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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
=============================================================================
TZA    DIR SMCAP B  TZA US 08/18/12 C16       39.9  57.9   4.25   28.8   1011
HZNP   HORIZON PHA  HZNP US 08/18/12 C7.5     26.1 121.9   1.00   11.1    758
NAT    NORDIC AMER  NAT US 10/20/12 P10       24.3  59.7   0.65   62.5   1630
D      DOMINION RE  D US 09/22/12 C55         22.8  11.6   0.15  -57.1    500
XLF    SPDR-FINL S  XLF US 08/18/12 C13       22.6  31.0   1.20   -9.1    979
NKTR   NEKTAR THER  NKTR US 08/18/12 C9       20.9  64.2   0.60  -14.3   2734
RRD    RR DONNELLE  RRD US 01/19/13 C12.5     19.3  33.7   0.80   14.3    895
AUTH   AUTHENTEC I  AUTH US 10/20/12 C5       18.0  90.6   0.95   26.7   3255
KORS   MICHAEL KOR  KORS US 08/18/12 P39      17.9  70.0   2.50   13.6   1454
MWE    MARKWEST EN  MWE US 08/18/12 C52.5     17.9  25.6   1.05  -19.9    598
BWLD   BUFFALO WIL  BWLD US 08/18/12 P70      17.5  72.4   2.31   71.1    583
CMCSA  COMCAST COR  CMCSA US 08/18/12 P32     17.5  25.2   1.26   20.0   5703
KORS   MICHAEL KOR  KORS US 08/18/12 P38      16.7  71.1   2.10   13.5    669
JNPR   JUNIPER NET  JNPR US 08/18/12 P14      16.2  63.3   0.59   68.6  19500
BWLD   BUFFALO WIL  BWLD US 08/18/12 C80      16.2  62.5   4.07  -16.9   1282
KORS   MICHAEL KOR  KORS US 08/18/12 C41      16.0  66.4   2.00    2.6    971
LLY    ELI LILLY &  LLY US 08/18/12 P43       15.8  27.3   2.16  140.0   1051
JNPR   JUNIPER NET  JNPR US 08/18/12 P13      15.7  66.9   0.30   57.9    881
YNDX   YANDEX NV-A  YNDX US 08/18/12 P19      15.7  62.9   1.45   45.0   1635
JNPR   JUNIPER NET  JNPR US 08/18/12 C15      15.3  61.0   0.89   -9.2   3805
YHOO   YAHOO! INC   YHOO US 08/18/12 C16      14.9  22.6   0.12  -47.8   4556
BWLD   BUFFALO WIL  BWLD US 09/22/12 C80      14.9  48.6   5.30   -7.0    539
EXC    EXELON CORP  EXC US 10/20/12 C40       14.7  16.9   0.60   -3.2   1443
LLY    ELI LILLY &  LLY US 08/18/12 C43       14.7  27.0   0.62  -59.7    841
FRX    FOREST LABS  FRX US 08/18/12 C35       14.6  28.9   0.46  -29.2   1168
BWLD   BUFFALO WIL  BWLD US 08/18/12 P80      14.5  62.0   6.10   48.8   1605
BWLD   BUFFALO WIL  BWLD US 09/22/12 P80      14.5  49.0   7.21   38.6    882
CAH    CARDINAL HE  CAH US 08/18/12 C44       14.2  21.7   0.25  -16.7    924
CMCSA  COMCAST COR  CMCSA US 08/18/12 C31     14.2  26.9   0.97    0.0   2370
GLW    CORNING INC  GLW US 08/18/12 P12       14.1  39.9   0.48   26.3   4529
XLF    SPDR-FINL S  XLF US 08/18/12 C14       13.8  24.0   0.41  -12.8   3496
GLW    CORNING INC  GLW US 08/18/12 C12       13.7  39.4   0.48   -5.9   5854
