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
=============================================================================
VXX    IPATH-S&P S  VXX US 05/19/12 C17       80.9  79.8   2.35    6.8    771
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C10      70.1 148.1  13.00  127.7    238
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P15      61.5  87.4   0.06  -90.8   7430
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P14      57.8  89.7   0.04  -85.7    520
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P16      57.3  86.4   0.08  -92.5    702
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C14      53.8  85.6   8.76  353.9    424
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C16      52.5  85.0   6.70 1035.6    329
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C11      52.2 140.7  11.80  151.1    271
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P21      48.7  75.3   0.92  -82.1    736
YELP   YELP INC     YELP US 04/21/12 C28      46.0  74.0   4.10  228.0    439
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P17      40.7  81.1   0.15  -91.9    785
AMLN   AMYLIN PHAR  AMLN US 05/19/12 P22      39.1  72.1   2.14    0.0    292
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P20      37.5  76.8   0.71  -79.3   1483
YELP   YELP INC     YELP US 04/21/12 C26      37.4  72.3   5.20  131.1    217
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C17      36.2  80.1   5.71 1486.1    501
YELP   YELP INC     YELP US 04/21/12 P27      35.3  85.7   0.95  -38.7    706
AMLN   AMYLIN PHAR  AMLN US 05/19/12 P21      34.6  73.0   1.71    0.0    337
AMLN   AMYLIN PHAR  AMLN US 05/19/12 P17      34.4  74.0   0.44  -81.3    417
YELP   YELP INC     YELP US 04/21/12 C30      33.9  71.5   2.55  240.0    687
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P12      32.1  72.8   0.23  -51.1    254
AMLN   AMYLIN PHAR  AMLN US 05/19/12 P18      31.9  74.0   0.67    0.0    244
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P22      30.7  74.8   1.35    0.0   2825
YELP   YELP INC     YELP US 04/21/12 C25      29.8  72.6   6.20  143.1    270
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P14      29.5  70.5   0.40  -62.6   1062
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P13      29.2  71.8   0.31  -60.8    802
XLI    SPDR-INDU S  XLI US 04/21/12 P39       28.1  14.9   1.81   24.0   1310
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C18      26.6  77.9   5.00 2280.9    907
AMLN   AMYLIN PHAR  AMLN US 05/19/12 P20      26.5  73.0   1.25    0.0    405
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P18      25.8  78.6   0.27  -89.8    204
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P15      25.4  68.0   0.44  -74.9  11121
PBY    PEP BOYS MM  PBY US 07/21/12 C15       25.2   3.9   0.05    0.0    330
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P16      24.9  67.5   0.76  -62.9  10724
FMCN   FOCUS MEDIA  FMCN US 04/21/12 P21      24.6  84.8   0.40  263.6    656
