Options Xtreme Report
All data is as of closing on Wednesday, 09/08/10 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

CML 18.34 86.08 100
IXC 32.08 45.09 100
EM 10.09 54.14 100
CHBT 10.4 96.79 99.51
CVLT 26.5 71.34 99.5

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

SVNT 14.42 127.09 32.79 387
PSYS 33.4 14.61 4.42 330
CSJ 104.87 6.13 1.9 322
ACF 24.25 11.36 3.72 305
NETC 12.89 43.83 14.67 298

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

SVNT 14.42 127.09 52.14 243
CSJ 104.87 6.13 2.68 228
PGX 14.46 36.82 16.35 225
ARG 64.59 39.12 18.77 208
CYB 24.84 6.75 3.67 183

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

LNY 24.39 16.31 0.25
BKC 23.67 13.13 0.25
LO 80.68 17.9 0.25
NSH 30.81 22.49 0.25
KIM 15.52 29.33 0.25

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

PAR 32.92 9.21 36.79 25
BKC 23.67 13.13 45.92 28
MFE 47.25 5.45 16.82 32
DBV 22.49 14.62 37.67 38
GTS 16.39 44.05 94.77 46

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

MFE 47.25 5.45 38 14
PAR 32.92 9.21 60.75 15
SWSI 22.12 14.78 59.97 24
PVR 23.82 25.37 105.36 24
ACF 24.25 11.36 39.17 29

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SVNT 14.42 127.09 281.93 41.45
URTY 85.34 113.23 113.23 56.99
QCOR 10.38 110.19 151.08 48.68
SGEN 12.44 105.36 107.05 48.44
CHBT 10.4 96.79 93.32 51.58

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

ARG 64.59 39.12 33.9
SYMC 14.58 46.24 28.33
EBR 12.5 50.85 28.26
EW 59.99 40.58 26.29
NTY 54.57 18.35 24.52

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SHY 84.19 2.6 4.82 2.19
IEI 117.07 4.95 10.44 4.39
TIP 107.66 5.01 12.75 4.09
MFE 47.25 5.45 56 5.38
AGG 108.25 5.88 12.66 4.88

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

WCRX 29.28 41.41 -129.67
TGH 28.09 46.62 -49.16
GLT 10.88 53.23 -31.63
ACE 55.03 20.73 -31.16
TEL 26.62 31.33 -30.89

   Percentile - defines by position of the current value in a list of sorted historical readings, as a percent to the total number of historical readings. For example, if you sort 400 historical readings of implied volatility in ascending sequence, and the current value of implied volatility was position number 300, it means that the percentile equal 75% (300 / 400 * 100%).

   Ratio - calculated as current Implied Volatility divided by Historical Volatility. The Higher (Lower) the ratio the more Overvalued (Undervalued) the option is. (see VolatilityAnalyzer above for more details.)

   % Change - change of Current Implied Volatility over Previous day Implied Volatility as a percent of Current Implied Volatility.