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
=============================================================================
TWO    TWO HARBORS  TWO US 12/22/12 C10       44.5  44.6   2.00   14.3    959
CVI    CVR ENERGY   CVI US 10/20/12 C30       43.3  41.6   4.55    5.8   1500
VWO    VANGUARD MS  VWO US 11/17/12 C42       28.1  22.1   1.55   47.6   1799
WLL    WHITING PET  WLL US 10/20/12 C50       25.7  46.3   3.90   81.4    531
KGC    KINROSS GOL  KGC US 10/20/12 C8        20.3  53.8   1.89   12.5   5314
FST    FOREST OIL   FST US 10/20/12 C9        19.9  77.8   0.70  100.0   5435
DIS    WALT DISNEY  DIS US 10/20/12 C42       18.8  32.0  10.50    8.4   1143
CALL   MAGICJACK V  CALL US 12/22/12 P25      16.1  79.4   4.80   11.6   1032
MRK    MERCK & CO   MRK US 10/20/12 C43       14.6  15.1   1.82   18.2    537
GLD    SPDR GOLD T  GLD US 09/28/12 C157      14.2  23.0  13.95   29.2    787
NEM    NEWMONT MIN  NEM US 10/20/12 P46       14.1  36.2   0.13  -53.6   1000
GE     GENERAL ELE  GE US 10/20/12 C20        14.0  24.2   2.04    9.1    560
STZ    CONSTELLATI  STZ US 10/20/12 P25       12.7  57.1   0.15   15.4    500
ORLY   O'REILLY AU  ORLY US 10/20/12 P75      12.2  33.4   0.90  157.1   1913
OCR    OMNICARE IN  OCR US 12/22/12 C32       11.8  38.7   4.30   22.9    512
FAZ    DIR FIN BEA  FAZ US 10/20/12 C15       11.4  42.9   1.92  -35.8    519
ORLY   O'REILLY AU  ORLY US 10/20/12 C85      11.2  28.8   1.65  -46.8   1401
NEM    NEWMONT MIN  NEM US 10/20/12 C52.5     11.1  30.0   3.72  105.5   4053
SPY    SPDR S&P 50  SPY US 09/28/12 P124      10.9  34.4   0.03  -25.0    885
NLY    ANNALY CAPI  NLY US 04/20/13 C17       10.9  14.6   0.67  -11.8    740
PHH    PHH CORP     PHH US 10/20/12 C20       10.9  39.9   0.63    0.0    980
NEM    NEWMONT MIN  NEM US 10/20/12 P52.5     10.8  29.8   0.92  -48.9   1237
NEM    NEWMONT MIN  NEM US 10/20/12 C50       10.8  31.3   6.00   81.8    631
XLU    SPDR-UTIL S  XLU US 10/20/12 P37       10.6   9.9   0.88  -26.7    580
XLF    SPDR-FINL S  XLF US 10/20/12 P16       10.5  17.9   0.34  -37.0   5247
DIA    SPDR DJIA T  DIA US 09/28/12 P135      10.2  11.9   1.19  -51.4    997
ACTG   ACACIA RESE  ACTG US 11/17/12 C30      10.2  60.9   2.30   76.9    611
RENN   RENREN INC-  RENN US 01/19/13 C4       10.0  60.8   0.45   50.0   1011

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
DELL   DELL INC     DELL US 01/18/14 C5      -64.6  18.8   5.55   -0.9   2000
ETH    ETHAN ALLEN  ETH US 11/17/12 P25      -31.3  37.7   2.40    0.0   1070
ANH    ANWORTH MOR  ANH US 04/20/13 C7       -25.0   9.7   0.10    0.0    705
CX     CEMEX SAB-S  CX4 US 01/19/13 C6.93    -20.8  39.3   1.63   -1.2   1566
HZNP   HORIZON PHA  HZNP US 10/20/12 C4.5    -19.6  38.5   0.20    0.0   1630
MDY    SPDR S&P MI  MDY US 03/16/13 P182     -16.5  16.9  10.50    0.0    500
MRK    MERCK & CO   MRK US 01/19/13 C30      -16.0  37.1  14.70    1.0   1740
MRK    MERCK & CO   MRK US 10/20/12 P43      -15.9  14.7   0.28  -31.7    663
PPHM   PEREGRINE P  PPHM US 10/20/12 C4      -14.5 104.0   0.45  -35.7   1407
MVG    MAG SILVER   MVG US 11/17/12 C10      -14.3  48.1   1.95   -9.3    655
GE     GENERAL ELE  GE US 12/22/12 C19       -14.2  19.9   3.10    6.9    881
AGNC   AMERICAN CA  AGNC US 10/20/12 C37     -14.1  11.6   0.07  133.3    539
CORN   TEUCRIUM CO  CORN US 11/17/12 P45     -13.6  23.5   0.40  -33.3   1457
IWM    ISHARES-RUS  IWM US 11/17/12 C77      -12.9  21.6   7.89    2.5    500
XLF    SPDR-FINL S  XLF US 10/20/12 P14      -12.8  23.9   0.02  -60.0   5282
IWM    ISHARES-RUS  IWM US 11/17/12 P55      -12.2  39.8   0.02  -33.3    570
VMED   VIRGIN MEDI  VMED US 12/22/12 P30     -11.8  22.2   1.40    0.0    999
AEO    AMER EAGLE   AEO US 11/17/12 C22      -11.5  29.4   2.16    2.9    500
IWM    ISHARES-RUS  IWM US 11/17/12 C78      -11.2  21.4   7.97   16.4    510
AGNC   AMERICAN CA  AGNC US 12/22/12 C37     -11.0  11.5   0.23    0.0   1006
ZNGA   ZYNGA INC-   ZNGA US 10/20/12 C3      -10.8  58.7   0.21  -27.6   3097
AWAY   HOMEAWAY IN  AWAY US 10/20/12 C25     -10.8  35.6   0.70  -17.6    580
SPY    SPDR S&P 50  SPY US 09/28/12 C151     -10.5  11.9   0.13  116.7    547
XLF    SPDR-FINL S  XLF US 10/20/12 P13      -10.1  32.3   0.01    0.0   1486
EQIX   EQUINIX INC  EQIX US 10/20/12 C210    -10.1  34.0   6.08  204.0    653

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

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