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
=============================================================================
CIM    CHIMERA INV  CIM US 03/17/12 C3        44.4  33.8   0.15    0.0    259
SPY    SPDR S&P 50  SPY US 03/17/12 P141      42.4  12.0   7.50    7.1    385
SNTS   SANTARUS IN  SNTS US 03/17/12 C5       41.6  65.8   0.05    0.0    200
BAC    BANK OF AME  BAC US 03/17/12 C5        34.8  84.6   3.00    3.8    252
ROCK   GIBRALTAR I  ROCK US 03/17/12 C15      32.4  64.8   2.25    0.0    203
EEM    ISHARES-EMG  EEM US 12/22/12 P45       27.3  25.7   5.20   -1.1   6000
PZG    PARAMOUNT G  PZG US 06/16/12 C2.5      25.1  71.3   0.50    0.0    245
CERN   CERNER CORP  CERN US 03/17/12 P55      23.1  42.7   0.10  -75.6   1124
GGC    GEORGIA GUL  GGC US 03/17/12 P30       20.4  69.5   1.55   55.0   1614
GGC    GEORGIA GUL  GGC US 03/17/12 C32.5     19.7  61.4   2.40    0.0    500
WPZ    WILLIAMS PA  WPZ US 01/19/13 C45       17.3  26.8  16.90   -2.9    270
SIMO   SILICON MOT  SIMO US 03/17/12 C20      16.8  69.1   1.70   61.9    724
RENN   RENREN INC-  RENN US 03/17/12 C4       16.1  99.6   1.35    0.0    355
SNY    SANOFI-ADR   SNY US 03/17/12 C38       15.4  20.6   0.55  -20.3   1727
CSC    COMPUTER SC  CSC US 03/17/12 P32.5     14.7  50.0   2.90  -50.0   2185
DNR    DENBURY RES  DNR US 03/17/12 C20       14.6  43.8   0.70  -22.2   1824
GME    GAMESTOP CO  GME US 03/17/12 P23       14.5  35.8   0.37  -41.3    415
VPRT   VISTAPRINT   VPRT US 03/17/12 P42.5    14.3  71.0   4.53    5.3   1261
CA     CA INC       CA US 03/17/12 P22        14.0  38.4   0.05  -50.0    500
VXX    IPATH-S&P S  VXX US 03/17/12 P18       13.5  54.2   0.06  -14.3    385
IVZ    INVESCO LTD  IVZ US 03/17/12 C25       13.4  27.5   0.50   25.0    268
EEM    ISHARES-EMG  EEM US 12/22/12 P35       13.0  33.2   1.79   -3.8   6000
KGN    KEEGAN RESO  KGN US 05/19/12 C5        12.8  67.9   0.60    0.0    273
MDRX   ALLSCRIPTS   MDRX US 03/17/12 P20      12.6  34.7   0.40  -60.0    260
ZAGG   ZAGG INC     ZAGG US 03/17/12 C9       12.1  60.2   2.10   10.5    214
BAC    BANK OF AME  BAC US 03/17/12 C6        12.0  65.0   2.05    9.0    608
SPY    SPDR S&P 50  SPY US 03/17/12 P139      11.7  12.8   5.87    7.1    268
DMD    DEMAND MEDI  DMD US 05/19/12 P5        11.3  88.3   0.55   37.5    520
GES    GUESS? INC   GES US 03/17/12 P34       11.1  44.0   2.10   -4.5    321
RMBS   RAMBUS INC   RMBS US 03/17/12 P6       10.9  81.5   0.09  -30.8    216
AIXG   AIXTRON SE-  AIXG US 03/17/12 P15      10.8  73.9   1.40   -9.7    692
AAPL   APPLE INC    AAPL US 03/17/12 C400     10.8  29.3  72.15    4.5   1021
DNR    DENBURY RES  DNR US 03/17/12 P20       10.7  42.7   1.30  -31.6    550
