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
=============================================================================
SHLD   SEARS HOLDI  SHLD US 03/17/12 C32.5    88.7  65.0   5.90    0.0    202
JNK    SPDR BARCLA  JNK US 01/21/12 C38.39    67.1   8.9   0.55   14.6    484
SHLD   SEARS HOLDI  SHLD US 03/17/12 C35      60.5  63.5   4.60    0.0    338
QQQ    POWERSH-QQQ  QQQ US 01/21/12 C45       59.5  37.3  11.16    0.6   5874
SHLD   SEARS HOLDI  SHLD US 01/21/12 C35      40.2  77.3   2.80  -73.3    575
ABT    ABBOTT LABS  ABT US 01/21/12 C52.5     38.9  18.5   3.71    4.2    461
KFT    KRAFT FOODS  KFT US 01/18/14 C32       31.9  22.6   6.87    0.0    440
SSO    PROSHARES U  SSO US 01/21/12 P31       29.4  86.5   0.05    0.0    200
IGT    INTL GAME T  IGT US 01/21/12 C10       26.6  96.7   7.00   25.0    200
C      CITIGROUP I  C1 US 01/21/12 P4         26.1  84.3   1.28    0.0    530
SFSF   SUCCESSFACT  SFSF US 01/21/12 P38      25.9  14.7   0.05    0.0    219
CFX    COLFAX CORP  CFX US 01/21/12 C17.5     25.1 107.0  11.70   -2.5    620
DUK    DUKE ENERGY  DUK US 01/21/12 P21       23.7  18.2   0.05  -50.0    455
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5      22.8 133.6   2.47    4.7    811
MHR    MAGNUM HUNT  MHR US 01/21/12 C5        22.8  60.8   0.70  483.3    984
UPS    UNITED PARC  UPS US 01/21/12 C65       20.2  27.2   8.80    3.5    241
MCD    MCDONALDS C  MCD US 01/21/12 C85       20.1  36.9  15.75    4.5    216
EDMC   EDUCATION M  EDMC US 01/21/12 C12.5    19.1 155.5  15.10   17.1    560
SHLD   SEARS HOLDI  SHLD US 01/21/12 P35      18.7 111.3   3.90  364.3   1333
KFT    KRAFT FOODS  KFT US 01/21/12 C37       18.3  14.3   0.79    1.3    569
LDK    LDK SOLAR C  LDK US 01/21/12 C3.5      18.1  69.3   1.42   -1.4    416
ABC    AMERISOURCE  ABC US 01/21/12 C39       17.8  23.8   0.40   60.0   1478
AONE   A123 SYSTEM  AONE US 02/18/12 C1       17.7 136.4   0.85   30.8    300
IBKR   INTERACTIVE  IBKR US 01/21/12 P15.71   17.5  20.5   0.68   -2.9    200
CMCSK  COMCAST COR  CMCSK US 01/21/12 P20     16.8  46.3   0.10    0.0    636
BCS    BARCLAYS PL  BCS US 01/21/12 C11       16.7  61.1   0.90    5.9    554
DIA    SPDR DJIA T  DIA US 01/21/12 C115      16.7  23.4   8.20    3.8    314
GRPN   GROUPON INC  GRPN US 01/21/12 C18      16.6  57.4   5.20    7.7    800
QQQ    POWERSH-QQQ  QQQ US 01/21/12 C50       16.6  27.5   6.25    1.0   5919
INTC   INTEL CORP   INTC US 01/21/12 P20      16.4  43.5   0.03    0.0    345
AAWW   ATLAS AIR W  AAWW US 01/21/12 C37.5    15.8  51.2   2.70   21.1    240
ABC    AMERISOURCE  ABC US 01/21/12 C38       15.4  24.3   0.80   45.5    720
VRX    VALEANT PHA  VRX US 01/21/12 C41       14.3  71.4   6.53   12.6   1250
GRPN   GROUPON INC  GRPN US 01/21/12 C15      14.1  91.4   8.48   10.1    312
