Options Xtreme Report
All data is as of closing on Thursday, 09/02/10 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

CML 17.8 82.02 100
FIRE 27.64 69.61 99.55
SGEN 12.11 106.71 99.5
CHBT 12.3 85.27 99.01
EM 10.33 52.46 98.83

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

VGR 19.25 36.45 8.67 420
ADCT 12.72 27.31 6.71 407
SVNT 15 119.74 31.26 383
CSJ 105.02 7.1 1.94 365
NTY 54.5 15.2 4.24 358

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

CSJ 105.02 7.1 2.68 264
SVNT 15 119.74 52.09 229
CYB 24.85 7.34 3.71 197
SGEN 12.11 106.71 61.6 173
BND 82.24 6.9 4.05 170

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

SWC 14.75 56.56 0.25
BKC 23.59 20.72 0.25
LONG 17.82 39.31 0.25
HMIN 45 41.97 0.25
IJK 82.3 24.2 0.25

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

PAR 32.88 10.88 41.04 26
MFE 47.25 5.33 19.83 26
BKC 23.59 20.72 47.05 44
GTS 15.95 45.28 95.04 47
TAM 21.37 42.03 87.42 48

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

MFE 47.25 5.33 38.27 13
PAR 32.88 10.88 61.3 17
PVR 23.7 23.56 105.44 22
ACF 24.32 9.39 39.91 23
SWSI 22.13 14.78 60.42 24

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SVNT 15 119.74 281.93 41.45
URTY 84.4 113.23 113.23 56.99
SGEN 12.11 106.71 106.71 48.44
SRTY 48.42 97.8 119.79 57.12
ATPG 11.5 91.18 145.98 54.4

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

ME 22.75 38.37 40.34
ADCT 12.72 27.31 28.71
VGR 19.25 36.45 25.43
EM 10.33 52.46 23.98
WRB 26.35 31.34 23.17

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SHY 84.2 2.34 4.82 2.19
TIP 107.55 4.95 13.73 4.09
IEI 117.15 5.1 10.44 4.39
MFE 47.25 5.33 56 5.38
AGG 108.27 5.62 12.66 4.88

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

BKC 23.59 20.72 -145.17
PAR 32.88 10.88 -134.65
SCG 40.05 20.51 -54.16
MVC 12.99 30.77 -36.52
PGF 17.97 13.41 -29.9

   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.