YELP   YELP INC     YELP US 05/19/12 C30      24.2  61.2   3.00  140.0   1330
DTV    DIRECTV-A    DTV US 04/21/12 C49       23.8  18.1   1.00  100.0    952
ARNA   ARENA PHARM  ARNA US 04/21/12 C2       23.3 170.7   0.98  -24.6    329
DTV    DIRECTV-A    DTV US 04/21/12 C47       23.2  20.2   2.56   48.8    920
DTV    DIRECTV-A    DTV US 04/21/12 C48       22.8  18.9   1.65   48.6    415
DTV    DIRECTV-A    DTV US 04/21/12 P48       22.4  18.7   0.42  -23.6    498
DTV    DIRECTV-A    DTV US 04/21/12 C50       22.3  17.3   0.55  175.0   1616
JNK    SPDR BARCLA  JNK US 04/21/12 C40       22.0  10.6   0.15    0.0   1000
SWK    STANLEY BLA  SWK US 04/21/12 P80       21.8  25.8   3.30   78.4    233
FMCN   FOCUS MEDIA  FMCN US 04/21/12 P22      21.7  77.9   0.50  233.3    298
QCOR   QUESTCOR PH  QCOR US 04/21/12 C30      21.6  69.7   8.30   -7.8    277
SPY    SPDR S&P 50  SPY US 04/21/12 C125      21.3  28.2  15.90   -5.5  10000
DTV    DIRECTV-A    DTV US 04/21/12 P49       21.2  17.8   0.74  -40.3    821
AMLN   AMYLIN PHAR  AMLN US 04/21/12 P19      21.2  77.7   0.45  -87.3   1291
AMLN   AMYLIN PHAR  AMLN US 05/19/12 C21      20.8  73.9   3.50    0.0    271
LNG    CHENIERE EN  LNG US 04/21/12 P14       19.3  81.6   0.85   88.9    996
SWK    STANLEY BLA  SWK US 04/21/12 C77.5     19.2  27.7   2.55   -4.5    942
DAL    DELTA AIR L  DAL US 04/21/12 C8        19.1  64.8   2.15   18.1    500
BAC    BANK OF AME  BAC US 04/21/12 C7        19.0  76.2   2.76    4.9   2321
DTV    DIRECTV-A    DTV US 04/21/12 P50       18.8  17.0   1.29  -34.5    210
SWK    STANLEY BLA  SWK US 04/21/12 P77.5     18.7  27.4   1.90  106.5   1539
LNG    CHENIERE EN  LNG US 04/21/12 C15       17.9  81.0   1.10    0.0  10858
LNG    CHENIERE EN  LNG US 04/21/12 P13       17.6  81.8   0.45   80.0    232
SWK    STANLEY BLA  SWK US 04/21/12 P75       17.5  29.4   1.05   90.9    958
WAG    WALGREEN CO  WAG US 04/21/12 C33       17.2  25.4   2.26   15.3    220
YELP   YELP INC     YELP US 04/21/12 P30      16.7  82.4   2.05  -39.7    377
LNG    CHENIERE EN  LNG US 05/19/12 C15       16.5  78.9   1.55   -8.8    432
LNG    CHENIERE EN  LNG US 05/19/12 C13       16.3  82.5   2.60  -10.3    548
AMLN   AMYLIN PHAR  AMLN US 07/21/12 C19      16.0  65.3   5.25  458.5    754
FMCN   FOCUS MEDIA  FMCN US 04/21/12 P18      15.9 100.6   0.20  300.0    350
AMLN   AMYLIN PHAR  AMLN US 05/19/12 C23      15.7  72.3   2.34    0.0   6118
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C19      15.3  75.7   4.05 2431.2   1045
F      FORD MOTOR   F US 04/21/12 C11         15.3  29.6   1.28   -4.5    387
ALU    ALCATEL-LUC  ALU US 06/16/12 P2        15.2  79.3   0.15    0.0    401
AMLN   AMYLIN PHAR  AMLN US 07/21/12 C20      15.1  65.1   4.60  607.7   2244
FNFG   FIRST NIAGA  FNFG US 10/20/12 C7.5     14.8  37.2   2.60   -5.5    300
NOK    NOKIA CORP-  NOK US 04/21/12 P4        14.8  86.3   0.04    0.0    502
MMR    MCMORAN EXP  MMR US 04/21/12 P11       14.7  87.6   1.11   38.8   5090
ARO    AEROPOSTALE  ARO US 04/21/12 C23       14.3  38.4   0.45   50.0   4297
