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
=============================================================================
PWRD   PERFECT WOR  PWRD US 06/16/12 C13      73.9 106.5   3.60   -5.3    200
ILMN   ILLUMINA IN  ILMN US 04/21/12 C50      63.6  41.5   2.55   75.9   6506
ILMN   ILLUMINA IN  ILMN US 04/21/12 P50      63.3  41.6   2.36   52.3   2564
HTS    HATTERAS FI  HTS US 05/19/12 C28       56.8  17.6   0.85   13.3    209
ILMN   ILLUMINA IN  ILMN US 04/21/12 C52.5    52.6  42.3   1.55   93.8   2414
PWRD   PERFECT WOR  PWRD US 04/21/12 C16      51.3  89.9   1.15   -3.4    386
ILMN   ILLUMINA IN  ILMN US 04/21/12 P45      44.3  52.7   1.01   83.6    750
HTS    HATTERAS FI  HTS US 04/21/12 P29       43.1  15.9   1.15   -8.0    610
XLI    SPDR-INDU S  XLI US 04/21/12 P38       42.9  15.4   0.75   -2.6    211
ALXA   ALEXZA PHAR  ALXA US 06/16/12 C0.5     40.4 196.4   0.23   15.0   2516
ILMN   ILLUMINA IN  ILMN US 04/21/12 P40      35.7  67.0   0.50   66.7   2322
XLI    SPDR-INDU S  XLI US 01/19/13 P38       33.4  23.0   3.35  -15.2   1000
TSPT   TRANSCEPT P  TSPT US 04/21/12 P7.5     31.4  70.1   0.05  -50.0    280
BAC    BANK OF AME  BAC US 05/19/12 C6        29.6  76.7   4.00    5.3    201
SGEN   SEATTLE GEN  SGEN US 04/21/12 C20      22.4  41.1   0.85   54.5    249
AVL    AVALON RARE  AVL US 04/21/12 C3        21.7  72.8   0.25   66.7   1393
GAZ    IPATH DJ-UB  GAZ US 04/21/12 P4        21.6 169.3   0.40  100.0    444
CSCO   CISCO SYSTE  CSCO US 04/21/12 C17      21.6  30.2   3.05    2.0    216
BAC    BANK OF AME  BAC US 04/21/12 C8        20.9  57.0   2.03   10.3   7042
XLI    SPDR-INDU S  XLI US 04/21/12 P37       20.4  17.2   0.39   -9.3    206
CDNS   CADENCE DES  CDNS US 04/21/12 C11      20.4  37.9   1.50    3.5    300
MLNK   MODUSLINK G  MLNK US 04/21/12 P5       20.0  55.8   0.05  -80.0    500
GAZ    IPATH DJ-UB  GAZ US 04/21/12 P5        19.9 167.1   0.55   -8.3    571
LGF    LIONS GATE   LGF US 04/21/12 P11       19.9  84.8   0.25  -16.7    504
WFC    WELLS FARGO  WFC US 04/21/12 C30       18.7  28.8   4.35   13.0   2096
UPS    UNITED PARC  UPS US 04/21/12 C75       17.1  18.1   5.75   51.3    476
PCLN   PRICELINE.C  PCLN US 04/21/12 C670     17.0  29.2  35.06   47.3    247
NAT    NORDIC AMER  NAT US 04/21/12 C16       16.9  33.1   0.40   60.0   3375
KMI    KINDER MORG  KMI US 06/16/12 C35       16.8  10.4   2.15   13.2    529
PCLN   PRICELINE.C  PCLN US 04/21/12 C700     16.5  28.5  18.90   71.8    534
PCLN   PRICELINE.C  PCLN US 04/21/12 C710     16.2  28.4  15.40   92.5    401
PCLN   PRICELINE.C  PCLN US 04/21/12 C690     16.0  28.5  24.00   67.8    468
P      PANDORA MED  P US 04/21/12 P10         15.9  61.8   0.45  -18.2    220
