Options Xtreme Report
All data is as of closing on Tuesday, 03/09/10 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

PKE 28.51 130.67 100
PWY 13.71 110.49 100
PTF 22.98 160.21 100
TWLL 12.21 168 100
PJB 12.89 85.3 98.25

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

PKE 28.51 130.67 28.49 458
PJB 12.89 85.3 19.15 445
CFFN 35.3 47.94 10.9 439
TWLL 12.21 168 41.92 400
MNKD 10.41 110.45 29.2 378

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

CYB 25.27 7.04 1.68 419
PJB 12.89 85.3 23 370
HTH 12.24 70.04 18.95 369
VARI 51.72 12.57 3.44 365
HMN 14.08 135.45 44.2 306

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

TGI 55.67 31.51 0.25
DAN 11.92 60.82 0.25
THRX 12.73 40.04 0.25
CMA 35.7 31 0.25
BRE 35.62 25.7 0.25

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

MIL 105.25 7.42 99.1 7
ZNH 20.71 53.85 356.64 15
TIVO 16.7 49.79 135.66 36
NUVA 42.37 44.42 94.1 47
RCNI 15.22 24.89 51.18 48

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

MIL 105.25 7.42 49.5 14
ZNH 20.71 53.85 169.96 31
BARE 18.17 16.27 43.55 37
CHTT 93.5 5.89 14.66 40
RCNI 15.22 24.89 52.17 47

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
TWLL 12.21 168 150.77 40.38
PTF 22.98 160.21 121.09 21.32
HMN 14.08 135.45 137.02 132.1
PKE 28.51 130.67 114.05 39.83
AMLN 19.63 116.25 166.12 51.8

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

HTH 12.24 70.04 29.77
PKE 28.51 130.67 24.46
BR 22.03 33.33 21.09
IRIS 10.29 59.4 20.17
PTF 22.98 160.21 19.7

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
SHY 83.49 2.36 6.6 2.38
TIP 103.93 4.72 18.8 4.14
LQD 105.65 5.21 14.63 5.27
AGG 104.58 5.68 18.69 5.21
BND 79.39 5.69 20.24 4.76

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

NCS 10.25 73.08 -72.92
USMO 12.56 28.09 -54.39
WSII 10.01 42.3 -49.47
KCE 37.23 14.33 -36.7
EXR 12.66 37.65 -36.67

   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.