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
=============================================================================
JKHY   JACK HENRY   JKHY US 06/16/12 C30     182.8  34.0   4.60    2.2    381
SMH    SEMICONDUCT  SMH US 02/18/12 P21.5     57.6  94.4   0.42   68.0    200
AGNC   AMERICAN CA  AGNC US 01/21/12 C28      51.1  25.8   0.95  -13.6   2297
JNJ    JOHNSON&JOH  JNJ US 01/21/12 C62.5     44.0  16.0   1.85  -10.6    374
AGNC   AMERICAN CA  AGNC US 01/21/12 C25      42.4  71.0   4.00   -2.4    253
WPZ    WILLIAMS PA  WPZ US 01/21/12 P55       40.9  26.3   0.40    0.0    632
TIN    TEMPLE-INLA  TIN US 01/21/12 C30       40.5  18.6   1.75   -7.9   6509
AGNC   AMERICAN CA  AGNC US 01/21/12 C27      33.0  41.4   2.00   -4.8    931
RAX    RACKSPACE H  RAX US 01/21/12 C32       32.4  55.5  12.72   39.8    513
VZ     VERIZON COM  VZ US 01/21/12 C37        30.0  17.2   1.85   -1.1    240
C      CITIGROUP I  C1 US 01/21/12 P4.5       24.4  98.9   2.02    8.0    210
MRK    MERCK & CO   MRK US 01/21/12 C30       23.3  40.6   6.65    7.3   2915
C      CITIGROUP I  C1 US 01/21/12 P5         21.4 112.4   2.54    5.8   2084
AGNC   AMERICAN CA  AGNC US 01/21/12 C26      20.3  52.4   2.90   -3.6   1164
MO     ALTRIA GROU  MO US 01/21/12 C25        19.7  42.8   4.45    8.5    229
ATPG   ATP OIL & G  ATPG US 01/19/13 P2.5     18.8 150.3   0.95   15.8    213
JNJ    JOHNSON&JOH  JNJ US 01/21/12 C65       18.2  13.7   0.50  -23.1    932
AGNC   AMERICAN CA  AGNC US 01/21/12 P27      17.2  23.0   0.39    5.4    848
CVC    CABLEVISION  CVC US 06/16/12 P8        14.6  56.6   0.25    0.0    580
AGNC   AMERICAN CA  AGNC US 01/21/12 P29      14.3  20.9   1.50    3.5    607
T      AT&T INC     T US 01/21/12 C27.5       13.2  17.0   1.39   -1.4    536
ELN    ELAN CORP-A  ELN US 01/21/12 C12.5     13.1  46.9   0.50   42.9    990
MO     ALTRIA GROU  MO US 01/21/12 C29        12.4  15.7   0.57   35.7    213
VZ     VERIZON COM  VZ US 02/18/12 C37        12.0  19.5   2.04    0.5    243
APOL   APOLLO GROU  APOL US 01/21/12 P27      12.0 100.0   0.06  -25.0    200
MBI    MBIA INC     MBI US 01/21/12 C7.5      11.7  85.6   4.40   -1.1    362
MO     ALTRIA GROU  MO US 01/21/12 C28        11.5  19.0   1.40   17.6    230
VZ     VERIZON COM  VZ US 01/21/12 C38        11.4  15.1   1.00   -2.9    361
EWZ    ISHARES-BRA  EWZ US 01/21/12 C50       11.2  51.1   6.55   -7.1    829
XLI    SPDR-INDU S  XLI US 01/21/12 P32       11.0  26.9   0.76   -3.8    222
C      CITIGROUP I  C1 US 01/21/12 P4         10.6  82.4   1.54    9.2    605
IOC    INTEROIL CO  IOC US 01/21/12 C25       10.6 151.4  21.65  -11.3    200
T      AT&T INC     T US 02/18/12 C27         10.1  20.3   2.03    4.6    263

