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
=============================================================================
WES    WESTERN GAS  WES US 02/18/12 C40       31.5  15.7   1.53   22.4    310
AMR    AMR CORP     AMR US 01/21/12 C0.5      29.5 131.0   0.07  -12.5    333
TCB    TCF FINL CO  TCB US 01/21/12 P9        20.1  59.9   0.10  -33.3    915
CIGX   STAR SCIENT  CIGX US 02/18/12 C2       15.7  73.9   0.40   33.3    455
BKS    BARNES & NO  BKS US 01/21/12 P12.5     13.5  94.9   0.65   62.5   2681
MNKD   MANNKIND CO  MNKD US 01/19/13 P2.5     13.5 165.1   1.48   27.6    200
ONNN   ON SEMICOND  ONNN US 02/18/12 P6       13.4  63.8   0.15    0.0   3051
GDXJ   MARKET VECT  GDXJ US 01/21/12 P20.63   13.2  53.4   0.30    0.0    380
TECD   TECH DATA C  TECD US 01/21/12 P50      12.9  36.9   1.80   24.1   1300
DMND   DIAMOND FOO  DMND US 01/21/12 P25      12.9 115.0   0.80  -27.3    711
BKS    BARNES & NO  BKS US 01/21/12 P14       12.8  90.6   1.20   20.0   1151
BKS    BARNES & NO  BKS US 01/21/12 P11       12.6  99.7   0.20    0.0    658
LDK    LDK SOLAR C  LDK US 01/21/12 C2.5      12.4 124.1   2.10    1.0    724
AMR    AMR CORP     AMR US 01/21/12 P0.5      12.2 203.2   0.10   11.1    256
GRPN   GROUPON INC  GRPN US 02/18/12 C20      11.9  40.8   2.70   -5.3    240
AMR    AMR CORP     AMR US 02/18/12 C0.5      11.9 121.2   0.09  -10.0   2120
ASNA   ASCENA RETA  ASNA US 01/21/12 C31      11.7  34.2   0.50   42.9    489
ETE    ENERGY TRAN  ETE US 01/21/12 P40       10.9  21.4   0.56  -25.3    204
NYB    NY COMM BAN  NYB US 01/21/12 P11       10.8  36.6   0.05    0.0   1075
XME    SPDR S&P ME  XME US 01/21/12 P44       10.4  48.7   0.71   -6.6    427

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
UNG    US NAT GAS   UNG US 01/19/13 P6       -65.5  37.8   0.64    6.7   2271
SGY    STONE ENERG  SGY US 01/21/12 C20      -41.2  59.0   6.20   44.2    278
UNG    US NAT GAS   UNG US 07/21/12 P5       -36.1  38.5   0.13    8.3    396
GLD    SPDR GOLD T  GLD US 01/21/12 C125     -20.3  34.0  24.15   -6.9   5033
UUP    POWERSHARES  UUP US 01/21/12 C22      -18.9   7.7   0.61    1.7   5779
MCD    MCDONALDS C  MCD US 01/21/12 P105     -16.3  13.9   5.05   -7.7    204
KORS   MICHAEL KOR  KORS US 01/21/12 P26     -15.6  38.8   0.30  -45.5    300
ANGI   ANGIE'S LIS  ANGI US 02/18/12 C15     -14.9  55.1   1.55  -22.5    501
CHTP   CHELSEA THE  CHTP US 02/18/12 P5      -13.8  83.5   0.60    9.1    233
ARNA   ARENA PHARM  ARNA US 01/21/12 C2      -12.8  78.9   0.13    0.0    262
ESI    ITT EDUCATI  ESI US 01/21/12 P52.5    -12.7  58.0   1.43  -17.8    604
ESI    ITT EDUCATI  ESI US 01/21/12 C55      -12.5  46.9   3.85   -7.2    260
ESI    ITT EDUCATI  ESI US 01/21/12 P55      -12.2  54.8   2.23   11.5    445
JAKK   JAKKS PACIF  JAKK US 02/18/12 C12.5   -10.7  42.4   2.15    0.0    230
SHLD   SEARS HOLDI  SHLD US 01/21/12 P17.5   -10.5 132.4   0.08  -46.7    261
MYGN   MYRIAD GENE  MYGN US 01/21/12 P17.5   -10.3  50.8   0.15    0.0    202
CMCSA  COMCAST COR  CMCSA US 01/21/12 P16    -10.2  78.0   0.03  -25.0   1274

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

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