S      SPRINT NEXT  S US 03/17/12 C1.5        10.5  98.5   0.90  -10.0   1326
TSL    TRINA SOLAR  TSL US 03/17/12 C8        10.2  94.9   1.36   27.1   4530

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
BCSI   BLUE COAT S  BCSI US 01/18/14 C25     -42.3   3.4   0.85  -10.5    621
OPEN   OPENTABLE I  OPEN US 03/17/12 P45     -28.7  58.7   3.40   30.8    303
OPEN   OPENTABLE I  OPEN US 03/17/12 P47.5   -28.4  58.6   5.10   64.5    666
OPEN   OPENTABLE I  OPEN US 03/17/12 P42.5   -27.8  59.6   2.20   18.9    374
OPEN   OPENTABLE I  OPEN US 03/17/12 C47.5   -25.8  54.5   2.05  -71.1    246
BWLD   BUFFALO WIL  BWLD US 03/17/12 P80     -25.6  31.9   3.00    0.0    244
PNRA   PANERA BREA  PNRA US 03/17/12 C155    -25.2  29.5   4.30  -60.2    394
NLY    ANNALY CAPI  NLY US 03/17/12 P16      -24.8  15.8   0.12   20.0    500
PNRA   PANERA BREA  PNRA US 03/17/12 P145    -24.6  30.4   2.75    5.8    306
PNRA   PANERA BREA  PNRA US 03/17/12 P140    -24.5  31.0   1.65    0.0    445
PNRA   PANERA BREA  PNRA US 03/17/12 P150    -23.8  30.0   4.51   15.6    219
SGI    SILICON GRA  SGI US 03/17/12 P11      -22.8  59.5   0.85  214.8    430
SGI    SILICON GRA  SGI US 03/17/12 P10      -22.4  63.5   0.45  -50.0    297
BWLD   BUFFALO WIL  BWLD US 03/17/12 C80     -21.5  31.6   3.60  380.0    694
DIS    WALT DISNEY  DIS US 03/17/12 C41      -21.5  21.9   1.25  -14.4   3159
DIS    WALT DISNEY  DIS US 03/17/12 C42      -20.9  21.2   0.81  -17.4   1569
NLY    ANNALY CAPI  NLY US 04/21/12 P17      -20.6   9.6   0.97   56.5    581
BWLD   BUFFALO WIL  BWLD US 03/17/12 C75     -20.2  33.5   6.80  267.6    324
DIS    WALT DISNEY  DIS US 03/17/12 P41      -20.1  21.8   1.08  -24.5   2280
DIS    WALT DISNEY  DIS US 03/17/12 C40      -19.9  23.0   1.90   -7.3   1202
BWLD   BUFFALO WIL  BWLD US 03/17/12 C70     -19.3  35.3  11.10  158.1    226
WU     WESTERN UNI  WU US 03/17/12 C18       -19.1  23.3   0.55  -68.6    636
BWLD   BUFFALO WIL  BWLD US 03/17/12 P75     -19.0  34.2   1.50  -77.3    513
DIS    WALT DISNEY  DIS US 03/17/12 P40      -18.3  22.9   0.71  -29.0    641
DIS    WALT DISNEY  DIS US 03/17/12 C39      -18.3  24.2   3.00   10.3    368
AINV   APOLLO INV   AINV US 09/22/12 P7      -17.6  23.4   1.00   66.7    683
BWLD   BUFFALO WIL  BWLD US 03/17/12 P70     -17.6  37.0   0.50  -86.8    551
IR     INGERSOLL-R  IR US 03/17/12 C39       -16.8  28.4   0.90  -14.3    450
AVID   AVID TECHNO  AVID US 03/17/12 C12.5   -16.7  46.6   0.45  200.0    245
BWLD   BUFFALO WIL  BWLD US 03/17/12 C65     -16.7  38.8  15.30  115.5    297
DIS    WALT DISNEY  DIS US 03/17/12 P39      -16.6  24.1   0.45  -35.7   1247
IR     INGERSOLL-R  IR US 03/17/12 C38       -14.6  30.3   1.42    1.4    277
