Options Xtreme Report
All data is as of closing on Wednesday, 03/10/10 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

PTF 23.12 178.95 100
IGN 28.58 83.95 100
PWY 13.84 116.22 100
IIF 23.4 74.96 100
TWLL 12.32 166.81 99.75

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

PJB 13.05 95.22 19.5 488
HMN 14.06 135.45 32.01 423
MNKD 10.48 113.86 28.32 402
TWLL 12.32 166.81 41.5 401
IGN 28.58 83.95 21.22 395

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

CYB 25.27 7.58 1.68 451
PJB 13.05 95.22 23.11 412
VARI 51.75 13.21 3.44 384
HTH 12.28 70.04 18.84 371
IGN 28.58 83.95 25.61 327

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

CCMP 36.59 27.03 0.25
TTC 46.94 24.41 0.25
CRS 32.93 43.33 0.25
AAP 42.13 22.38 0.25
TWX 30.53 24.76 0.25

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

MIL 105.25 6.81 99.38 6
ZNH 22.44 54.46 356.13 15
ITMN 38.39 57.91 213.29 27
TIVO 16.67 50.4 136.09 37
NUVA 44.45 44.98 94.86 47

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

MIL 105.25 6.81 49.48 13
ZNH 22.44 54.46 170.47 31
BARE 18.19 16.26 43.53 37
RISK 21.97 15.6 36.44 42
CHTT 93.49 6.25 14.62 42

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
PTF 23.12 178.95 128.65 21.32
TWLL 12.32 166.81 160.26 40.38
HMN 14.06 135.45 137.02 132.1
AMLN 20.9 116.25 166.12 51.8
PWY 13.84 116.22 106.41 24.62

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

IIF 23.4 74.96 43.66
CBSH 40.38 50.05 42.54
OGE 37.89 50.51 40.05
GHM 19.05 51.82 34.02
PC 14.79 46.55 27.86

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SHY 83.47 2.36 6.6 2.36
TIP 103.82 4.82 18.8 4.14
LQD 105.75 4.98 14.63 5.21
AGG 104.51 5.65 18.69 5.21
IEI 111.71 5.66 10.44 5.56

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

ITMN 38.39 57.91 -284.66
CCE 26.06 14.71 -71.31
FACT 27.01 27.85 -49.01
KCI 49.5 37.93 -38.7
DXCM 10.24 52.84 -37.24

   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.