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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 3:00 p.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 500 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
=============================================================================
EXC    EXELON CORP  EXC US 06/16/12 C34       96.9  21.4   3.10    0.0    561
VXX    IPATH-S&P S  VXX US 06/16/12 C18       45.9  80.7   3.02    0.7    549
GNOM   COMPLETE GE  GNOM US 07/21/12 C2.5     41.4 155.2   0.75  114.3    896
QQQ    POWERSH-QQQ  QQQ US 06/16/12 P65       39.4  17.8   3.27   -9.2    940
ELN    ELAN CORP-A  ELN US 06/16/12 P13       38.7  55.5   0.25  -44.4    914
CIGX   STAR SCIENT  CIGX US 01/19/13 C2       36.3  51.5   1.95    2.6    570
CALL   MAGICJACK V  CALL US 12/22/12 C12.5    33.2  49.1   5.20   -8.8   3510
NILE   BLUE NILE I  NILE US 06/16/12 C25      30.3  62.2   7.60   20.6    592
IOC    INTEROIL CO  IOC US 06/16/12 P50       29.1 107.0   1.47   63.3    504
IOC    INTEROIL CO  IOC US 06/16/12 P55       28.2  99.5   2.15   15.6    556
IOC    INTEROIL CO  IOC US 06/16/12 C60       26.7  93.4   7.35   31.2    640
VXX    IPATH-S&P S  VXX US 06/16/12 C20       23.9  86.4   1.90    8.6   4950
IOC    INTEROIL CO  IOC US 06/16/12 P35       22.8 145.4   0.25   56.2    568
ARBA   ARIBA INC    ARBA US 06/16/12 C45      22.6   8.2   0.45   28.6   1243
IWM    ISHARES-RUS  IWM US 06/16/12 P80       20.9  22.5   4.04    8.0  10462
SPY    SPDR S&P 50  SPY US 06/16/12 P136      20.8  14.9   5.08   10.9   5503
ARBA   ARIBA INC    ARBA US 07/21/12 C45      20.6   6.8   0.55   10.0   5528
CIGX   STAR SCIENT  CIGX US 07/21/12 C4       20.4  40.0   0.20    0.0    550
HD     HOME DEPOT   HD US 06/16/12 C46        16.4  24.3   3.70   12.1   1513
VXX    IPATH-S&P S  VXX US 06/16/12 C21       16.2  89.1   1.48   11.3   1513
EEM    ISHARES-EMG  EEM US 06/22/13 P35       14.6  30.5   4.05    0.0    800
GRPN   GROUPON INC  GRPN US 06/16/12 C5       14.2 171.8   7.00    1.4    521
JNJ    JOHNSON&JOH  JNJ US 06/16/12 C65       13.5  12.4   0.08  -33.3    555
EEM    ISHARES-EMG  EEM US 12/22/12 P31       13.3  36.8   1.70   -5.6  10700
TIVO   TIVO INC     TIVO US 06/16/12 P9       13.2  64.0   0.50    4.2   1656
HPQ    HEWLETT-PAC  HPQ US 08/18/12 C14       13.0  58.0   8.21  -19.5   1207
ONXX   ONYX PHARM   ONXX US 06/16/12 P39      12.8  49.2   0.10  -33.3    772
QQQ    POWERSH-QQQ  QQQ US 06/16/12 P64       11.9  18.5   2.50   -2.7   1421
CIGX   STAR SCIENT  CIGX US 01/18/14 C4       11.2  59.4   1.05   -4.5    667
END    ENDEAVOUR I  END US 07/21/12 P5        11.1 124.2   0.60   20.0   1500
WNR    WESTERN REF  WNR US 06/16/12 P20       11.1  53.6   1.10   -6.0   1002
ENPH   ENPHASE ENE  ENPH US 11/17/12 P5       10.8  99.3   0.70    0.0    500
C      CITIGROUP I  C US 06/16/12 P15         10.7 104.3   0.02    0.0    623
DUK    DUKE ENERGY  DUK US 07/21/12 C22       10.6  13.5   0.45   28.6   2649