FRO    FRONTLINE L  FRO US 05/19/12 P7        15.8 105.3   0.75   -6.2   2331
SHLD   SEARS HOLDI  SHLD US 04/21/12 C77.5    15.8  49.8   5.70  -17.0    601
P      PANDORA MED  P US 04/21/12 P9          15.1  64.0   0.25   25.0    216
RRGB   RED ROBIN G  RRGB US 04/21/12 C35      15.1  42.3   2.75   -2.1    349
MRK    MERCK & CO   MRK US 04/21/12 P33       15.0  27.2   0.05   25.0   2000
PCLN   PRICELINE.C  PCLN US 04/21/12 P610     14.9  33.1   3.10  -16.9    248
PCLN   PRICELINE.C  PCLN US 04/21/12 C720     14.8  28.3  11.80   96.7    936
PCLN   PRICELINE.C  PCLN US 04/21/12 P600     14.8  34.1   2.42  -10.7    350
PCLN   PRICELINE.C  PCLN US 04/21/12 P630     14.6  31.2   5.25  -17.6    208
NAT    NORDIC AMER  NAT US 04/21/12 P15       14.5  35.8   0.40    0.0    229
BAC    BANK OF AME  BAC US 04/21/12 C10       13.8  47.3   0.54   28.6  70744
LGF    LIONS GATE   LGF US 04/21/12 P12       13.7  76.6   0.40  -27.3    694
MRK    MERCK & CO   MRK US 04/21/12 P34       13.6  22.7   0.05    0.0    755
VZ     VERIZON COM  VZ US 04/21/12 C38        13.5  14.4   1.76   10.7    344
PCLN   PRICELINE.C  PCLN US 04/21/12 P620     13.4  31.9   4.00  -16.0    228
LVS    LAS VEGAS S  LVS US 04/21/12 C45       12.8  48.1  13.25   12.8    435
WFC    WELLS FARGO  WFC US 04/21/12 C31       12.8  29.0   3.50   12.9    555
LGF    LIONS GATE   LGF US 04/21/12 P13       12.5  74.8   0.70  -26.3    287
P      PANDORA MED  P US 04/21/12 C9          12.4  60.6   1.80   24.1   1566
KRE    SPDR S&P RE  KRE US 04/21/12 P26       12.4  32.5   0.15  -21.1    655
BAC    BANK OF AME  BAC US 04/21/12 C9        12.3  49.0   1.18   18.0  29276
LGF    LIONS GATE   LGF US 04/21/12 C12       12.1  78.5   2.45   32.4    216
X      US STEEL CO  X US 04/21/12 C28         11.8  45.0   3.95   61.9    267
JAG    JAGUAR MINI  JAG US 04/21/12 P5        11.7 110.3   0.35   40.0   1607
CREE   CREE INC     CREE US 04/21/12 P27      11.7  65.0   0.60  -16.7    547
LVS    LAS VEGAS S  LVS US 04/21/12 P50       11.7  38.1   0.25  -24.2    203
GLUU   GLU MOBILE   GLUU US 04/21/12 C2.5     11.6  96.2   1.55   10.7    271
BRCM   BROADCOM CO  BRCM US 04/21/12 P30      11.6  41.1   0.04   33.3    430
BAC    BANK OF AME  BAC US 05/19/12 C7        11.4  56.6   3.05    7.4   2535
BBT    BB&T CORP    BBT US 06/16/12 C25       11.3  34.7   6.49    5.7    300
BAC    BANK OF AME  BAC US 01/19/13 C5        11.2  60.8   5.15    3.0   6322
DPZ    DOMINO'S PI  DPZ US 04/21/12 P40       11.1  26.6   0.85  -23.4    651
BBT    BB&T CORP    BBT US 04/21/12 P30       11.1  25.7   0.45  -13.5    624
CIEN   CIENA CORP   CIEN US 04/21/12 C13      11.1  57.5   3.07    0.7    443
