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

GC1M 1035.5 22.8 100
YU8Z 8515 67.23 100
CI8Q 614 19.76 100
CL0F 144.75 35.43 100
LH8N 72.275 41.5 100

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

PB8N 66.05 134.37 32.07 418
YU8Z 8515 67.23 27.16 247
DA8Q 19.125 31.09 15.08 206
SB0N 15.84 27.66 13.57 203
SB0V 15.9 27.48 14.4 190

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

PB8N 66.05 134.37 38.66 347
YU8Z 8515 67.23 24.56 273
DA9X 20.41 22.03 10.98 200
DA9Z 20.35 21.92 11.54 189
DA8V 20.3 28.9 16.42 176

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

BP8U 1.9713 6.02 1.04
HG0G 370 30.82 1.45
CD8Z 0.9776 9.44 1.64
BO9H 69.75 28.59 2.91
US9H 113.7968 8.77 3.26

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

NG0K 12.096 28.74 180.85 15
NG0M 12.176 31.85 179.77 17
NG0N 12.266 31.15 177.72 17
NG0J 12.111 32.08 165.43 19
NG0Q 10.761 23.69 108.04 21

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

GG8U 542 14.48 618.36 2
GG8Z 544.75 14.41 618.39 2
NG0K 12.096 28.74 91.59 31
NG0N 12.266 31.15 89.42 34
NG0M 12.176 31.85 91 35

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

200 Trading Days

High

Low
PB8N 66.05 134.37 71.31 31.62
YU8Z 8515 67.23 12.36 11.12
OJ8U 129.7 60.31 66.78 26.34
CL8Q 145.29 52.67 54.3 21.42
SI8U 1837 52.28 51.41 25.5

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

YU8Z 8515 67.23 83.21
PB8N 66.05 134.37 31.06
BO8Q 67.53 27.46 18.03
CC8U 3136 38.32 16.73
RR8X 18.79 31.14 10.98

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

200 Trading Days

High

Low
BAX8U 96.73 0.75 1.09 0.73
ED8U 97.08 0.87 1.27 0.8
BAX8Z 96.65 1.1 1.18 0.82
BAX9H 96.5 1.11 1.24 0.88
ED8Z 96.87 1.22 1.35 0.91

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

OJ8U 129.7 60.31 -54.5
KC8U 151.9 45.47 -42.57
EC8U 1.5639 6.81 -37.15
BP8U 1.9713 6.02 -26.57
AD8U 0.9502 7.84 -20.15

   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.