BAC    BANK OF AME  BAC US 04/21/12 P7        14.3  74.1   0.02  -33.3    518
NYX    NYSE EURONE  NYX US 04/21/12 P29       14.3  26.4   0.61   69.4   2909
WAG    WALGREEN CO  WAG US 04/21/12 C35       13.8  22.1   0.76   26.7   2582
FMCN   FOCUS MEDIA  FMCN US 04/21/12 P20      13.7  88.2   0.30  200.0   2686
YELP   YELP INC     YELP US 05/19/12 P30      13.4  78.1   3.29  -28.2    299
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P20      13.3  65.0   1.89  -64.3  15161
ONTY   ONCOTHYREON  ONTY US 05/19/12 C4       13.2  54.9   0.70   55.6    400
WAG    WALGREEN CO  WAG US 04/21/12 P33       12.8  24.9   0.19    5.6   5324
TRLG   TRUE RELIGI  TRLG US 04/21/12 P23      12.6  40.5   0.15   50.0    595
AMLN   AMYLIN PHAR  AMLN US 07/21/12 C21      12.6  64.2   3.95  659.6   1090
TQNT   TRIQUINT SE  TQNT US 04/21/12 C7       12.5  46.6   0.35   40.0    951
MMR    MCMORAN EXP  MMR US 05/19/12 C11       12.4  85.9   1.17  -29.1    378
POT    POTASH CORP  POT US 04/21/12 C47.5     12.3  34.4   0.73  -25.5   2168
SODA   SODASTREAM   SODA US 04/21/12 C32.5    12.2  49.6   1.90  -19.1    331
WAG    WALGREEN CO  WAG US 04/21/12 C36       12.0  21.3   0.37   42.3   4811
VXX    IPATH-S&P S  VXX US 09/22/12 P10       12.0  79.4   0.55  -15.4    318
XLI    SPDR-INDU S  XLI US 04/21/12 P38       11.9  16.1   0.80    5.3   1800
FRO    FRONTLINE L  FRO US 04/21/12 C6        11.9  99.2   1.90   46.1    200
HYG    ISH-IBOXX H  HYG US 04/21/12 P92       11.8   7.9   1.80   12.5    289
RVSN   RADVISION L  RVSN US 09/22/12 P10      11.5  18.8   0.05    0.0   1008
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C20      11.5  77.1   3.35 3250.0   1090
MMR    MCMORAN EXP  MMR US 05/19/12 P11       11.4  85.9   1.55   30.2    221
WAG    WALGREEN CO  WAG US 04/21/12 P34       11.3  22.8   0.36  -10.0   1770
TQNT   TRIQUINT SE  TQNT US 05/19/12 C6       11.3  59.5   1.25    8.7    207
EPI    WISDOMTREE   EPI US 04/21/12 P18       11.2  28.4   0.20   33.3    268
UAL    UNITED CONT  UAL US 04/21/12 P21       11.2  50.1   0.65  -40.4    633
HGSI   HUMAN GENOM  HGSI US 05/19/12 C7       11.1  72.5   1.35   -4.9   2670
NVDA   NVIDIA CORP  NVDA US 04/21/12 P15      11.1  33.5   0.35  -35.2    383
HTZ    HERTZ GLOBA  HTZ US 04/21/12 C15       11.0  41.9   0.50   -9.1    501
VZ     VERIZON COM  VZ US 04/21/12 C40        11.0  14.6   0.05  -16.7    741
POT    POTASH CORP  POT US 04/21/12 C45       10.8  34.5   1.67  -26.8   2044
LVS    LAS VEGAS S  LVS US 04/21/12 C60       10.8  33.1   1.27    1.6   5228
UAL    UNITED CONT  UAL US 04/21/12 P20       10.8  52.6   0.38  -38.7    887
NLY    ANNALY CAPI  NLY US 05/19/12 C16       10.6  13.6   0.17  -34.6   1098
LVS    LAS VEGAS S  LVS US 04/21/12 P60       10.6  32.6   2.78   11.7    946
LVS    LAS VEGAS S  LVS US 04/21/12 P60       10.6  32.6   2.78   11.7    946
ALXN   ALEXION PHA  ALXN US 04/21/12 C90      10.5  34.7   3.20  -36.0    319
NVDA   NVIDIA CORP  NVDA US 04/21/12 C14      10.5  35.4   1.42   39.2    457
