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
=============================================================================
XRS    TAL EDUCATI  XRS US 01/21/12 C10       54.2  37.6   0.30    0.0    708
SHLD   SEARS HOLDI  SHLD US 01/21/12 C30      43.5  89.3  15.45    0.0    269
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5      38.1 142.3   2.59    5.7    608
T      AT&T INC     T US 01/21/12 C27.5       34.1  16.0   2.02   11.6    245
PHH    PHH CORP     PHH US 02/18/12 P10       30.0  73.9   1.00  900.0    604
AMR    AMR CORP     AMR US 01/21/12 C0.5      27.7 105.4   0.07   16.7    400
PHH    PHH CORP     PHH US 05/19/12 P10       27.4  73.5   1.45  141.7   1072
TNB    THOMAS & BE  TNB US 02/18/12 C55       23.8  37.7   2.95    0.0    559
HBAN   HUNTINGTON   HBAN US 01/21/12 C5       23.6  40.8   0.61   32.6    657
C      CITIGROUP I  C1 US 01/21/12 P3.5       22.4  43.8   0.76  -25.5    603
T      AT&T INC     T US 01/21/12 C24         20.8  39.0   5.55    5.9   1881
CVS    CVS CAREMAR  CVS US 01/21/12 C35       20.5  35.0   6.12    9.3    210
LDK    LDK SOLAR C  LDK US 01/19/13 C3        18.2  28.9   2.10   11.7    500
AMLN   AMYLIN PHAR  AMLN US 02/18/12 C11      18.2 122.5   2.14   19.6    583
PHH    PHH CORP     PHH US 05/19/12 P7.5      17.9  85.0   0.85    0.0   2325
GRPN   GROUPON INC  GRPN US 01/21/12 C5       17.3 260.6  17.20   -2.3    797
KOL    MKT VECT-CO  KOL US 01/21/12 P33       17.1  47.7   1.55  -41.5    201
AKAM   AKAMAI TECH  AKAM US 01/21/12 C26      17.1  50.7   5.60  243.6    504
DMND   DIAMOND FOO  DMND US 01/21/12 C30      16.9  89.8   2.80  109.0    506
LRN    K12 INC      LRN US 01/21/12 P17.5     16.4  95.7   2.05   28.1   1034
NLY    ANNALY CAPI  NLY US 01/21/12 C16       16.3  23.0   0.88   15.8   1884
DMND   DIAMOND FOO  DMND US 01/21/12 P22.5    16.3 112.1   0.85  -15.0    719
AKAM   AKAMAI TECH  AKAM US 01/21/12 P25      15.8  52.1   0.10  -85.1    306
PHH    PHH CORP     PHH US 01/21/12 P10       15.7  91.2   1.00    0.0    791
AKAM   AKAMAI TECH  AKAM US 01/21/12 P27.5    15.4  47.8   0.30  -85.1    576
GE     GENERAL ELE  GE US 01/21/12 P15        15.2  43.9   0.06  -14.3   1516
VXX    IPATH-S&P S  VXX US 01/21/12 C32       14.9  64.8   3.15   -6.0    931
EEM    ISHARES-EMG  EEM US 01/19/13 P20       14.8  46.6   0.63    0.0    232
AKAM   AKAMAI TECH  AKAM US 01/21/12 P26      14.5  49.6   0.16  -85.3    322
MJN    MEAD JOHNSO  MJN US 01/21/12 C70       14.5  38.4   3.10  -50.0    343
ELN    ELAN CORP-A  ELN US 01/21/12 C11       14.4  60.9   2.20    2.3    595
GEN    GENON ENERG  GEN US 01/21/12 C2.5      14.3  69.5   0.15   15.4    590
V      VISA INC-CL  V US 01/21/12 C105        14.3  24.0   1.25   43.7   6793
WCRX   WARNER CHIL  WCRX US 01/21/12 P14      13.9  56.3   0.45  -35.7   1873
AKAM   AKAMAI TECH  AKAM US 01/21/12 C25      13.9  50.8   6.53  177.9    246
NLY    ANNALY CAPI  NLY US 01/21/12 P14       13.6  36.6   0.05   66.7    224
MJN    MEAD JOHNSO  MJN US 01/21/12 P70       13.5  37.6   2.80  418.5   1087
AKAM   AKAMAI TECH  AKAM US 01/21/12 C29      12.9  45.9   3.10  604.5   1178
AKAM   AKAMAI TECH  AKAM US 01/21/12 C27.5    12.7  46.6   4.30  372.5   3070
GE     GENERAL ELE  GE US 01/21/12 C16        12.7  35.5   2.10   23.5   3866
USG    USG CORP     USG US 02/18/12 C10       12.5  72.3   1.05   40.0    980