BBT    BB&T CORP    BBT US 04/21/12 C31       11.0  24.2   1.02   21.4    678
LVS    LAS VEGAS S  LVS US 04/21/12 P52.5     11.0  34.5   0.46  -29.2    264
BBT    BB&T CORP    BBT US 04/21/12 P31       10.9  24.4   0.79  -16.0  10121
FRO    FRONTLINE L  FRO US 05/19/12 P8        10.8  98.0   1.10  -18.5    836
CREE   CREE INC     CREE US 04/21/12 C29      10.7  62.2   3.95   29.5    376
JEF    JEFFERIES G  JEF US 04/21/12 C20       10.7  40.1   0.65   32.6    203
CREE   CREE INC     CREE US 04/21/12 P29      10.6  61.7   1.08  -16.9    267
CREE   CREE INC     CREE US 04/21/12 P30      10.6  60.3   1.39  -18.2    808
BAC    BANK OF AME  BAC US 05/19/12 C9        10.5  46.6   1.31   15.9   7538
BAC    BANK OF AME  BAC US 05/19/12 C8        10.3  52.2   2.12    9.8   3757
C      CITIGROUP I  C US 04/21/12 P30         10.3  48.0   0.10  -33.3    454
X      US STEEL CO  X US 04/21/12 C29         10.2  43.1   3.30   81.3    806
CREE   CREE INC     CREE US 04/21/12 C31      10.2  59.4   2.62   36.5    415
LVS    LAS VEGAS S  LVS US 04/21/12 P55       10.1  31.8   0.84  -34.9    441
CREE   CREE INC     CREE US 04/21/12 P31      10.1  59.2   1.67  -20.9    462

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
PWRD   PERFECT WOR  PWRD US 04/21/12 P16     -99.5   0.3   1.15   -8.0    302
PWRD   PERFECT WOR  PWRD US 04/21/12 P15     -87.8   7.6   0.75   25.0    234
ABVT   ABOVENET IN  ABVT US 04/21/12 C80     -78.1   6.4   4.42  569.7    210
OEF    ISHARES-SP1  OEF US 04/21/12 P64      -63.0  12.2   1.05    0.0    220
PWRD   PERFECT WOR  PWRD US 04/21/12 P13     -42.5  37.4   0.25    0.0    206
IOC    INTEROIL CO  IOC US 04/21/12 P60      -31.3  57.6   4.40  -35.3    218
FTR    FRONTIER CO  FTR US 04/21/12 P4.5     -28.7  26.6   0.25  -16.7   1182
IOC    INTEROIL CO  IOC US 04/21/12 P55      -28.5  60.8   2.30  -47.1    595
NMR    NOMURA HLDG  NMR US 04/21/12 C5       -27.7  32.6   0.10  -28.6    227
IOC    INTEROIL CO  IOC US 04/21/12 P50      -26.4  64.6   1.34  -48.3    238
TYC    TYCO INTL L  TYC US 10/20/12 P35      -24.1  39.7   0.49    0.0    243
ABVT   ABOVENET IN  ABVT US 04/21/12 C75     -20.6  21.8   9.00  267.4    232
ZAGG   ZAGG INC     ZAGG US 04/21/12 C8      -19.7  35.5   2.10    2.4    200
WIRE   ENCORE WIRE  WIRE US 04/21/12 C30     -19.0  18.6   0.65   44.4    261
KERX   KERYX BIOPH  KERX US 04/21/12 C4      -18.9 156.5   1.21   -3.2    575
SSN    SAMSON OIL-  SSN US 04/21/12 C2.5     -18.8  61.7   0.30   20.0    202
IOC    INTEROIL CO  IOC US 04/21/12 P40      -18.1  82.6   0.35  -58.8    310
XLI    SPDR-INDU S  XLI US 04/21/12 C38      -17.4  14.9   0.62  -15.1    348