XLU    SPDR-UTIL S  XLU US 06/16/12 C33       10.4  14.3   2.11    1.0    235
UAL    UNITED CONT  UAL US 04/21/12 C20       10.4  52.4   2.41   57.5    412
WAG    WALGREEN CO  WAG US 04/21/12 P35       10.4  21.6   0.69  -15.8    367
AAPL   APPLE INC    AAPL US 04/21/12 P570     10.3  32.3   4.05    8.0   3104
STD    BANCO SANTA  STD US 06/16/12 P6        10.3  45.7   0.10    0.0    200
UAL    UNITED CONT  UAL US 04/21/12 P19       10.3  56.1   0.24  -29.4    375
MMR    MCMORAN EXP  MMR US 05/19/12 P10       10.1  86.1   0.98   38.0    568
AAPL   APPLE INC    AAPL US 04/21/12 C550     10.1  36.2  70.20    5.2   1876
WTW    WEIGHT WATC  WTW US 04/21/12 C80       10.1  32.7   2.20    3.3   2128

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
NLY    ANNALY CAPI  NLY US 04/21/12 C15      -59.4  18.1   0.70  -43.5    311
PCG    PG&E CORP    PCG US 04/21/12 C40      -59.3  14.1   3.00   -3.2    500
KERX   KERYX BIOPH  KERX US 01/18/14 C2.5    -49.0  85.0   3.40   17.2    250
CX     CEMEX SAB-S  CX US 04/21/12 C7        -40.6  52.3   0.85  -29.2   1000
MHS    MEDCO HEALT  MHS US 06/16/12 C60      -36.3  28.4  12.40    7.8    220
MHS    MEDCO HEALT  MHS US 05/19/12 P67.5    -35.7  25.7   1.20  -64.7    251
MHS    MEDCO HEALT  MHS US 04/21/12 C70      -35.3  27.7   2.65    3.9   1289
ACI    ARCH COAL I  ACI US 01/19/13 C5       -33.6  61.6   6.00   -6.2    200
MHS    MEDCO HEALT  MHS US 06/16/12 P65      -33.3  25.0   0.95  -69.5   1989
MHS    MEDCO HEALT  MHS US 06/16/12 C67.5    -32.4  22.4   5.90   15.7    261
VXX    IPATH-S&P S  VXX US 05/19/12 P16      -31.5  79.5   1.26  -14.9    494
KFT    KRAFT FOODS  KFT US 01/19/13 C25      -30.8  31.1  13.30   -1.5    209
MHS    MEDCO HEALT  MHS US 04/21/12 P67.5    -30.0  33.9   1.00  -63.6    327
NLY    ANNALY CAPI  NLY US 04/21/12 P16      -29.6  10.6   0.41    2.5   1281
XLI    SPDR-INDU S  XLI US 01/18/14 P25      -28.2  31.6   1.46  -20.6    223
MHS    MEDCO HEALT  MHS US 04/21/12 P65      -27.7  39.2   0.70  -65.0    366
NLY    ANNALY CAPI  NLY US 04/21/12 C16      -27.2  11.3   0.05  -79.2   1925
VXX    IPATH-S&P S  VXX US 04/21/12 C15      -26.3  74.3   3.00   11.9    359
MHS    MEDCO HEALT  MHS US 05/19/12 P55      -26.2  43.8   0.30  -72.7    290
STT    STATE ST CO  STT US 05/19/12 C36      -24.9  33.1   9.40  -11.3    384
BIDU   BAIDU INC-S  BIDU US 04/21/12 C120    -24.2  34.1  27.75  -10.2    559
FDO    FAMILY DOLL  FDO US 04/21/12 C60      -22.8  18.2   0.60  -20.0    245
JOSB   JOS A BANK   JOSB US 04/21/12 P50     -22.6  31.9   1.60  162.3   1013
RBN    ROBBINS & M  RBN US 04/21/12 C50      -22.2  31.5   1.25  108.3    543
VXX    IPATH-S&P S  VXX US 06/16/12 P10      -22.1  75.5   0.10  -23.1    226
VXX    IPATH-S&P S  VXX US 05/19/12 C16      -22.1  77.4   2.90   10.7    502
NLY    ANNALY CAPI  NLY US 01/18/14 C15      -21.5  16.3   1.02  -20.9   1154
ESRX   EXPRESS SCR  ESRX US 04/21/12 P55     -20.9  28.5   2.18  -27.3    774
ESRX   EXPRESS SCR  ESRX US 04/21/12 C55     -20.2  28.8   1.05  -12.5    770
SIGA   SIGA TECH I  SIGA US 04/21/12 C3      -20.2  71.9   0.56   -6.7    509