AKAM   AKAMAI TECH  AKAM US 01/21/12 P29      12.2  45.7   0.60  -79.4   1124
SPY    SPDR S&P 50  SPY US 01/21/12 C110      12.0  29.7  14.98    3.0    787
TLAB   TELLABS INC  TLAB US 01/21/12 C4       11.9  42.9   0.15   50.0   1768
PFE    PFIZER INC   PFE US 06/16/12 C16       11.8  33.6   5.70   65.2    575
AKAM   AKAMAI TECH  AKAM US 01/21/12 P30      11.7  45.1   0.89  -78.3   2551
CHS    CHICO'S FAS  CHS US 05/19/12 C11       11.5  48.4   1.10   10.0   2732
HAS    HASBRO INC   HAS US 01/21/12 P32.5     11.4  27.8   0.90   38.5   4620
GE     GENERAL ELE  GE US 01/21/12 P14        11.3  50.3   0.04   33.3    269
RTN    RAYTHEON CO  RTN US 01/21/12 P38       11.2  39.1   0.05    0.0    369
T      AT&T INC     T US 01/21/12 C22.5       11.2  57.5   7.03    4.9   1250
QQQ    POWERSH-QQQ  QQQ US 01/21/12 C50       11.0  26.0   5.60    6.3    261
AMLN   AMYLIN PHAR  AMLN US 01/21/12 P7.5     11.0 114.2   0.14   40.0    640
VRUS   PHARMASSET   VRUS US 01/21/12 P125     11.0  67.6   8.50   -5.6    325
V      VISA INC-CL  V US 01/21/12 C100        10.9  24.7   3.45   19.0    622
ATPG   ATP OIL & G  ATPG US 01/19/13 P2.5     10.7 158.3   0.87    6.1    387
RTN    RAYTHEON CO  RTN US 01/21/12 P37       10.6  42.5   0.05  -37.5    343
AMLN   AMYLIN PHAR  AMLN US 01/21/12 P11      10.5  91.9   1.04   13.0    688

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
BBBY   BED BATH &B  BBBY US 01/21/12 C55     -42.6  23.6   3.20  -54.2    279
BBBY   BED BATH &B  BBBY US 01/21/12 C57.5   -42.3  22.4   1.53  -70.6    357
BBBY   BED BATH &B  BBBY US 01/21/12 C60     -41.6  22.1   0.57  -83.6   1282
BBBY   BED BATH &B  BBBY US 01/21/12 P57.5   -41.4  22.7   1.48   34.5   4671
BBBY   BED BATH &B  BBBY US 01/21/12 P55     -40.9  23.9   0.53  -10.2   1707
BBBY   BED BATH &B  BBBY US 01/21/12 P60     -40.9  22.1   3.00   61.3   4615
BBBY   BED BATH &B  BBBY US 01/21/12 P52.5   -39.4  25.8   0.18  -47.1   1498
EEM    ISHARES-EMG  EEM US 01/19/13 P22      -36.9  44.2   0.88    0.0    239
AM     AMER GREETI  AM US 02/18/12 P12.5     -36.5  40.1   0.50    0.0    551
TIBX   TIBCO SOFTW  TIBX US 01/21/12 P21     -36.1  44.4   0.25  -81.5   1156
EEM    ISHARES-EMG  EEM US 01/19/13 P21      -35.9  45.3   0.76    0.0    216
TIBX   TIBCO SOFTW  TIBX US 01/21/12 C22.5   -34.2  43.8   1.80   28.6   1590
TIBX   TIBCO SOFTW  TIBX US 01/21/12 C21     -33.5  46.2   2.70   25.6    374
TIBX   TIBCO SOFTW  TIBX US 01/21/12 C20     -32.0  46.5   3.90   34.5    544
LSI    LSI CORP     LSI US 01/21/12 C5       -29.4  29.8   0.90   12.5    245
BBBY   BED BATH &B  BBBY US 02/18/12 C60     -28.1  23.4   1.19  -69.9    666
VVUS   VIVUS INC    VVUS US 01/21/12 C7.5    -27.9  68.3   1.57  -44.9    392
BBBY   BED BATH &B  BBBY US 02/18/12 P60     -27.4  23.9   3.70   46.2    285
SHLD   SEARS HOLDI  SHLD US 02/18/12 C32.5   -27.2  49.7  13.20    0.0    267
TIBX   TIBCO SOFTW  TIBX US 01/21/12 P19     -27.0  49.8   0.09  -83.6    307
VVUS   VIVUS INC    VVUS US 01/21/12 P7.5    -26.3  71.0   0.16    0.0    285
VVUS   VIVUS INC    VVUS US 01/21/12 C9      -25.7  58.3   0.60  -64.3    902
IOC    INTEROIL CO  IOC US 01/21/12 P45      -25.2  82.9   4.20  -16.0    315
IOC    INTEROIL CO  IOC US 01/21/12 P37.5    -24.8  85.3   1.30  -25.7    345
VVUS   VIVUS INC    VVUS US 01/21/12 P9      -24.8  60.8   0.59   59.5   2389
