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
=============================================================================
SPY    SPDR S&P 50  SPY US 03/30/12 P141      52.6   8.6   6.75   32.9    343
PSEC   PROSPECT CA  PSEC US 05/19/12 C10      48.9  23.3   0.60  -20.0    240
PM     PHILIP MORR  PM US 06/16/12 C65        30.6  41.8  19.80   13.8    570
PPC    PILGRIM'S P  PPC US 06/16/12 C5        20.8  67.1   1.40   55.6    200
STO    STATOIL ASA  STO US 04/21/12 P27.5     20.1  27.7   1.05   90.9    662
PBR    PETROBRAS S  PBR US 04/21/12 C24       18.3  36.6   4.55  -23.5    200
JRCC   JAMES RIVER  JRCC US 04/21/12 P4       17.4 106.4   0.25   66.7    518
STO    STATOIL ASA  STO US 04/21/12 C27.5     16.2  27.4   1.05  -32.3    397
MWE    MARKWEST EN  MWE US 04/21/12 P57.5     14.9  21.8   0.75   11.9    401
SDS    PROSHARES U  SDS US 04/21/12 C14       14.8  25.2   2.62   19.1    387
VXX    IPATH-S&P S  VXX US 04/21/12 P17       14.5  66.7   0.10  -23.1    260
TSN    TYSON FOODS  TSN US 04/21/12 C19       14.0  24.9   0.80    0.0   1600
MMR    MCMORAN EXP  MMR US 04/21/12 P10       13.9 104.5   0.56   60.0    850
MMR    MCMORAN EXP  MMR US 04/21/12 P11       13.4 101.6   0.86   45.8    852
MMR    MCMORAN EXP  MMR US 04/21/12 P12       13.3  99.4   1.23   30.9    757
NLY    ANNALY CAPI  NLY US 04/21/12 C17       13.0  13.3   0.05  -28.6    411
ESI    ITT EDUCATI  ESI US 04/21/12 P60       12.9  74.8   4.95   47.8   1562
MTL    MECHEL-SPON  MTL US 04/21/12 P9        12.6  62.1   0.50   66.7    250
CNX    CONSOL ENER  CNX US 04/21/12 C32       12.3  44.5   2.43   -6.9    417
SDRL   SEADRILL LT  SDRL US 04/21/12 C38      12.1  27.0   0.95  -44.1    280
SMT    SMART TECHN  SMT US 08/18/12 C2.5      11.3  57.5   0.85  -19.1    417
SDRL   SEADRILL LT  SDRL US 04/21/12 P38      11.2  27.9   2.10  100.0    606
ANR    ALPHA NATUR  ANR US 04/21/12 C16       10.4  63.4   1.64    7.9   1021
SPY    SPDR S&P 50  SPY US 03/30/12 P139      10.1  11.8   5.16   47.0    404
EGO    ELDORADO GO  EGO US 04/21/12 C14       10.1  40.4   0.80  -12.1    286
ANR    ALPHA NATUR  ANR US 04/21/12 P17       10.0  62.4   1.79    7.2    237

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
ONTY   ONCOTHYREON  ONTY US 04/21/12 P4      -62.3  96.3   0.20  -64.3    783
ONTY   ONCOTHYREON  ONTY US 05/19/12 P4      -62.3  84.2   0.20  -69.2    399
ONTY   ONCOTHYREON  ONTY US 05/19/12 P5      -59.6  90.1   0.70  -41.7   9717
ONTY   ONCOTHYREON  ONTY US 04/21/12 P3      -57.0 110.2   0.05  -82.8    644
ONTY   ONCOTHYREON  ONTY US 08/18/12 P5      -52.7  83.4   1.00  -25.9    511
ONTY   ONCOTHYREON  ONTY US 01/19/13 C5      -37.1  74.8   1.50  -67.4   1087
GAZ    IPATH DJ-UB  GAZ US 09/22/12 C2       -35.4  70.1   3.20   28.0    283
ONTY   ONCOTHYREON  ONTY US 01/19/13 C4      -32.8  72.5   2.40  -54.7    442
CLDX   CELLDEX THE  CLDX US 04/21/12 C3      -22.2  69.6   0.65  -23.5    636
MPEL   MELCO CROWN  MPEL US 04/21/12 P8      -22.0  71.8   0.05    0.0    226
SNV    SYNOVUS FIN  SNV US 04/21/12 C2       -21.2  44.4   0.10  -33.3    349
CIM    CHIMERA INV  CIM US 09/22/12 C2.5     -20.4  32.3   0.50   -9.1    250
DIS    WALT DISNEY  DIS US 04/21/12 P22      -18.9  70.0   0.02  -66.7    300
NTRI   NUTRISYSTEM  NTRI US 04/21/12 C11     -18.6  42.8   0.40  -69.2    395
SIRI   SIRIUS XM R  SIRI US 04/21/12 P2      -14.2  36.5   0.03    0.0    342
GA     GIANT INTER  GA US 04/21/12 C5        -11.8  48.4   0.25   25.0   1527
DKS    DICK'S SPOR  DKS US 04/21/12 C46      -11.6  29.2   2.15   12.0    345
DKS    DICK'S SPOR  DKS US 04/21/12 P43      -10.2  31.3   0.90  -23.7    857
SIRI   SIRIUS XM R  SIRI US 04/21/12 C2      -10.1  40.9   0.26  -16.1    584
IWM    ISHARES-RUS  IWM US 04/21/12 C70      -10.1  31.1   9.52  -11.8    288

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

-- Bloomberg News

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