YHOO   YAHOO! INC   YHOO US 08/18/12 P16      13.7  22.0   0.77   75.0    772
CMCSA  COMCAST COR  CMCSA US 08/18/12 P31     13.6  26.8   0.73   19.7   2495
CCL    CARNIVAL CO  CCL US 08/18/12 C33       13.5  25.9   0.37  -26.0    563
DNDN   DENDREON CO  DNDN US 08/18/12 P6       13.4 122.6   0.57   -3.4   2127
DNDN   DENDREON CO  DNDN US 09/22/12 P6       13.4 106.8   0.86    4.9   2975
VXX    IPATH-S&P S  VXX US 08/18/12 P13       13.2  81.3   0.45  -22.4   7901
CCL    CARNIVAL CO  CCL US 09/22/12 C32       13.1  27.8   1.40    0.0   6707
WMB    WILLIAMS CO  WMB US 08/18/12 C32       13.1  33.6   0.49  -31.9   1977
QQQ    POWERSH-QQQ  QQQ US 08/18/12 C65       13.0  18.5   0.40  -21.6   6335
QQQ    POWERSH-QQQ  QQQ US 08/18/12 C64       12.7  19.7   0.74  -19.6   8451
BWLD   BUFFALO WIL  BWLD US 08/18/12 P75      12.6  66.3   3.80   55.1    792
JNJ    JOHNSON&JOH  JNJ US 08/18/12 C70       12.5  13.6   0.13  -48.0    915
DIA    SPDR DJIA T  DIA US 08/18/12 C131      12.4  13.1   0.17  -46.9    696
QQQ    POWERSH-QQQ  QQQ US 08/18/12 C63       12.2  20.8   1.22  -19.7  17310
CCL    CARNIVAL CO  CCL US 08/18/12 P31       12.2  29.6   0.60   71.4   2653
BWLD   BUFFALO WIL  BWLD US 09/22/12 P65      12.1  57.6   1.75   59.1    776
WMS    WMS INDS IN  WMS US 08/18/12 P20       12.1  58.3   1.35   12.5    647
VXX    IPATH-S&P S  VXX US 08/18/12 P12       12.1  77.4   0.19  -20.8  26888
VXX    IPATH-S&P S  VXX US 12/22/12 P10       12.0  79.1   0.75  -11.8    906
BX     BLACKSTONE   BX US 08/18/12 C14        11.9  27.2   0.32   60.0   2361
DIA    SPDR DJIA T  DIA US 08/18/12 C125      11.9  16.5   2.17  -34.2   1112
VXX    IPATH-S&P S  VXX US 08/18/12 C13       11.8  81.0   2.32   38.1  13060
VXX    IPATH-S&P S  VXX US 08/18/12 P14       11.8  84.9   0.85  -24.8   2621
LINE   LINN ENERGY  LINE US 08/18/12 P36      11.7  28.6   0.20  100.0    548
DIA    SPDR DJIA T  DIA US 08/18/12 C126      11.7  15.9   1.67  -32.4   3149
ETP    ENERGY TRAN  ETP US 08/18/12 C45       11.7  21.5   0.50  -37.5    749
DIA    SPDR DJIA T  DIA US 08/18/12 C130      11.6  13.4   0.30  -46.4   1159
QQQ    POWERSH-QQQ  QQQ US 08/18/12 C62       11.6  22.1   1.82  -17.6   4932
CPB    CAMPBELL SO  CPB US 09/22/12 P31       11.5  20.0   0.45    0.0    978
DIA    SPDR DJIA T  DIA US 08/18/12 C127      11.4  15.1   1.19  -32.8   1736
QQQ    POWERSH-QQQ  QQQ US 08/18/12 C60       11.3  24.5   3.28  -15.7    748
FRX    FOREST LABS  FRX US 08/18/12 P34       11.3  28.5   1.15   51.3    536
QQQ    POWERSH-QQQ  QQQ US 08/18/12 C61       11.2  23.2   2.51  -15.5    964
XLE    SPDR-ENERGY  XLE US 09/22/12 C62.5     11.1  27.8   5.15   -1.9   5218
DIA    SPDR DJIA T  DIA US 08/18/12 C129      11.1  13.8   0.48  -45.5    811
