Options Xtreme Report
All data is as of closing on Thursday, 08/28/08 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

ICLR 41.11 49.98 100
HAE 62.43 50.72 100
AMAG 39.3 99.93 99.75
GEOY 23.18 112.94 99.47
PAG 13.13 76.42 99.32

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

PHTN 15.26 25.81 6.32 408
CPS 48.85 19.12 5.83 327
HUN 13.1 108.37 35.68 303
DRS 79.48 12.95 4.27 303
BUD 68 13.18 4.46 295

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

CPS 48.85 19.12 5.28 362
CTS 13.81 104.47 46.63 224
HTH 10.44 56.23 25.56 219
HUN 13.1 108.37 50.34 215
PXN 14.05 58.27 28.58 203

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

ACL 170.44 18.08 0.25
BDE 21.9 20.3 0.25
ROH 75.27 9.52 0.25
ABI 36.55 19.77 0.25
TMW 94.99 14 0.25

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

LDG 72.43 12.59 53.72 23
PSPT 12.14 24.37 96.47 25
LNY 19.27 37.74 88.56 42
NFP 19.86 59.78 142.29 42
RRI 17.05 42.83 96.85 44

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

FDG 88.81 13.99 58.49 23
LDG 72.43 12.59 48.42 26
UB 73.7 17.11 62.43 27
ROH 75.27 9.52 25.85 36
PSPT 12.14 24.37 65.93 36

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
NX 16.4 624.66 0 1.64
DRL 13.39 565.86 0 1.64
AGII 37.24 278.77 0 1.64
UAUA 11 138.83 0 1.64
FED 16.03 132.53 0 1.64

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

ZUMZ 14.77 66.16 100
ZOLT 17.48 65.27 100
ZOLL 35 45.83 100
ZNT 38.44 40.47 100
ZNH 16.26 77.51 100

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
MYY 60.8 -1 0 1.64
SHY 83.11 4.82 0 1.64
BND 76.4 5.46 0 1.64
BSV 77.61 5.51 0 1.64
ITE 55.97 5.66 0 1.64

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

DO 111.94 39.6 89.58
VOD 26.16 31.98 91.15
FRO 60.02 44.47 93.25
FII 33.95 49.53 94.43
RAI 53.66 24.89 96.58

   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.