RL     RALPH LAURE  RL US 03/17/12 C175      -14.5  28.3   5.40  250.7    367
S      SPRINT NEXT  S US 05/19/12 C1.5       -14.5  72.3   0.84  -20.0    215
KFN    KKR FINANCI  KFN US 07/21/12 C9       -14.2  22.0   0.63   40.0    249
NLY    ANNALY CAPI  NLY US 03/17/12 C16      -14.1  16.0   0.71  -41.3    754
IR     INGERSOLL-R  IR US 03/17/12 C35       -13.7  32.5   4.60   35.3    233
RL     RALPH LAURE  RL US 03/17/12 C170      -13.7  29.3   7.75  210.0    661
DIS    WALT DISNEY  DIS US 04/21/12 C42      -13.5  20.9   1.23   -8.2    243
BWLD   BUFFALO WIL  BWLD US 03/17/12 P65     -12.8  40.5   0.21  -89.2    400
DIS    WALT DISNEY  DIS US 04/21/12 C43      -12.8  20.6   0.78  -19.6    426
HEK    HECKMANN CO  HEK US 03/17/12 P5       -12.8  52.7   0.30    0.0   2410
DIS    WALT DISNEY  DIS US 04/21/12 C41      -12.7  21.7   1.70   -7.6    346
IR     INGERSOLL-R  IR US 03/17/12 C34       -12.5  35.1   5.50   34.1    502
CVS    CVS CAREMAR  CVS US 03/17/12 C44      -12.4  20.7   1.01    7.5    465
DIS    WALT DISNEY  DIS US 04/21/12 C40      -12.3  22.5   2.36   -2.1    359
DIS    WALT DISNEY  DIS US 04/21/12 C39      -12.2  23.5   3.37   10.5    441
NLY    ANNALY CAPI  NLY US 04/21/12 P16      -11.9  13.7   0.38   65.2    587
NLY    ANNALY CAPI  NLY US 04/21/12 P15      -11.6  19.9   0.19   26.7    231
MBT    MOBILE TELE  MBT US 03/17/12 P17      -11.5  29.9   0.40  -62.6    250
IR     INGERSOLL-R  IR US 03/17/12 P36       -11.5  32.1   0.75  -31.8    415
RL     RALPH LAURE  RL US 03/17/12 P170      -11.4  29.1   5.30    0.0    915
YHOO   YAHOO! INC   YHOO US 03/17/12 C13     -11.4  35.9   2.95    2.8    200
CSC    COMPUTER SC  CSC US 03/17/12 P30      -11.2  51.4   1.45  -61.5    472
TWX    TIME WARNER  TWX US 03/17/12 C38      -11.1  21.0   1.03  -11.2   1505
DIS    WALT DISNEY  DIS US 04/21/12 P39      -11.1  23.6   0.84  -20.0    306
RL     RALPH LAURE  RL US 03/17/12 P165      -11.0  30.1   3.20    0.0   1084
NLY    ANNALY CAPI  NLY US 07/21/12 P16      -11.0  13.6   0.86   36.5    776
TWX    TIME WARNER  TWX US 03/17/12 C39      -10.9  19.8   0.59   -7.8    297
CTSH   COGNIZANT T  CTSH US 03/17/12 P72.5   -10.7  28.1   3.20    0.0   1014
SPLS   STAPLES INC  SPLS US 03/17/12 P15     -10.6  27.0   0.60    0.0   1450
CSC    COMPUTER SC  CSC US 03/17/12 C32.5    -10.5  48.0   1.32  325.8    712
RL     RALPH LAURE  RL US 03/17/12 C150      -10.4  34.1  23.60   96.7    234
CSC    COMPUTER SC  CSC US 03/17/12 C30      -10.1  49.2   2.57  295.4    301
NG     NOVAGOLD RE  NG US 03/17/12 P9        -10.0  56.2   0.85   13.3    370

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

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