Options Xtreme Report
All data is as of closing on Friday, 02/03/12 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

MAPP 14.98 84.79 100
LGF 10.7 73.07 99.75
NETC 12.6 90.41 99.5
FGP 15.7 39.94 99.5
UNL 19.29 40.01 99

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

ICLR 20.71 163.82 33.8 484
CSJ 104.85 9.36 2.16 433
GR 125.56 8.88 2.17 409
SHY 84.52 2.08 0.52 400
MVC 12.92 62.06 15.98 388

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

ICLR 20.71 163.82 40.03 409
CSJ 104.85 9.36 2.67 350
SHY 84.52 2.08 0.66 315
YRCW 13.21 788.78 258.67 304
VVUS 12.47 159.32 57.12 278

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

AAPL 459.68 18.17 0.25
ACC 43.81 25.36 0.25
ACWI 45.9 18 0.25
ADM 29.55 21.22 0.25
ADS 115.57 20.04 0.25

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

NRGY 18.5 27.92 74.32 37
MGAM 10.42 52.23 133.77 39
FDO 57.51 17.36 39.75 43
ILMN 51.84 20.5 47.36 43
TNB 71.4 10.59 24.26 43

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

SFSF 39.83 5.17 51.36 10
INHX 25.74 14.72 108.24 13
BCSI 25.78 10.35 55.01 18
TNB 71.4 10.59 48.28 21
SNDA 40.94 11.13 45.78 24

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
YRCW 13.21 788.78 866.65 86.13
ICLR 20.71 163.82 163.82 163.82
VVUS 12.47 159.32 280.12 46.65
URTY 69.88 119.72 119.72 54.98
IDIX 11.68 118.63 241.05 65.98

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

PXJ 21.55 47.33 30.8
WR 28.61 35.27 25.06
AKR 22.17 46.78 24.07
BCPC 37.95 43.02 23.94
MDP 34.76 36.61 23.25

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SHY 84.52 2.08 3.72 1.98
AGG 110.56 3.62 6.98 3.62
IEI 122.27 3.77 7.57 3.44
BND 83.8 4.07 7.54 3.84
SFSF 39.83 5.17 76.08 4.39

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

SWM 70.27 26.25 -63.31
DRIV 17.89 41.1 -57.42
CHKM 28.27 25.09 -53.6
N 47.73 39.35 -51.1
EL 57.48 26.28 -47.71

   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.