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
=============================================================================
FTR    FRONTIER CO  FTR US 01/21/12 C5        29.5  48.8   0.45  125.0    808
UAN    CVR PARTNER  UAN US 01/21/12 P25       28.1  31.3   1.00  -55.6    202
SNTA   SYNTA PHARM  SNTA US 08/18/12 C2.5     27.3 117.6   2.55   -3.8    323
FXY    CRYSHS-JAPA  FXY US 01/21/12 P123      21.2  10.8   0.05  -64.3    720
ELN    ELAN CORP-A  ELN US 01/21/12 C12.5     20.8  62.5   1.44  -15.3    231
T      AT&T INC     T US 01/21/12 C27.5       20.5  27.9   2.79    5.7    493
EMC    EMC CORP/MA  EMC US 01/21/12 C15       19.7  64.6   6.75    4.7    200
HCA    HCA HOLDING  HCA US 01/21/12 C22.5     19.6  50.6   0.75   36.4   2099
VRUS   PHARMASSET   VRUS US 01/21/12 P55      17.7 248.6   1.25   19.1    265
ENTR   ENTROPIC CO  ENTR US 01/21/12 C5       17.2  70.7   0.45    0.0   1145
EUO    PROSH-UL/SH  EUO US 01/21/12 C18       16.6  22.9   2.20   -4.3    215
PCS    METROPCS CO  PCS US 01/21/12 C7.5      16.4  55.3   1.05   23.5   3657
SIRI   SIRIUS XM R  SIRI US 01/21/12 C1       16.4 149.1   0.81    0.0    551
OCR    OMNICARE IN  OCR US 01/21/12 P32       15.9  45.6   0.35   40.0    293
AVID   AVID TECHNO  AVID US 02/18/12 C7.5     15.1  61.0   1.35    0.0    580
CYOU   CHANGYOU.CO  CYOU US 01/21/12 C22      15.0  62.9   1.70    9.7    211
LEAP   LEAP WIRELE  LEAP US 01/21/12 P9       14.7  91.8   0.78  -23.5    221
GNK    GENCO SHIPP  GNK US 01/21/12 P5        14.5 116.0   0.05  -50.0    549
OCR    OMNICARE IN  OCR US 02/18/12 P33       14.3  44.1   1.45   26.1    756
NG     NOVAGOLD RE  NG US 02/18/12 C8         14.1  73.2   1.10   37.5    888
LUV    SOUTHWEST A  LUV US 01/21/12 C7.5      13.9  43.3   1.10    0.0   1192
NRG    NRG ENERGY   NRG US 01/19/13 P12.5     13.7  56.0   1.30  333.3   4548
SBAC   SBA COMM CO  SBAC US 01/21/12 P40      13.3  32.8   0.30  -72.7    656
EDMC   EDUCATION M  EDMC US 02/18/12 P20      12.9 101.2   0.60    0.0    275
SHLD   SEARS HOLDI  SHLD US 01/21/12 P17.5    12.4 143.1   0.12   71.4    279
OCR    OMNICARE IN  OCR US 02/18/12 P35       12.3  40.4   1.95    5.4    350
GRPN   GROUPON INC  GRPN US 02/18/12 C19      12.1  48.3   1.90  -47.2    326
OCR    OMNICARE IN  OCR US 02/18/12 C35       11.9  39.3   1.95    8.3    370
HCA    HCA HOLDING  HCA US 02/18/12 C22.5     11.7  49.3   1.40   40.0    705
JEF    JEFFERIES G  JEF US 01/21/12 P9        11.6 111.3   0.05    0.0    368
INTC   INTEL CORP   INTC US 01/21/12 C20      11.6  45.4   4.45   -2.2    302
HEK    HECKMANN CO  HEK US 03/17/12 C5        11.6  60.9   1.80  -10.0   1014
BMC    BMC SOFTWAR  BMC US 02/18/12 C32       11.5  38.6   2.30    0.0    500
IMAX   IMAX CORP    IMAX US 01/21/12 P16      11.2  63.5   0.25   25.0    502
MRGE   MERGE HEALT  MRGE US 01/21/12 C5       10.9  53.0   0.15    0.0    250
GNK    GENCO SHIPP  GNK US 01/21/12 P6        10.9  96.5   0.35    0.0    250
LEAP   LEAP WIRELE  LEAP US 01/21/12 C9       10.9  88.7   0.79   75.6   7898
BMRN   BIOMARIN PH  BMRN US 01/21/12 C35      10.8  28.1   0.65   30.0    365
AVGO   AVAGO TECHN  AVGO US 01/21/12 C30      10.7  35.2   0.55    0.0    225
BMY    BRISTOL-MYE  BMY US 03/17/12 C31       10.4  27.1   4.45    2.8   1641

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
RENN   RENREN INC-  RENN US 01/21/12 C3      -45.9  43.3   0.40   14.3    861
UNG    US NAT GAS   UNG1 US 01/21/12 P6      -40.6  80.8   2.74   -0.4    200
XLU    SPDR-UTIL S  XLU US 01/21/12 P18      -24.9 120.5   0.01  -75.0    229
LDK    LDK SOLAR C  LDK US 01/21/12 C1       -19.8 263.8   3.25   -5.8    200
KNDI   KANDI TECHN  KNDI US 06/16/12 C2.5    -19.5  71.2   1.30  -13.3    217
EK     EASTMAN KOD  EK US 01/21/12 P0.5      -18.3 219.7   0.06  -33.3    431
BHP    BHP BILLITO  BHP US 01/21/12 C50      -16.7  53.0  20.60    0.5    408
ARLP   ALLIANCE RE  ARLP US 01/21/12 P70     -15.8  28.6   0.15  -66.7    213
TZOO   TRAVELZOO I  TZOO US 01/21/12 C15     -14.9  93.2   9.90    0.4    589
ETP    ENERGY TRAN  ETP US 03/17/12 C40      -13.6  20.7   6.00    5.3    220
MBI    MBIA INC     MBI US 01/21/12 C7.5     -12.9  91.5   4.00   -5.2    462

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

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