Options Xtreme Report
All data is as of closing on Thursday, 07/02/09 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

DA9V 12.175 29.1 100
DA9U 11.26 30.79 100
LC9Q 84.875 39.94 100
LB9X 205.6 33.82 100
DA0G 13.88 24.95 100

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

DA0Z 15.275 23.89 7.24 329
DA0U 15.45 24.1 7.9 305
DA0M 15.26 24.3 10.38 234
DA0X 15.3 23.95 10.37 230
DA0Q 15.43 24.22 11.15 217

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

DA0Z 15.275 23.89 5.85 408
DA0U 15.45 24.1 6.67 361
DA0X 15.3 23.95 7.46 321
DA0N 15.41 24.28 7.96 305
DA0V 15.34 24.11 7.97 302

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

GC9Z 933.6 23.16 0.5
ED9U 99.39 0.42 0.5
BP9U 1.642 9.75 0.58
FC9Q 103.45 12.86 0.62
EC9Z 1.4021 13.14 0.76

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

ED0H 98.955 0.87 2.79 31
ED9Z 99.185 0.66 2.05 32
ED0M 98.625 1.02 3.17 32
ED0U 98.28 1.15 3.37 34
ED9U 99.39 0.42 1.14 36

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

BAX9U 99.57 0.17 0.53 32
ED9U 99.39 0.42 1.01 41
BAX9Z 99.54 0.31 0.71 43
AD9U 0.7912 12.49 27.46 45
ED9Z 99.185 0.66 1.41 46

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

200 Trading Days

High

Low
NG9V 3.996 79.7 83.24 4.36
NG9U 3.757 77.57 83.04 4.28
NG9Q 3.615 76.33 83.96 3.94
NG9X 4.692 63.76 64.87 3.47
CL9Q 66.73 61.24 67.24 38.3

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

LC9Q 84.875 39.94 13.8
DJ9Z 8185 25.43 12.19
HO1F 2.0909 35.12 11.7
CL9Q 66.73 61.24 8.05
HO9U 1.7489 49.7 7.53

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

200 Trading Days

High

Low
BAX9U 99.57 0.17 1.52 0.14
BAX9Z 99.54 0.31 1.03 0.27
ED9U 99.39 0.42 1.76 0.52
BAX0H 99.36 0.57 0.85 0.07
ED9Z 99.185 0.66 1.71 0.66

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

EC9U 1.4025 9.04 -35.17
BP9U 1.642 9.75 -30.66
AD9U 0.7912 12.49 -30.58
ED9U 99.39 0.42 -23.8
DA9Q 10.525 26.24 -16.53

   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.