LLY    ELI LILLY &  LLY US 08/18/12 P42       11.1  26.5   1.46  192.0   1802
EXC    EXELON CORP  EXC US 08/18/12 C39       11.0  15.3   0.50  -23.1   1007
DIA    SPDR DJIA T  DIA US 08/18/12 C128      10.9  14.4   0.79  -39.2   2021
CSX    CSX CORP     CSX US 09/22/12 C22.5     10.9  23.7   0.41  -19.6    632
PNRA   PANERA BREA  PNRA US 08/18/12 P125     10.7  61.4   2.70   42.1    843
DIA    SPDR DJIA T  DIA US 10/20/12 C126      10.7  17.0   3.60  -17.2    624
VXX    IPATH-S&P S  VXX US 08/18/12 P15       10.4  89.0   1.41  -20.3   1670
SDS    PRO ULTSHRT  SDS US 08/18/12 P15       10.3  32.2   0.11  -42.1    708
RBN    ROBBINS & M  RBN US 08/18/12 C40       10.0  47.6   4.35   40.3    530

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
WAT    WATERS CORP  WAT US 08/18/12 P75      -37.0  25.4   1.50  -49.1   3397
ELN    ELAN CORP-A  ELN US 08/18/12 P10      -33.5  93.7   0.45    0.0    509
ELN    ELAN CORP-A  ELN US 08/18/12 P11      -33.5  91.5   0.80    1.3   2721
UA     UNDER ARMOU  UA US 08/18/12 P47.5     -31.5  46.5   0.85  -72.6  10664
GNTX   GENTEX CORP  GNTX US 08/18/12 C15     -31.3  53.2   0.95    0.0    747
UA     UNDER ARMOU  UA US 08/18/12 P48.75    -30.9  45.3   1.10  -68.6   1014
UA     UNDER ARMOU  UA US 08/18/12 C52.5     -30.9  41.4   1.92   29.7   1706
UA     UNDER ARMOU  UA US 08/18/12 P50       -30.0  43.4   1.50  -63.4   3463
UA     UNDER ARMOU  UA US 08/18/12 P52.5     -29.5  41.0   2.50  -52.8    929
GNTX   GENTEX CORP  GNTX US 08/18/12 P15     -29.1  52.2   0.80    0.0   1026
UA     UNDER ARMOU  UA US 08/18/12 P42.5     -28.8  54.3   0.25  -81.5   1402
GNTX   GENTEX CORP  GNTX US 09/22/12 P15     -27.9  46.4   1.15 1050.0    801
UA     UNDER ARMOU  UA US 08/18/12 P46.25    -27.5  48.8   0.55  -77.4    622
PII    POLARIS IND  PII US 08/18/12 P70      -27.4  34.7   2.60  -10.7   2208
UA     UNDER ARMOU  UA US 08/18/12 P45       -27.3  51.5   0.40  -81.0   1059
ELN    ELAN CORP-A  ELN US 08/18/12 C12      -26.3 103.3   1.00  -58.3   2345
WAT    WATERS CORP  WAT US 08/18/12 P70      -26.3  29.9   0.50  -54.5   2216
WHR    WHIRLPOOL C  WHR US 08/18/12 P60      -25.6  42.7   1.68   40.0    846
WU     WESTERN UNI  WU US 08/18/12 P17       -25.4  21.2   0.25  -58.3    781
UA     UNDER ARMOU  UA US 08/18/12 P43.75    -25.3  53.5   0.20  -87.9    676
VXX    IPATH-S&P S  VXX US 08/18/12 P10      -25.3  74.0   0.01  -66.7   1749
BIDU   BAIDU INC-S  BIDU US 08/18/12 P120    -25.1  38.3   6.95  -52.4   1161
ELN    ELAN CORP-A  ELN US 08/18/12 P12      -24.8 102.1   1.50   26.1   1729
WHR    WHIRLPOOL C  WHR US 08/18/12 C65      -24.3  39.7   1.46  -70.3    797
WHR    WHIRLPOOL C  WHR US 08/18/12 P65      -24.1  39.4   4.15   56.0    524