FDO    FAMILY DOLL  FDO US 04/21/12 P57.5    -20.2  20.7   0.60  -46.4    297
GIVN   GIVEN IMAGI  GIVN US 05/19/12 C20     -18.5  32.5   0.60    0.0    232
MHS    MEDCO HEALT  MHS US 04/21/12 P55      -17.1  61.7   0.25  -61.5   1629
AFFY   AFFYMAX INC  AFFY US 04/21/12 P7      -16.0 125.9   0.05    0.0    357
ESRX   EXPRESS SCR  ESRX US 04/21/12 C52.5   -15.8  31.5   2.28   -6.9   2440
NKTR   NEKTAR THER  NKTR US 04/21/12 C8      -15.7  49.5   0.65    0.0    747
VXX    IPATH-S&P S  VXX US 05/19/12 P18      -15.7  84.2   2.42  -11.7    345
PVH    PVH CORP     PVH US 04/21/12 C92.5    -15.3  24.4   0.95  -38.7    270
JOSB   JOS A BANK   JOSB US 04/21/12 C50     -15.2  32.7   1.59  -68.2  11073
ESRX   EXPRESS SCR  ESRX US 05/19/12 C55     -14.6  31.5   2.00   -7.4   1307
ESRX   EXPRESS SCR  ESRX US 04/21/12 P52.5   -14.5  31.8   1.11  -34.7   1949
PVH    PVH CORP     PVH US 04/21/12 P87.5    -13.7  27.1   1.65   -8.3    332
SDS    PRO ULTSHRT  SDS US 04/21/12 C13      -13.6  25.8   2.03    6.3    303
ARNA   ARENA PHARM  ARNA US 01/18/14 P1      -13.5 105.9   0.29  -14.7   1012
FTR    FRONTIER CO  FTR US 04/21/12 C4       -13.5  38.0   0.20  -20.0    576
VXX    IPATH-S&P S  VXX US 04/21/12 C17      -13.3  79.6   1.79   12.6   2219
XLE    SPDR-ENERGY  XLE US 04/21/12 P52      -12.8  51.3   0.01    0.0    590
HD     HOME DEPOT   HD US 04/21/12 P35       -12.6  52.1   0.01  -50.0    413
SRE    SEMPRA ENER  SRE US 04/21/12 C57.5    -12.5  14.4   1.65    3.1    357
ESRX   EXPRESS SCR  ESRX US 04/21/12 P50     -12.3  34.5   0.49  -40.2   4311
ESRX   EXPRESS SCR  ESRX US 05/19/12 P45     -12.3  37.1   0.25  -54.5    725
BPZ    BPZ RESOURC  BPZ US 06/16/12 C4       -12.1  60.3   0.50  -16.7    244
TOT    TOTAL SA-SP  TOT US 04/21/12 P50      -11.9  28.0   1.15   -4.2    693
ESRX   EXPRESS SCR  ESRX US 05/19/12 C47.5   -11.7  36.6   6.50   -8.2   1241
KERX   KERYX BIOPH  KERX US 04/21/12 P3      -11.4 209.7   0.20  -20.0    466
ESRX   EXPRESS SCR  ESRX US 05/19/12 P55     -11.4  32.2   3.18  -17.4    639
FDO    FAMILY DOLL  FDO US 05/19/12 C60      -11.3  18.7   1.10  -15.4    253
CHTP   CHELSEA THE  CHTP US 04/21/12 P2      -11.3 212.5   0.10    0.0    857
AMLN   AMYLIN PHAR  AMLN US 04/21/12 C23     -11.2  75.0   1.56 2128.6   2370
CJES   C&J ENERGY   CJES US 04/21/12 C17.5   -11.1  38.3   0.80  -11.1    318
ARNA   ARENA PHARM  ARNA US 04/21/12 P2.5    -11.1 145.7   0.22   10.0    361
VXX    IPATH-S&P S  VXX US 05/19/12 C18      -10.9  82.2   2.05   15.2    852
ISTA   ISTA PHARMA  ISTA US 04/21/12 C7.5    -10.8  38.9   1.50    0.0    237
ESRX   EXPRESS SCR  ESRX US 05/19/12 P52.5   -10.8  34.7   2.17  -20.2    741
ESRX   EXPRESS SCR  ESRX US 05/19/12 P42.5   -10.7  38.4   0.15  -51.6   3473
EPI    WISDOMTREE   EPI US 05/19/12 C19      -10.4  23.8   0.65  -18.8    456
HUN    HUNTSMAN CO  HUN US 04/21/12 P14      -10.1  32.5   0.35   52.2   2056

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

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