18.8  33.3   1.86   67.6    236
ADBE   ADOBE SYS I  ADBE US 01/21/12 P27     -18.6  33.2   0.58  -64.4   1583
RIMM   RESEARCH IN  RIMM US 02/18/12 P11     -18.2  68.5   0.48   11.6    221
ADBE   ADOBE SYS I  ADBE US 01/21/12 P26     -18.0  34.1   0.35  -70.6   1294
ACN    ACCENTURE P  ACN US 01/21/12 C55      -18.0  28.1   1.35  -54.2    382
RIMM   RESEARCH IN  RIMM US 02/18/12 P12     -17.4  66.2   0.78   23.8    377
CVC    CABLEVISION  CVC US 01/21/12 C12      -17.0  47.1   0.56  -83.0    261
ADBE   ADOBE SYS I  ADBE US 01/21/12 P25     -16.8  35.7   0.20  -74.0    316
RIMM   RESEARCH IN  RIMM US 02/18/12 P13     -16.0  65.5   1.20   27.7    367
ADBE   ADOBE SYS I  ADBE US 01/21/12 P24     -15.9  37.0   0.09  -82.0    358
ADBE   ADOBE SYS I  ADBE US 01/21/12 C20     -15.8  42.9   8.70   31.8    383
ACN    ACCENTURE P  ACN US 01/21/12 P52.5    -15.7  30.3   1.55   46.2   2156
RIMM   RESEARCH IN  RIMM US 02/18/12 C13     -15.5  66.4   1.74  -43.0    540
SPWR   SUNPOWER CO  SPWR US 01/21/12 P5      -15.4  82.5   0.53    1.9   1001
MBI    MBIA INC     MBI US 01/21/12 C10      -15.4  78.3   2.38  -12.2   4465
ENDP   ENDO PHARMA  ENDP US 01/21/12 C35     -15.3  32.7   1.20  -14.3   5052
IAU    ISHARES GOL  IAU US 01/21/12 C16      -14.6  21.0   0.22   10.0    216
RIMM   RESEARCH IN  RIMM US 02/18/12 P14     -14.4  64.9   1.71   29.6    311
EUO    PROSH-UL/SH  EUO US 01/21/12 C20      -13.9  24.7   0.63  -21.2    729
RSX    MKT VECT-RU  RSX US 01/21/12 P27      -12.6  42.1   1.70  -15.0    279
PSTI   PLURISTEM T  PSTI US 06/16/12 C2.5    -12.1  70.3   0.45  -25.0    600
JEF    JEFFERIES G  JEF US 01/21/12 C12.5    -11.9  59.3   1.00    7.5    321
RIMM   RESEARCH IN  RIMM US 03/17/12 P12     -11.8  66.6   1.05   26.5   2524
RIMM   RESEARCH IN  RIMM US 03/17/12 C13     -11.4  66.1   2.07  -38.2    416
RIMM   RESEARCH IN  RIMM US 03/17/12 P13     -11.3  65.7   1.45   26.1    980
JBLU   JETBLUE AIR  JBLU US 01/21/12 C5      -11.1  53.6   0.65   30.0   1288
MBI    MBIA INC     MBI US 01/21/12 C7.5     -10.9  83.6   4.60   -2.3    251
AGNC   AMERICAN CA  AGNC US 01/21/12 C29     -10.8  11.3   0.15   50.0    503
RSX    MKT VECT-RU  RSX US 01/21/12 C27      -10.7  40.8   1.10   -8.3   3666
BCS    BARCLAYS PL  BCS US 01/21/12 P11      -10.7  65.2   1.00  -16.7   1813
BCS    BARCLAYS PL  BCS US 01/21/12 C11      -10.6  61.9   0.70   -6.7    962
KEY    KEYCORP      KEY US 03/17/12 C6       -10.4  52.4   1.47    4.3    200
RIMM   RESEARCH IN  RIMM US 03/17/12 P14     -10.3  65.1   2.00   30.7    570
CS     CREDIT SUIS  CS US 01/21/12 C23       -10.2  51.3   1.40  -17.6   1618
ACN    ACCENTURE P  ACN US 02/18/12 C55      -10.2  29.8   2.10  -43.2    241
MHS    MEDCO HEALT  MHS US 01/21/12 C55      -10.2  35.8   3.00    7.1    261

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

-- Bloomberg News

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