WU     WESTERN UNI  WU US 08/18/12 C17       -23.8  21.2   0.53   32.5   1111
BIDU   BAIDU INC-S  BIDU US 08/18/12 C115    -22.4  40.4   5.30   87.3   6781
BIDU   BAIDU INC-S  BIDU US 08/18/12 P110    -22.0  42.3   2.50  -67.5   2420
ELN    ELAN CORP-A  ELN US 08/18/12 C10      -21.1  96.7   2.10  -54.7   2041
BIDU   BAIDU INC-S  BIDU US 08/18/12 C110    -20.2  42.7   8.30   74.7   5523
BIDU   BAIDU INC-S  BIDU US 08/18/12 P105    -20.0  44.8   1.40  -73.2   2939
TXN    TEXAS INSTR  TXN US 08/18/12 C27      -18.9  28.1   0.50  -35.9   1617
NXY    NEXEN INC    NXY US 09/22/12 P26      -18.7   9.5   0.50   11.1   4970
BIDU   BAIDU INC-S  BIDU US 08/18/12 C105    -17.9  45.3  12.20   70.6   1470
TXN    TEXAS INSTR  TXN US 08/18/12 P26      -17.5  30.1   0.65   -9.7   1719
BIDU   BAIDU INC-S  BIDU US 08/18/12 P100    -16.6  48.0   0.76  -77.3   2720
ELN    ELAN CORP-A  ELN US 09/22/12 C12      -16.3  97.0   1.80  -48.6    620
VMW    VMWARE INC-  VMW US 08/18/12 C90      -16.2  41.4   2.85  -35.2   5311
VMW    VMWARE INC-  VMW US 08/18/12 P87.5    -16.0  41.3   3.60   -7.7    543
ELN    ELAN CORP-A  ELN US 10/20/12 P12      -16.0  85.4   2.15   19.4   6687
VMW    VMWARE INC-  VMW US 08/18/12 P85      -15.9  41.8   2.35  -13.0    580
VMW    VMWARE INC-  VMW US 08/18/12 C87.5    -15.4  41.2   4.00  -25.9    504
UPS    UNITED PARC  UPS US 08/18/12 C72.5    -15.3  18.0   2.39  -65.8    804
ITW    ILLINOIS TO  ITW US 08/18/12 C52.5    -15.1  24.2   1.08  -43.2    906
IRDM   IRIDIUM COM  IRDM US 08/18/12 P7.5    -15.0  65.6   0.15    0.0   1211
EMC    EMC CORP/MA  EMC US 08/18/12 C26      -14.8  27.2   0.35  -10.3   3437
UPS    UNITED PARC  UPS US 08/18/12 C75      -14.8  16.1   0.89  -73.0   2290
EMC    EMC CORP/MA  EMC US 08/18/12 P25      -14.7  28.9   0.72  -25.8    745
ITW    ILLINOIS TO  ITW US 08/18/12 P52.5    -14.3  24.3   1.70   54.5    728
BIDU   BAIDU INC-S  BIDU US 09/22/12 P120    -14.2  38.6   9.50  -41.5   1428
EMC    EMC CORP/MA  EMC US 08/18/12 C25      -14.1  28.7   0.78   -2.5   1147
BTU    PEABODY ENE  BTU US 08/18/12 C18      -13.8  68.6   2.84  -40.2   1657
BIDU   BAIDU INC-S  BIDU US 08/18/12 C100    -13.5  49.2  16.35   58.9   1035
EMC    EMC CORP/MA  EMC US 08/18/12 P24      -13.5  31.4   0.38  -30.9    738
S      SPRINT NEXT  S US 08/18/12 P3         -13.4  55.9   0.05    0.0    802
BTU    PEABODY ENE  BTU US 08/18/12 P18      -13.4  67.7   0.44  100.0    579
T      AT&T INC     T US 08/18/12 P34        -13.2  17.4   0.42   90.9   2452
UA     UNDER ARMOU  UA US 08/18/12 P37.5     -12.9  71.5   0.10  -81.8    807
BIDU   BAIDU INC-S  BIDU US 09/22/12 P115    -12.8  39.7   7.00  -41.9    749
BIDU   BAIDU INC-S  BIDU US 08/18/12 P95     -12.8  51.7   0.42  -78.9   1304