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
CALL   MAGICJACK V  CALL US 01/21/12 P12.5   -64.0  54.6   0.60    0.0   2261
WINN   WINN-DIXIE   WINN US 06/16/12 C7.5    -54.6  25.6   1.85  516.7    634
SUG    SOUTHERN UN  SUG US 01/21/12 C42.5    -40.5   7.9   0.30  -61.5    204
WINN   WINN-DIXIE   WINN US 06/16/12 P7.5    -30.5  29.1   0.10    0.0    412
NLY    ANNALY CAPI  NLY US 01/21/12 C16      -29.3  10.8   0.48   20.0   1168
P      PANDORA MED  P US 01/21/12 C9         -24.2  47.1   1.25  -32.4   1907
WINN   WINN-DIXIE   WINN US 03/17/12 C7.5    -22.7  35.4   1.85 1133.3    612
P      PANDORA MED  P US 01/21/12 C10        -20.5  48.5   0.60  -42.9    615
T      AT&T INC     T US 01/21/12 P30        -19.5  12.6   1.63   -1.8    229
VVUS   VIVUS INC    VVUS US 01/21/12 C10     -19.1  76.6   0.97  -22.4    368
PBR    PETROBRAS S  PBR US 01/21/12 C22.5    -18.2  39.4   2.40   -0.8    487
JNS    JANUS CAPIT  JNS US 01/21/12 C6       -15.5  36.5   0.20  -33.3   3599
PLCM   POLYCOM INC  PLCM US 01/21/12 C16.25  -15.1  57.0   0.91  -27.2    468
RIMM   RESEARCH IN  RIMM US 01/21/12 P9      -15.1  67.2   0.03  -50.0   2491
STP    SUNTECH POW  STP US 01/21/12 P2       -14.7  95.2   0.16    0.0    670
FHN    FIRST HORIZ  FHN US 01/21/12 P7       -14.4  41.4   0.24    0.0    789
DMAN   DEMANDTEC I  DMAN US 01/21/12 P12.5   -14.3  18.9   0.10  -33.3   1375
TIP    ISHARES US   TIP US 01/21/12 C117     -13.9   4.9   0.55  -20.3    356
TBT    PROSHARES U  TBT US 01/21/12 C15      -13.8  38.6   2.83   -7.2    231
AMR    AMR CORP     AMR US 01/21/12 C0.5     -13.7 119.4   0.15  -28.6    235
EMC    EMC CORP/MA  EMC US 01/21/12 P17.5    -13.2  36.2   0.01  -66.7    896
BVN    BUENAVENTUR  BVN US 01/21/12 P38      -13.2  37.0   1.00    0.0   1006
CSU    CAP SENIOR   CSU US 01/21/12 C7.5     -12.8  43.3   0.40  -20.0    350
T      AT&T INC     T US 01/21/12 P29        -12.8  13.4   0.83   -3.5   1493
VMED   VIRGIN MEDI  VMED US 01/21/12 P21     -12.8  41.2   1.19   -0.8   2033
CLWR   CLEARWIRE -  CLWR US 01/21/12 P2      -12.2  82.9   0.15  -25.0   1078
CMC    COMMERCIAL   CMC US 01/21/12 C14      -12.2  25.4   0.40  -11.1    841
JNJ    JOHNSON&JOH  JNJ US 01/21/12 P62.5    -11.9  15.9   0.70    2.9    382
VVUS   VIVUS INC    VVUS US 01/21/12 P9      -11.3  87.1   0.50  -26.5    739
CAG    CONAGRA FOO  CAG US 01/21/12 C26      -11.0  15.3   0.27  -22.9    573
PPL    PPL CORPORA  PPL US 01/21/12 P28      -10.8  15.4   0.25   25.0    400
JNK    SPDR BARCLA  JNK US 01/21/12 P38      -10.2   9.4   0.50   -9.1    403
RIMM   RESEARCH IN  RIMM US 01/21/12 P8      -10.1  73.9   0.01  -66.7    913

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

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