Options Xtreme Report
All data is as of closing on Monday, 02/08/10 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

MDSO 14.87 57.59 100
BKF 39.7 42.2 100
MDVN 36.45 164.9 100
EMIF 28.38 46.26 100
IEV 34.59 28.15 99.25

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

PGX 13.53 30.89 7.19 429
CYB 25.24 7.15 1.77 403
RX 21.8 18.21 4.85 375
PEET 31.82 43.2 11.75 367
ZIGO 10.49 48.12 13.83 347

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

CYB 25.24 7.15 1.49 479
MDVN 36.45 164.9 36.81 447
VARI 51.46 13.56 3.59 377
PAS 28.95 34.63 11.05 313
HMN 11.82 135.45 43.38 312

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

ARG 60.55 19.91 0.25
KBW 26.11 44.97 0.25
MVV 38 39.04 0.3
KAMN 23.71 32.81 0.35
VNDA 10.2 52.84 0.5

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

CBY 52.43 14.77 33.51 44
HNP 23.01 32.77 69.8 46
ARG 60.55 19.91 37.21 53
LXK 32.09 44.61 79.77 55
PVR 20.75 36.16 65.32 55

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

CHTT 93.32 7.21 19.9 36
BARE 18.12 20.36 50.52 40
RX 21.8 18.21 44.62 40
ACOR 29.92 47.37 95.37 49
PPD 40.27 39.06 69.41 56

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
ITMN 15.5 207.62 337.43 45.83
MDVN 36.45 164.9 144.22 36.21
BRKR 12.77 145.45 146 52.6
HMN 11.82 135.45 137.02 132.1
XNPT 19.12 107.11 114.76 48.93

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

DWX 49.44 35.29 24.11
DSI 40.59 23.42 23.61
UTEK 12.25 55.58 23.26
STC 10.76 73.97 22.01
KFY 14.7 50.72 21.98

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SHY 83.64 3.02 6.6 2.45
TIP 104.93 4.41 18.8 4.14
BND 79.59 5.45 20.24 4.76
AGG 104.6 5.55 18.69 5.44
IEI 112.22 5.66 10.44 5.56

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

PWT 11.84 34.85 -102.63
ARG 60.55 19.91 -60.92
APU 38.43 23.49 -41.37
IWA 16.05 31.05 -35.61
PFWD 11.05 60.07 -30.29

   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.