ELN    ELAN CORP-A  ELN US 01/19/13 P10      -12.7  68.7   1.20   14.3  10011
BIDU   BAIDU INC-S  BIDU US 09/22/12 C120    -12.7  39.1   5.50   61.8   1179
T      AT&T INC     T US 08/18/12 P35        -12.7  16.1   0.89   78.0   3468
UPS    UNITED PARC  UPS US 08/18/12 C77.5    -12.4  14.7   0.19  -88.0   3814
VVUS   VIVUS INC    VVUS US 08/18/12 C24     -12.3  73.0   1.45   16.9    600
MO     ALTRIA GROU  MO US 08/18/12 C36       -12.2  12.9   0.27  -18.2   1508
EMC    EMC CORP/MA  EMC US 08/18/12 P23      -12.1  35.1   0.20  -41.2    913
VVUS   VIVUS INC    VVUS US 08/18/12 P16     -12.1 100.3   0.18  -53.9    555
VIAB   VIACOM INC-  VIAB US 08/18/12 P47     -12.0  24.1   2.25  -11.8   5246
VVUS   VIVUS INC    VVUS US 08/18/12 C21     -12.0  79.8   3.07   11.2    789
FB     FACEBOOK IN  FB US 08/18/12 P28       -11.9  69.8   1.80   -7.7   3553
UPS    UNITED PARC  UPS US 08/18/12 P70      -11.9  23.2   0.36   71.4   1115
BIDU   BAIDU INC-S  BIDU US 09/22/12 C115    -11.8  40.2   7.95   65.6    916
NXY    NEXEN INC    NXY US 09/22/12 C26      -11.6  10.5   0.40  -11.1   1043
VVUS   VIVUS INC    VVUS US 08/18/12 P17     -11.5  95.8   0.29  -45.3   2979
T      AT&T INC     T US 08/18/12 C34        -11.4  17.7   0.84  -49.4   2460
OGZPY  GAZPROM-ADR  GAZ GR 09/21/12 P7.8     -11.4  39.2   0.17    0.0    790
UPS    UNITED PARC  UPS US 08/18/12 P72.5    -11.4  21.5   0.87  180.7   3174
T      AT&T INC     T US 08/18/12 C35        -11.3  16.1   0.32  -64.4   3812
FB     FACEBOOK IN  FB US 08/18/12 P26       -11.1  71.6   1.00  -13.0   1800
BTU    PEABODY ENE  BTU US 08/18/12 P19      -11.0  64.3   0.69  130.0   1215
MO     ALTRIA GROU  MO US 08/18/12 P35       -11.0  14.0   0.30  -18.9    613
ITW    ILLINOIS TO  ITW US 08/18/12 P50      -10.9  27.5   0.70   45.8    763
XLI    SPDR-INDU S  XLI US 09/22/12 P36      -10.8  19.4   2.03   23.0   1000
BTU    PEABODY ENE  BTU US 08/18/12 C20      -10.7  61.6   1.46  -57.1   1142
FB     FACEBOOK IN  FB US 08/18/12 P25       -10.6  72.9   0.72  -17.2  12260
T      AT&T INC     T US 08/18/12 P31        -10.6  23.8   0.04  100.0    588
FB     FACEBOOK IN  FB US 08/18/12 P27       -10.5  70.0   1.33  -11.3   2341
VVUS   VIVUS INC    VVUS US 08/18/12 P18     -10.5  90.2   0.38  -44.1    637
ELN    ELAN CORP-A  ELN US 01/19/13 C7.5     -10.3  69.5   4.70  -27.7   1003
T      AT&T INC     T US 08/18/12 P33        -10.3  19.4   0.21  110.0   1016
FB     FACEBOOK IN  FB US 08/18/12 P23       -10.2  76.5   0.35  -22.2    751
VVUS   VIVUS INC    VVUS US 08/18/12 P19     -10.2  88.0   0.55  -38.2    820

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

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