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
=============================================================================
SIRI   SIRIUS XM R  SIRI US 01/19/13 C1       50.1  52.4   1.07   -0.9    300
HMA    HEALTH MGMT  HMA US 02/18/12 C5        27.3  86.0   0.85    0.0   6624
CRL    CHARLES RIV  CRL US 02/18/12 C30       23.0  45.2   4.00  627.3    547
CAG    CONAGRA FOO  CAG US 03/17/12 P21       21.2  36.7   0.05    0.0    950
WLT    WALTER ENER  WLT US 02/18/12 P55       18.8  74.2   4.15   13.7    215
WLT    WALTER ENER  WLT US 02/18/12 C60       17.8  74.4   4.45   32.4    344
RSH    RADIOSHACK   RSH US 01/19/13 C7.5      17.5  46.5   3.15  -43.2    907
HNZ    HJ HEINZ CO  HNZ US 02/18/12 C55       15.6  14.7   0.30  -25.0    664
BAC    BANK OF AME  BAC US 02/18/12 C4        14.3  83.3   2.56   12.3    401
JBLU   JETBLUE AIR  JBLU US 02/18/12 C6       13.7  54.8   0.30  100.0    445
FHN    FIRST HORIZ  FHN US 02/18/12 P8        12.3  44.9   0.20  -20.0    200
LULU   LULULEMON A  LULU US 02/18/12 P52.5    12.1  53.9   1.10  -62.8    381
GDXJ   MARKET VECT  GDXJ US 02/18/12 P18.63   11.9  70.1   0.10  -33.3    240
LULU   LULULEMON A  LULU US 02/18/12 P55      11.6  51.6   1.57  -62.2    333
LULU   LULULEMON A  LULU US 02/18/12 P47.5    11.5  58.8   0.46  -65.4    220
ALU    ALCATEL-LUC  ALU US 02/18/12 P1.5      11.4  85.6   0.15  -25.0   3000
SPPI   SPECTRUM PH  SPPI US 02/18/12 C16      11.1  60.3   1.10   22.2   1284
REE    RARE ELEMEN  REE US 02/18/12 C6        11.1  84.3   0.80  -23.8    458
BAC    BANK OF AME  BAC US 02/18/12 C4.5      10.3  71.6   2.06   13.2    268
LULU   LULULEMON A  LULU US 03/17/12 P57.5    10.2  50.5   3.55  -47.0    377
LULU   LULULEMON A  LULU US 03/17/12 C50      10.1  55.5  12.25   96.0    240

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
BPAX   BIOSANTE PH  BPAX US 03/17/12 C0.5    -57.2  28.5   0.10    0.0   4690
WBMD   WEBMD HEALT  WBMD US 02/18/12 C25     -44.1  62.7   3.40  -75.5    222
WBMD   WEBMD HEALT  WBMD US 02/18/12 P22.5   -40.7  64.9   0.55    0.0    312
WBMD   WEBMD HEALT  WBMD US 02/18/12 P25     -31.3  61.9   1.15    0.0   1050
SFSF   SUCCESSFACT  SFSF US 06/16/12 C40     -25.9   0.7   0.05    0.0    300
RAS    RAIT FINANC  RAS US 02/18/12 C3       -25.1  87.7   1.90    0.0    200
QQQ    POWERSH-QQQ  QQQ US 02/18/12 C46      -24.6  29.0  12.26    9.5    216
WBMD   WEBMD HEALT  WBMD US 03/17/12 P25     -23.6  59.0   1.60  540.0    492
HGG    HHGREGG INC  HGG US 02/18/12 C11      -23.0  76.7   1.50    0.0    515
HMA    HEALTH MGMT  HMA US 02/18/12 C4       -20.2 103.5   1.70    0.0    525
MSFT   MICROSOFT C  MSFT US 03/17/12 C18     -18.4  42.3  10.05    6.3    293
VRUS   PHARMASSET   VRUS US 02/18/12 C135    -17.8   7.6   2.00    0.0    912
AA     ALCOA INC    AA US 02/18/12 P8        -17.6  43.8   0.07  -50.0    387
TIF    TIFFANY & C  TIF US 02/18/12 P55      -17.4  35.7   0.98  206.2   2327
VRUS   PHARMASSET   VRUS US 05/19/12 C140    -17.1   2.7   0.05    0.0    505
TIF    TIFFANY & C  TIF US 02/18/12 C60      -17.0  33.0   2.12  -73.0   1530
PLAB   PHOTRONICS   PLAB US 03/17/12 P5      -16.9  64.5   0.15  -50.0    200
TIF    TIFFANY & C  TIF US 02/18/12 P57.5    -16.8  34.4   1.83  232.7    716
AA     ALCOA INC    AA US 02/18/12 P9        -16.3  37.8   0.24  -35.1   3182
MSFT   MICROSOFT C  MSFT US 02/18/12 C19     -16.2  46.8   8.95   12.6    257
OCZ    OCZ TECHNOL  OCZ US 03/17/12 C6       -15.1  72.9   1.60  -33.3    254
AA     ALCOA INC    AA US 02/18/12 C9        -14.7  39.0   0.80    2.6   1087
WM     WASTE MANAG  WM US 02/18/12 C35       -14.5  16.1   0.25   66.7   1040
BRCD   BROCADE COM  BRCD US 02/18/12 P5      -13.6  68.4   0.16  -30.4    368
PFF    ISHARES S&P  PFF US 07/21/12 C36      -13.2   9.1   1.45   16.0    283
HS     HEALTHSPRIN  HS US 03/17/12 C55       -13.0   1.8   0.05    0.0    275
TIF    TIFFANY & C  TIF US 05/19/12 P55      -11.7  36.8   3.15   53.7    750
TIF    TIFFANY & C  TIF US 05/19/12 P57.5    -11.7  35.9   4.25   68.0    749
AMJ    JPM-ALERIAN  AMJ US 02/18/12 P38      -11.6  16.7   0.50   42.9   1000
LIZ    LIZ CLAIBOR  LIZ US 02/18/12 P8       -11.6  62.5   0.45    0.0    461
TIF    TIFFANY & C  TIF US 05/19/12 C57.5    -11.6  35.8   5.70  -55.1    542
TIF    TIFFANY & C  TIF US 05/19/12 P50      -11.4  39.3   1.77   63.9    237
CELG   CELGENE COR  CELG US 04/21/12 P32.5   -11.3  59.7   0.04  -50.0    445
BRCD   BROCADE COM  BRCD US 02/18/12 C6      -10.8  70.2   0.42  -16.0    767
SM     SM ENERGY C  SM US 05/19/12 C70       -10.8  44.6  14.93  126.2    400
TIF    TIFFANY & C  TIF US 05/19/12 C60      -10.7  35.0   4.50  -51.1    377
VRUS   PHARMASSET   VRUS US 08/18/12 C140    -10.4   2.1   0.05    0.0    234
ASIA   ASIAINFO-LI  ASIA US 02/18/12 C7      -10.0  69.7   1.30   23.8    390

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

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