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
=============================================================================
AGNC   AMERICAN CA  AGNC US 09/22/12 P34    6781.0   9.0   2.15  104.8    239
RDNT   RADNET INC   RDNT US 09/22/12 C2.5     82.2 123.0   0.10    0.0   2250
AGNC   AMERICAN CA  AGNC US 09/22/12 C34      39.3  24.0   0.60  -26.8    541
AXE    ANIXTER INT  AXE US 09/22/12 C60       30.9  36.9   3.20  166.7   1755
AGNC   AMERICAN CA  AGNC US 09/22/12 P33      30.0  13.4   1.49  144.3    662
NLY    ANNALY CAPI  NLY US 01/18/14 C17       27.8  14.7   0.29  -17.1    263
AGNC   AMERICAN CA  AGNC US 09/22/12 P32      26.4  18.2   1.00  156.4    875
TWO    TWO HARBORS  TWO US 03/16/13 P10       26.2  13.5   0.55   37.5    250
XLF    SPDR-FINL S  XLF US 09/22/12 C13       25.5  25.1   2.02    2.0    221
CIM    CHIMERA INV  CIM US 09/22/12 C2        22.8  55.4   0.45   80.0    296
CIM    CHIMERA INV  CIM US 03/16/13 C2        21.9  43.4   0.45   50.0    210
NLY    ANNALY CAPI  NLY US 10/20/12 C17       21.0  13.2   0.11  -47.6    409
AGNC   AMERICAN CA  AGNC US 09/22/12 P31      20.5  21.5   0.68  209.1    607
AXE    ANIXTER INT  AXE US 02/16/13 C60       19.5  35.4   6.20  195.2    654
ARR    ARMOUR RESI  ARR US 10/20/12 C7.5      18.0  19.1   0.15    0.0    460
KWK    QUICKSILVER  KWK US 12/22/12 P4        18.0 114.9   0.95   11.8   3634
NLY    ANNALY CAPI  NLY US 09/22/12 C17       17.8  13.8   0.10  -44.4   1230
RES    RPC INC      RES1 US 09/22/12 C10      16.5  71.4   3.80    2.7   2910
NLY    ANNALY CAPI  NLY US 09/22/12 P17       16.4  12.9   0.69   72.5    202
AGNC   AMERICAN CA  AGNC US 12/22/12 C34      16.3  19.5   0.77  -26.7    239
AIG    AMERICAN IN  AIG US 09/22/12 C31       15.7  28.6   2.09   22.2    314
AGNC   AMERICAN CA  AGNC US 09/22/12 P30      14.5  24.4   0.45  136.8   1064
OZM    OCH-ZIFF CA  OZM US 09/22/12 C7.5      14.1  45.5   0.85   30.8    327
AGNC   AMERICAN CA  AGNC US 09/22/12 C32      12.0  25.9   1.65  -31.2    710
VXX    IPATH-S&P S  VXX US 09/22/12 P9        11.7  61.2   0.11   -8.3    213
AGNC   AMERICAN CA  AGNC US 12/22/12 C33      11.3  19.9   1.15  -35.0    481
PSSI   PSS WORLD M  PSSI US 09/22/12 C22.5    11.1  46.4   1.30  217.1   1122
AIG    AMERICAN IN  AIG US 09/22/12 C32       11.0  27.5   1.39   20.9   3870
YHOO   YAHOO! INC   YHOO US 09/22/12 P17      10.9  22.2   0.98  -10.9    272
WMT    WAL-MART ST  WMT US 09/22/12 C65       10.5  27.6   9.51    1.2    313
AEP    AMERICAN EL  AEP US 09/22/12 C41       10.2  13.1   1.25   -7.4    498
AZN    ASTRAZENECA  AZN US 01/19/13 C40       10.2  28.0   8.10   -2.4   3800