AGO    ASSURED GUA  AGO US 07/21/12 P3       -16.5 148.1   0.02  -33.3    214
JAKK   JAKKS PACIF  JAKK US 04/21/12 C15     -16.0  25.1   1.50   -6.2    200
CVI    CVR ENERGY   CVI US 04/21/12 C27.5    -15.3  34.5   1.05  -12.5    272
CSE    CAPITALSOUR  CSE US 07/21/12 C7       -15.2  21.8   0.35  -12.5    412
ARNA   ARENA PHARM  ARNA US 10/20/12 P1      -14.9 146.9   0.27  -10.0    335
CFN    CAREFUSION   CFN US 04/21/12 P26      -14.7  17.3   0.80  -33.3    200
ZAGG   ZAGG INC     ZAGG US 04/21/12 C10     -14.4  39.1   0.65    8.3    622
HMY    HARMONY GOL  HMY US 04/21/12 C11      -14.4  31.2   0.40  -13.0    520
CFN    CAREFUSION   CFN US 04/21/12 P25      -14.1  19.9   0.40    0.0    200
MMI    MOTOROLA MO  MMI US 04/21/12 C39      -13.7   9.9   0.60  -20.0   1311
ARNA   ARENA PHARM  ARNA US 01/19/13 P1      -13.5 133.2   0.27  -30.8   2644
GA     GIANT INTER  GA US 04/21/12 C5        -13.3  32.6   0.15    0.0    628
ALKS   ALKERMES PL  ALKS US 04/21/12 P16     -13.2  31.5   0.35    0.0    200
CIM    CHIMERA INV  CIM US 04/21/12 C3       -13.2  32.8   0.03  -40.0    350
HUSA   HOUSTON AME  HUSA US 04/21/12 C5      -12.7 127.4   1.91  -20.4    205
NS     NUSTAR ENER  NS US 06/16/12 C60       -12.4  13.3   0.90    0.0    518
UUP    POWERSHARES  UUP US 06/16/12 C21      -12.3   8.5   1.10  -12.7   1672
FXA    CRYSHS-AUS   FXA US 04/21/12 C111     -12.1   9.2   0.10  -77.3    227
ATPG   ATP OIL & G  ATPG US 04/21/12 C9      -12.0  56.9   0.43   -8.5    587
HUSA   HOUSTON AME  HUSA US 04/21/12 P5      -11.7 136.4   0.30  -25.0    503
JAG    JAGUAR MINI  JAG US 04/21/12 P4       -11.6 110.6   0.10    0.0    349
PAA    PLAINS ALL   PAA US 04/21/12 C82.5    -11.6  12.9   0.35    0.0    526
XCO    EXCO RESOUR  XCO US 04/21/12 C8       -11.4  50.8   0.30  -33.3    269
LLL    L-3 COMM HL  LLL US 04/21/12 P70      -11.3  16.9   1.15    0.0    241
ATPG   ATP OIL & G  ATPG US 04/21/12 P8      -10.9  76.7   0.49  -22.2    334
LLL    L-3 COMM HL  LLL US 04/21/12 C70      -10.8  17.3   1.65  -26.7   3882
CVI    CVR ENERGY   CVI US 04/21/12 P25      -10.8  41.0   0.50  -16.7    207
ZNGA   ZYNGA INC-   ZNGA US 04/21/12 C13     -10.5  48.4   0.70  -22.2    762
TRGT   TARGACEPT I  TRGT US 04/21/12 C7.5    -10.3 111.0   0.90  -14.3    439
XLE    SPDR-ENERGY  XLE US 04/21/12 P76      -10.2  15.5   1.96   -5.8   1090
XCO    EXCO RESOUR  XCO US 09/22/12 C8       -10.2  48.9   0.95  -13.6   2203
BRCD   BROCADE COM  BRCD US 04/21/12 C6      -10.2  30.1   0.10  -23.1   2666
SPWR   SUNPOWER CO  SPWR US 04/21/12 P7      -10.2  61.2   0.25  -16.7   3685

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

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