HD     HOME DEPOT   HD US 01/21/12 C38        13.9  31.4   4.35    3.6    442
TBT    PROSHARES U  TBT US 01/21/12 P20       13.8  38.3   1.26    1.6    389
TLT    ISHARES BAR  TLT US 01/21/12 C110      13.8  20.1   8.10   -1.8    260
ATLS   ATLAS ENERG  ATLS US 01/21/12 P22.5    13.5  35.4   0.30  -14.3    200
ARNA   ARENA PHARM  ARNA US 01/21/12 C2       13.3  97.9   0.18   -5.3    207
EPD    ENTERPRISE   EPD US 01/21/12 C44       13.3  15.5   1.52   -7.9    350
SHLD   SEARS HOLDI  SHLD US 03/17/12 P32.5    13.2 119.8   5.80  143.7    207
QQQ    POWERSH-QQQ  QQQ US 01/21/12 C51       13.1  26.5   5.34    3.7    444
TZOO   TRAVELZOO I  TZOO US 03/17/12 C20      12.9  28.4   6.00  -10.4    925
HTS    HATTERAS FI  HTS US 01/21/12 C27       12.9  14.7   0.25   66.7    359
LLY    ELI LILLY &  LLY US 01/21/12 P35       12.7  39.4   0.06   20.0   2002
JPM    JPMORGAN CH  JPM US 01/21/12 P15       12.4 125.6   0.01    0.0    305
EFA    ISHARES-MSC  EFA US 01/21/12 P38       12.2  47.2   0.04  100.0    275
CELG   CELGENE COR  CELG US 01/21/12 C60      12.2  32.4   7.86    8.1    320
HD     HOME DEPOT   HD US 01/21/12 C36        12.2  39.1   6.25    2.0    329
MCD    MCDONALDS C  MCD US 01/21/12 C100      12.2  15.3   1.89   20.4    600
VRX    VALEANT PHA  VRX US 01/21/12 C48       12.2  62.6   2.45   16.7    400
T      AT&T INC     T US 01/21/12 C29         12.0  13.7   1.02   12.1   1008
WYNN   WYNN RESORT  WYNN US 01/21/12 C110     12.0  39.5   6.30   44.8    370
VRX    VALEANT PHA  VRX US 01/21/12 C49       11.7  61.9   2.10   23.5    641
POT    POTASH CORP  POT US 01/21/12 C41.67    11.6  37.8   1.98   -1.0    438
AAWW   ATLAS AIR W  AAWW US 01/21/12 C40      11.4  43.2   1.25   25.0    244
BP     BP PLC-ADR   BP US 01/21/12 C45        11.4  23.2   0.37   -5.1    231
POT    POTASH CORP  POT US 01/21/12 P41.67    11.3  38.0   1.40   15.7   5437
XLE    SPDR-ENERGY  XLE US 01/21/12 P55       11.2  45.1   0.05  -16.7    495
QQQ    POWERSH-QQQ  QQQ US 01/21/12 C52       11.2  25.6   4.41    5.0    331
XOM    EXXON MOBIL  XOM US 01/21/12 C82.5     11.2  20.1   3.28   -4.1    398
POT    POTASH CORP  POT US 01/21/12 C43.33    11.1  37.3   1.15   -5.7    230
VOD    VODAFONE GR  VOD US 01/21/12 C28       11.0  16.2   0.40   14.3    242
XL     XL GROUP PL  XL US 01/21/12 P20        10.9  28.5   0.44  -12.0    299
YHOO   YAHOO! INC   YHOO US 01/21/12 P12.5    10.9  59.4   0.04   33.3    262
CVS    CVS CAREMAR  CVS US 01/21/12 P38       10.9  29.4   0.24  -11.1   1286
WYNN   WYNN RESORT  WYNN US 01/21/12 C115     10.8  37.3   3.50   62.0    288
POT    POTASH CORP  POT US 01/21/12 P38.33    10.8  40.7   0.40   17.6    201
AAPL   APPLE INC    AAPL US 01/21/12 P335     10.8  37.7   0.31   -8.8    373
SHLD   SEARS HOLDI  SHLD US 01/21/12 P32.5    10.8 112.0   2.65  562.5    549
T      AT&T INC     T US 01/21/12 P27.5       10.6  20.9   0.07  -12.5    253
