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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
=============================================================================
UNG    US NAT GAS   UNG US 07/21/12 P7        44.6  36.7   0.87    1.2    350
CIGX   STAR SCIENT  CIGX US 01/21/12 C2       26.6  96.0   0.30  -14.3   1010
MHP    MCGRAW-HILL  MHP US 01/21/12 C46       21.3  23.2   0.55  -15.4    888
AVEO   AVEO PHARMA  AVEO US 01/21/12 C17.5    19.4  93.1   1.50   36.4   1020
IAU    ISHARES GOL  IAU US 01/21/12 C16       18.1  19.9   0.05  -50.0    214
UGL    PRSH-ULT GO  UGL US 01/21/12 C81       17.8  40.0   2.85  -48.9    231
UUP    POWERSHARES  UUP US 01/21/12 C21       16.8  11.3   1.54   16.7    275
MCP    MOLYCORP IN  MCP US 01/21/12 C25       16.0  68.2   1.49  -57.4    441
EP     EL PASO COR  EP US 07/21/12 C26        15.6  17.4   1.60   -5.9    283
SHLD   SEARS HOLDI  SHLD US 01/21/12 P25      15.4 126.7   0.85   23.2   6309
MCP    MOLYCORP IN  MCP US 01/21/12 C26       15.0  67.6   1.04  -62.6   1464
LSI    LSI CORP     LSI US 02/18/12 C6        14.9  45.1   0.30    0.0    248
NEOP   NEOPROBE CO  NEOP US 01/21/12 C2       14.3  74.0   0.60    9.1    320
O      REALTY INCO  O US 01/21/12 C35         13.2  15.6   0.70  -17.6    472
TLT    ISHARES BAR  TLT US 01/21/12 C110      13.0  20.6  10.10   19.5    239
ETE    ENERGY TRAN  ETE US 01/21/12 C40       13.0  18.9   1.00  -33.3    394
TZOO   TRAVELZOO I  TZOO US 01/21/12 C15      12.5 114.3  10.40   -2.8    433
PFE    PFIZER INC   PFE US 01/21/12 C19       12.4  33.1   2.61   -6.8    806
QQQ    POWERSH-QQQ  QQQ US 01/21/12 C53       11.7  24.0   3.14   -9.5    502
EWJ    ISHARES-JAP  EWJ US 01/21/12 C9        11.5  20.5   0.13  -13.3    518
NEM    NEWMONT MIN  NEM US 01/21/12 C62.5     11.1  29.8   0.63  -47.1    420
SHLD   SEARS HOLDI  SHLD US 01/21/12 P27.5    11.0 121.0   1.34    6.3   2936
MHR    MAGNUM HUNT  MHR US 01/19/13 P2.5      11.0  81.3   0.30  -14.3   1003

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
C      CITIGROUP I  C US 01/21/12 C5         -43.8 261.6  21.30  -12.9  14018
WIN    WINDSTREAM   WIN US 01/21/12 C11      -38.5  26.6   0.84  -28.2    260
KFT    KRAFT FOODS  KFT US 01/21/12 C30      -34.3  39.1   7.45   -3.9    202
SPXU   PROSHARES U  SPXU US 01/21/12 C11     -19.2  39.7   2.20   12.8    203
KFT    KRAFT FOODS  KFT US 01/21/12 C35      -16.8  21.0   2.54   -7.6    436
GE     GENERAL ELE  GE US 01/21/12 C15       -15.7  39.2   2.89   -5.2    299
WEN    WENDY'S CO/  WEN US 02/18/12 C5       -14.5  32.3   0.50    0.0   1018
KFN    KKR FINANCI  KFN US 01/21/12 P6       -13.3  96.9   0.05  -66.7    250
RNOW   RIGHTNOW TE  RNOW US 06/16/12 P40     -12.6   8.3   0.10    0.0   1000
BVN    BUENAVENTUR  BVN US 01/21/12 P37      -12.4  34.7   0.82   -8.9    830
CX     CEMEX SAB-S  CX US 04/21/12 P2        -11.3 113.6   0.05  -44.4   1000
MJN    MEAD JOHNSO  MJN US 01/21/12 C65      -11.2  44.2   5.45   -5.2    660
LOGI   LOGITECH IN  LOGI US 06/16/12 P6      -11.1  61.9   0.60   25.0    201
ONXX   ONYX PHARM   ONXX US 02/18/12 P41     -11.1  43.4   1.50  -60.5    200
ONXX   ONYX PHARM   ONXX US 02/18/12 P40     -10.8  44.0   1.20  -36.8    207
CFX    COLFAX CORP  CFX US 01/21/12 C17.5    -10.3 126.4  10.80   -6.1    700

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

-- Bloomberg News

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