FINL   FINISH LINE  FINL US 01/21/12 P20     -23.9  40.2   0.75  -21.1   1423
JKS    JINKOSOLAR-  JKS US 01/21/12 C6       -20.3  55.7   0.30   20.0    212
TZOO   TRAVELZOO I  TZOO US 01/21/12 C15     -20.2  77.2  11.00    0.9    778
GE     GENERAL ELE  GE US 01/21/12 C12.5     -20.0  67.9   5.55    6.7    283
EK     EASTMAN KOD  EK US 02/18/12 P0.5      -18.9 199.0   0.15    0.0   6000
SHLD   SEARS HOLDI  SHLD US 03/17/12 C22.5   -18.7  86.2  24.25    0.0    239
BKI    BUCKEYE TEC  BKI US 01/21/12 C25      -18.5  38.2   8.40   15.1    250
ATLS   ATLAS ENERG  ATLS US 01/21/12 C21     -17.6  31.5   2.80   -5.1    343
GE     GENERAL ELE  GE US 03/17/12 C12       -17.3  50.4   6.05    8.0    201
SHLD   SEARS HOLDI  SHLD US 01/21/12 C32.5   -17.3  52.6  12.95    0.0    339
NKE    NIKE INC -C  NKE US 01/21/12 P75      -16.3  34.4   0.03  -25.0    324
BBBY   BED BATH &B  BBBY US 05/19/12 C60     -15.5  26.2   2.99  -47.2    988
BBBY   BED BATH &B  BBBY US 05/19/12 P57.5   -15.2  28.0   4.00   29.0   1018
BBBY   BED BATH &B  BBBY US 05/19/12 P60     -14.9  26.9   5.25   26.2    437
SHLD   SEARS HOLDI  SHLD US 03/17/12 C25     -14.8  62.6  20.65    0.0    266
IOC    INTEROIL CO  IOC US 02/18/12 P42.5    -13.2 100.0   6.25    0.8    215
MO     ALTRIA GROU  MO US 01/19/13 C22.5     -12.9  27.6   7.40   -5.1    507
AGO    ASSURED GUA  AGO US 01/19/13 P5       -12.7  87.7   0.50   -7.4    200
IOC    INTEROIL CO  IOC US 02/18/12 P37.5    -12.6 102.1   3.10  -20.5    200
EWJ    ISHARES-JAP  EWJ US 01/21/12 P9       -12.5  19.1   0.22  -12.0   1182
USB    US BANCORP   USB US 01/21/12 P16      -12.4  79.8   0.02  -88.2    885
PHH    PHH CORP     PHH US 02/18/12 P7.5     -12.2  95.5   0.35   40.0    601
OCR    OMNICARE IN  OCR US 01/21/12 C33      -12.2  30.6   2.50    8.7   1000
MU     MICRON TECH  MU US 01/21/12 P6        -12.2  56.2   0.22  -68.6   3278
QQQ    POWERSH-QQQ  QQQ US 01/21/12 P58      -12.0  17.6   2.86   -8.0    337
MU     MICRON TECH  MU US 01/21/12 C6        -12.0  56.1   0.62  158.3   5679
CSE    CAPITALSOUR  CSE US 07/21/12 C6       -11.8  39.3   1.00   -9.1    250
AMR    AMR CORP     AMR US 02/18/12 P0.5     -11.8 206.4   0.16  -11.1    452
GT     GOODYEAR TI  GT US 01/21/12 P12.5     -11.7  44.7   0.18  -28.0    814
SHLD   SEARS HOLDI  SHLD US 02/18/12 C30     -11.6  61.2  15.50    0.0    230
MO     ALTRIA GROU  MO US 01/21/12 C29       -11.3  16.8   0.92  -29.2    568
CSCO   CISCO SYSTE  CSCO US 01/21/12 C19     -11.0  24.4   0.18    5.9    610
AGNC   AMERICAN CA  AGNC US 01/21/12 P28     -10.9  14.2   0.35  -12.5    903
GRPN   GROUPON INC  GRPN US 02/18/12 C22     -10.9  47.1   2.05  -10.9    216
ONXX   ONYX PHARM   ONXX US 01/21/12 P39     -10.8  37.6   0.75  -46.4    315
GE     GENERAL ELE  GE US 01/21/12 C14       -10.8  55.3   4.05    8.0    277
ONXX   ONYX PHARM   ONXX US 01/21/12 P40     -10.7  37.7   1.10  -33.3    564
NYX    NYSE EURONE  NYX US 01/21/12 P25      -10.6  27.3   0.47  -21.7    254
GRPN   GROUPON INC  GRPN US 01/21/12 C22     -10.6  56.2   1.55  -26.2    715
GE     GENERAL ELE  GE US 01/21/12 C15       -10.2  42.6   3.08   14.1   2523
JAG    JAGUAR MINI  JAG US 01/21/12 C6       -10.0  81.0   0.65  -18.8    211

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

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