VZ     VERIZON COM  VZ US 01/21/12 C39        10.6  14.0   0.95  -10.4    275
XL     XL GROUP PL  XL US 01/21/12 P19        10.6  32.5   0.19  -54.8    200
F      FORD MOTOR   F US 01/21/12 P9          10.6  47.6   0.03   50.0    620
USO    UNITED STAT  USO US 01/21/12 P30       10.6  53.2   0.05    0.0    409
POT    POTASH CORP  POT US 01/21/12 P40       10.6  38.9   0.83   25.8    280
AAPL   APPLE INC    AAPL US 01/21/12 P350     10.5  34.4   0.60  -14.3   1055
SHLD   SEARS HOLDI  SHLD US 03/17/12 P27.5    10.5 124.3   3.80  117.1    504
JNJ    JOHNSON&JOH  JNJ US 01/21/12 P60       10.4  22.1   0.06    0.0    212
SPY    SPDR S&P 50  SPY US 01/21/12 P92       10.4  48.8   0.01  -50.0    200
AAPL   APPLE INC    AAPL US 01/21/12 C365     10.3  32.5  43.05    7.2    332
AAPL   APPLE INC    AAPL US 01/21/12 P340     10.3  36.6   0.40   -4.8    925
EFA    ISHARES-MSC  EFA US 01/21/12 P40       10.2  43.1   0.06   20.0    224
BRCD   BROCADE COM  BRCD US 02/18/12 C5       10.2  58.1   0.75   44.2   1000
USO    UNITED STAT  USO US 01/21/12 P27       10.1  63.9   0.03   50.0    351
BRK/B  BERKSHIRE H  BRKB US 01/21/12 C77.5    10.1  17.9   1.32  -13.7    488

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
NLY    ANNALY CAPI  NLY US 04/21/12 C13      -48.7  26.0   3.40  -12.8    250
GRPN   GROUPON INC  GRPN US 01/21/12 C19     -38.6  33.0   4.10    7.9    300
NLY    ANNALY CAPI  NLY US 01/21/12 C14      -38.4  35.4   2.38  -18.8    254
NLY    ANNALY CAPI  NLY US 01/21/12 C16      -29.2  16.5   0.46  -50.0   1713
IEF    ISHARES 7-1  IEF US 03/17/12 C101     -28.8   5.0   3.40    0.0    300
NLY    ANNALY CAPI  NLY US 04/21/12 C15      -26.6  20.6   1.50  -22.7    262
TLT    ISHARES BAR  TLT US 01/21/12 C100     -22.6  28.1  17.75   -3.3    259
TLT    ISHARES BAR  TLT US 01/18/14 C120     -19.1  15.2   8.25  -25.0   1000
XLP    SPDR-CONS S  XLP US 01/21/12 C20      -15.9  62.6  12.65    9.5   2199
C      CITIGROUP I  C1 US 01/21/12 P4.5      -15.3  77.9   1.76   -0.6    210
MHR    MAGNUM HUNT  MHR US 02/18/12 C5       -13.4  61.2   0.85  142.9   1020
AMR    AMR CORP     AMR US 01/19/13 P0.5     -12.9 149.7   0.27  -10.0    524
NLY    ANNALY CAPI  NLY US 01/21/12 P16      -12.3  16.6   0.14  -26.3   4028
JASO   JA SOLAR HO  JASO US 06/16/12 P1      -11.9  80.4   0.15    0.0   2328
MJN    MEAD JOHNSO  MJN US 01/21/12 C70      -11.4  44.9   2.80   53.0   1351
SHLD   SEARS HOLDI  SHLD US 01/21/12 P25     -11.4 117.2   0.55    0.0   4416
NLY    ANNALY CAPI  NLY US 02/18/12 C16      -11.1  18.7   0.63  -31.5    426
VMI    VALMONT IND  VMI US 01/21/12 C95      -10.2  27.3   1.70  -27.7    337
CSU    CAP SENIOR   CSU US 01/21/12 C7.5     -10.1  41.7   0.35  -22.2    250

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

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