Top Volatility Decreases

                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
ELN    ELAN CORP-A  ELN US 09/22/12 C11      -50.9  45.2   0.49  -67.5    287
ELN    ELAN CORP-A  ELN US 09/22/12 P11      -49.9  45.8   1.00  -21.3   1203
ELN    ELAN CORP-A  ELN US 09/22/12 P10      -47.7  45.0   0.45  -35.7    461
FOSL   FOSSIL INC   FOSL US 09/22/12 P95     -46.9  43.0   7.60  -73.6    412
BWP    BOARDWALK P  BWP US 09/22/12 C25      -46.8  17.0   1.95   -7.1    453
ELN    ELAN CORP-A  ELN US 09/22/12 C10      -44.5  48.3   0.90  -54.3    250
CVI    CVR ENERGY   CVI US 03/16/13 P27.5    -41.2  19.2   0.85    0.0    205
CIM    CHIMERA INV  CIM US 09/22/12 C2.5     -38.8  29.4   0.10  100.0    322
FOSL   FOSSIL INC   FOSL US 09/22/12 P90     -38.0  45.3   5.20  -69.4    295
CVI    CVR ENERGY   CVI US 12/22/12 P27.5    -37.5  19.7   0.55  -69.4    278
FOSL   FOSSIL INC   FOSL US 09/22/12 P85     -35.4  47.3   3.10  -81.0    324
CVI    CVR ENERGY   CVI US 09/22/12 P27.5    -34.5  21.6   0.20  -81.8    416
AMLN   AMYLIN PHAR  AMLN US 10/20/12 C31     -33.7   0.4   0.01  -50.0    394
FOSL   FOSSIL INC   FOSL US 09/22/12 C95     -32.9  44.7   4.21  419.8    397
FOSL   FOSSIL INC   FOSL US 09/22/12 C90     -30.1  45.6   7.20  370.6    284
STE    STERIS CORP  STE US 09/22/12 C35      -28.4  19.3   0.40  -20.0    862
FOSL   FOSSIL INC   FOSL US 09/22/12 P80     -28.2  49.6   1.65  -88.2    646
XLS    EXELIS INC   XLS US 09/22/12 C10      -27.3  24.9   0.45   -2.2   1021
ELN    ELAN CORP-A  ELN US 01/19/13 C10      -27.1  46.7   1.55  -39.2    428
ELN    ELAN CORP-A  ELN US 01/19/13 P10      -25.9  45.6   1.00  -16.7    805
FOSL   FOSSIL INC   FOSL US 09/22/12 P75     -25.6  51.8   1.00  -90.9    203
FOSL   FOSSIL INC   FOSL US 09/22/12 P70     -24.9  54.2   0.55  -92.5    208
MDR    MCDERMOTT I  MDR US 09/22/12 P11      -21.2  47.3   0.60    9.1    317
ISIS   ISIS PHARM   ISIS US 09/22/12 C12     -20.9  58.3   1.60  -20.0    250
MDR    MCDERMOTT I  MDR US 09/22/12 C11      -20.7  47.1   0.95  -38.7    255
FOSL   FOSSIL INC   FOSL US 09/22/12 P65     -20.5  58.9   0.30  -94.0    245
ISIS   ISIS PHARM   ISIS US 09/22/12 P12     -20.4  57.8   0.78   11.4    739
CIM    CHIMERA INV  CIM US 12/22/12 C2.5     -20.0  30.9   0.10    0.0    450
ITUB   ITAU UNIBAN  ITUB US 09/22/12 P12     -19.8  60.2   0.10    0.0   1000
NIHD   NII HOLDING  NIHD US 09/22/12 P6      -19.4  80.5   0.85  240.0    444
SHAW   SHAW GROUP   SHAW US 09/22/12 C41     -17.8  18.7   0.80    6.7    856
CVS    CVS CAREMAR  CVS US 09/22/12 P43      -16.6  19.6   0.74    5.7   1050
CVS    CVS CAREMAR  CVS US 09/22/12 P44      -16.4  18.7   1.09   17.2   2511
EMR    EMERSON ELE  EMR US 09/22/12 C52.5    -16.3  18.3   0.40   14.3    273
BECN   BEACON ROOF  BECN US 09/22/12 P25     -15.9  37.0   1.70    3.0   1000
CHK    CHESAPEAKE   CHK US 09/22/12 C20      -15.8  47.2   1.12   86.7    873
CVC    CABLEVISION  CVC US 09/22/12 C16      -15.0  33.1   0.75    0.0    216
CVS    CVS CAREMAR  CVS US 09/22/12 C45      -14.9  18.1   0.72  -46.7    310
VRNG   VRINGO INC   VRNG US 11/17/12 C2.5    -14.9 115.8   1.85   15.6    241
CVS    CVS CAREMAR  CVS US 09/22/12 C46      -14.1  17.6   0.50  -41.9    230
TBT    PRO ULTSHRT  TBT US 09/22/12 C13      -14.0  27.3   2.45   17.8   2889
LOPE   GRAND CANYO  LOPE US 09/22/12 P17.5   -13.8  48.8   0.45  -78.6    301
CHK    CHESAPEAKE   CHK US 09/22/12 P19      -13.7  49.7   1.16  -48.7    579
TPLM   TRIANGLE PE  TPLM US 10/20/12 C5      -13.5  60.2   1.50   15.4    670
HALO   HALOZYME TH  HALO US 09/22/12 C5      -13.4  97.9   1.25   66.7    260
PFE    PFIZER INC   PFE US 09/22/12 C24      -13.0  14.6   0.40  -46.0   6960
MGM    MGM RESORTS  MGM US 09/22/12 P10      -12.8  37.5   0.57  -43.0    351
PFE    PFIZER INC   PFE US 09/22/12 P24      -12.8  14.5   0.60   39.5   3271
CHK    CHESAPEAKE   CHK US 09/22/12 C19      -12.4  50.6   1.65   85.4    757
LLY    ELI LILLY &  LLY US 10/20/12 P38      -12.2  23.9   0.41    7.9   1601
KCG    KNIGHT CAPI  KCG US 09/22/12 C2.5     -12.0  85.9   0.79   12.9   3489
PFE    PFIZER INC   PFE US 09/22/12 C23      -11.9  16.4   1.05  -28.1    270
PFE    PFIZER INC   PFE US 09/22/12 P23      -11.5  16.2   0.22   22.2    312
SHAW   SHAW GROUP   SHAW US 10/20/12 C42     -11.4  21.0   0.80   -5.9    330
LLY    ELI LILLY &  LLY US 10/20/12 P39      -11.3  23.6   0.62   17.0    979
MGM    MGM RESORTS  MGM US 09/22/12 C10      -11.3  38.8   0.48   37.1    996
SHAW   SHAW GROUP   SHAW US 10/20/12 C41     -11.2  24.1   1.35   -2.9    348
CHK    CHESAPEAKE   CHK US 09/22/12 P18      -11.0  53.6   0.81  -50.6    248
BSFT   BROADSOFT I  BSFT US 09/22/12 P30     -10.8  68.4   0.87  -85.0    545
VRNG   VRINGO INC   VRNG US 10/20/12 C3.5    -10.4 132.4   1.20   20.0    317
LLY    ELI LILLY &  LLY US 10/20/12 P40      -10.3  23.4   0.97   31.1   3893
CHK    CHESAPEAKE   CHK US 10/20/12 P20      -10.1  48.3   2.00  -36.7    275

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

-- Bloomberg News

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