Options Xtreme Report
All data is as of closing on Thursday, 07/03/08 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

NWS 14.76 44.7 100
BTU 77.62 69.3 100
GAP 20.89 52.7 100
POR 22.26 43.8 100
VLO 37.09 54.57 100

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

SAF 67.18 12.12 2.52 480
EDS 24.7 16.96 3.61 469
CPS 48.25 17.39 3.91 444
TZIX 21.49 25.05 5.88 426
TTWO 23.8 63.09 20.01 315

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

RCCC 44.35 15.95 4.6 346
HUN 10.85 98.17 38.79 253
CPS 48.25 17.39 7.04 247
PWV 17.71 55.75 23.96 232
PXN 12.79 66.9 29.18 229

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

DRS 78.48 12.12 0.25
TMW 92 14 0.25
MNTA 13.02 47.7 0.25
XES 48.05 20.74 0.25
MYY 64.03 21.43 0.64

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

AHG 19.03 30.04 112.75 26
IYG 68.06 17.63 38.65 45
APOL 55.18 49.75 102.94 48
IXG 59.23 18.37 37.88 48
CASY 22.04 42.19 86.34 48

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

CCU 35.33 15.92 66.14 24
SPSX 44.78 15.65 57.57 27
NVT 77.9 8.2 25.46 32
EDS 24.7 16.96 47.92 35
IYG 68.06 17.63 39.45 44

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
DRL 12.88 490.47 0 1.79
NX 16.06 420.28 0 1.79
AGII 34.5 257.43 0 1.79
XL 19.87 127.86 0 1.79
RWT 20.66 122.59 0 1.79

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

ZUMZ 16.4 70.24 100
ZRAN 10.99 66.99 100
ZOLT 21.93 75.75 100
ZOLL 32.95 44.85 100
ALNY 28.59 44.53 100

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SHY 82.8 4.49 0 1.79
BSV 77.28 5.54 0 1.79
BIL 45.86 6.19 0 1.79
FXM 96.44 6.46 0 1.79
ITE 55.31 6.91 0 1.79

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

DO 132.27 44.62 90.76
VOD 30.03 35.25 91.97
SAF 67.18 12.12 96.7
TLK 32 41.76 97.26
WWY 77.78 12.33 97.28

   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.