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
PAY    VERIFONE SY  PAY US 06/16/12 C38      -38.5  46.4   2.00    0.0    715
PAY    VERIFONE SY  PAY US 06/16/12 P37      -37.3  46.6   1.05  110.0   1065
PAY    VERIFONE SY  PAY US 06/16/12 C39      -37.2  45.8   1.35  -81.5    988
PAY    VERIFONE SY  PAY US 06/16/12 P38      -34.8  46.0   1.62  170.0   1822
PAY    VERIFONE SY  PAY US 06/16/12 P36      -34.3  48.8   0.90  157.1   2682
PAY    VERIFONE SY  PAY US 06/16/12 P39      -34.2  45.9   2.14  167.5   1159
PAY    VERIFONE SY  PAY US 06/16/12 P40      -33.9  45.5   2.75  175.0   2642
PAY    VERIFONE SY  PAY US 06/16/12 P35      -33.3  49.9   0.55   83.3    624
PAY    VERIFONE SY  PAY US 06/16/12 C40      -31.2  45.6   0.95  -85.4   1433
KMI    KINDER MORG  KMI US 06/16/12 C32.5    -24.8  27.5   0.75  -25.0   1774
JAKK   JAKKS PACIF  JAKK US 06/16/12 P17.5   -23.1  25.3   0.30  -40.0    961
AMLN   AMYLIN PHAR  AMLN US 07/21/12 C28     -22.7  51.5   2.33   33.1   1713
AMLN   AMYLIN PHAR  AMLN US 07/21/12 C27     -21.9  55.7   2.80   26.7   1169
PAY    VERIFONE SY  PAY US 07/21/12 P32      -21.3  53.0   0.80  166.7   2041
AMLN   AMYLIN PHAR  AMLN US 06/16/12 P24     -20.5  63.8   0.30  -76.0   1337
AMLN   AMYLIN PHAR  AMLN US 06/16/12 P25     -20.3  60.0   0.49  -71.2   1246
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P29     -20.0  49.9   2.80  -40.4   1185
AMLN   AMYLIN PHAR  AMLN US 06/16/12 C26     -19.8  59.5   2.62   49.7   1875
EC     ECOPETROL-S  EC US 06/16/12 P60       -19.6  26.7   3.20    6.7    629
PAY    VERIFONE SY  PAY US 07/21/12 P40      -19.3  45.1   3.83  112.8    541
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P18     -18.3  96.3   0.65  -44.4   1085
AMLN   AMYLIN PHAR  AMLN US 06/16/12 C28     -18.2  57.3   1.40   55.6   3438
AMLN   AMYLIN PHAR  AMLN US 06/16/12 C27     -18.2  60.0   2.06   77.6   1191
AMLN   AMYLIN PHAR  AMLN US 07/21/12 P20     -17.6  89.6   0.73  -52.9    671
DVA    DAVITA INC   DVA US 06/16/12 P80      -16.5  20.6   0.85  -29.2   1383
SMH    MARKET VECT  SMH US 06/16/12 C32      -16.5  21.8   0.35  -12.5    763
FRO    FRONTLINE L  FRO US 07/21/12 P5       -15.2  78.4   0.45  -30.8    922
ADTN   ADTRAN INC   ADTN US 06/16/12 C30     -15.2  33.3   0.90  -10.0   1113
VVUS   VIVUS INC    VVUS US 06/16/12 C25     -14.9  54.7   1.10  -22.0  10389
UUP    POWERSHARES  UUP US 06/16/12 C22      -14.8   6.9   0.79   -2.5    699
SPF    STANDARD PA  SPF US 06/16/12 P5       -14.2  70.8   0.15  -40.0   1500
FRO    FRONTLINE L  FRO US 08/18/12 C5       -14.1  70.4   1.10   46.7    634
XLF    SPDR-FINL S  XLF US 06/16/12 C13      -13.3  34.0   1.13   -3.4   3801
QQQ    POWERSH-QQQ  QQQ US 06/16/12 C60      -12.8  23.7   2.65   -9.2   1538
SPY    SPDR S&P 50  SPY US 06/16/12 C127     -12.4  21.4   5.94   -3.7    584
SPF    STANDARD PA  SPF US 06/16/12 C5       -12.3  63.0   0.55    0.0    703
PAG    PENSKE AUTO  PAG US 06/16/12 C25      -12.2  29.5   0.70   27.3    667
GNK    GENCO SHIPP  GNK US 06/16/12 C3       -12.1  74.8   0.34   36.0    515
KMI    KINDER MORG  KMI US 06/16/12 P30      -12.0  35.5   0.35  -12.5   2262
CMCSK  COMCAST COR  CMCSK US 06/16/12 P29    -11.8  20.5   0.70  -30.0   3004
QQQ    POWERSH-QQQ  QQQ US 06/16/12 C61      -11.6  22.5   1.89  -12.9   1964
FXY    CRYSHS-JAPA  FXY US 06/16/12 C129     -11.4  10.4   0.03  -82.3   2365
SPY    SPDR S&P 50  SPY US 06/16/12 C128     -11.3  20.8   5.12  -11.0    978
IWM    ISHARES-RUS  IWM US 06/16/12 C75      -11.2  27.1   2.80  -10.0   1659
SYY    SYSCO CORP   SYY US 06/16/12 P27      -11.2  16.6   0.10  -60.0   1171
EXPD   EXPEDITORS   EXPD US 06/16/12 P37.5   -11.2  26.6   0.65  -13.3    590
AMLN   AMYLIN PHAR  AMLN US 06/16/12 C29     -11.0  60.0   1.10   52.8   1563
TTWO   TAKE-TWO IN  TTWO US 07/21/12 P12     -11.0  40.2   1.05    0.0   2500
SPY    SPDR S&P 50  SPY US 06/16/12 C129     -10.7  20.2   4.35   -8.2   2254
IWM    ISHARES-RUS  IWM US 06/16/12 C76      -10.7  25.9   2.16  -10.0   3308
QCOR   QUESTCOR PH  QCOR US 06/16/12 P38     -10.4  58.8   0.91  -37.2   1433
ISTA   ISTA PHARMA  ISTA US 10/20/12 P7.5    -10.3  22.7   0.05    0.0    510
PAY    VERIFONE SY  PAY US 10/20/12 P40      -10.1  46.9   5.40   63.6   3803
IDIX   IDENIX PHAR  IDIX US 07/21/12 P7.5    -10.0  96.4   0.50   -9.1   9152

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

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