Options Xtreme Report
All data is as of closing on Wednesday, 11/19/08 .


Options Price Xtreme

Expensive
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

CXW 13.98 86.41 100
MET 19 190.95 100
CVD 35.91 93.91 100
CTL 23.86 72.82 100
CTAS 20.36 72.03 100

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

PZD 14.38 242.09 104.71 231
PUW 12.35 189.31 87.01 217
HTX 18.46 279.94 129.02 216
GTXI 15.77 86.74 49.75 174
BCE 29.07 102.7 59.23 173

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

BIL 45.91 9.03 2.46 367
PZD 14.38 242.09 74.66 324
HTX 18.46 279.94 87.12 321
PUW 12.35 189.31 71.74 263
TRK 12 155.57 68.77 226

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

WABC 48.09 -1 0.25
VXF 26.95 -1 0.25
XPH 26.47 -1 0.25
WSH 23.29 -1 0.25
VVI 20.53 -1 0.25

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

FDRY 15.01 46.11 179.52 25
HPC 19.17 50.47 164.92 30
OGE 25.56 47.84 111.89 42
GWX 16.1 39.69 88.42 44
DBV 19.7 30.01 61.55 48

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

IMCL 69.84 8.14 37.16 21
CEG 23.91 44.87 177.23 25
LQD 90.8 10.69 32.44 32
UST 68.47 13.55 32.37 41
FDRY 15.01 46.11 94.84 48

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
HTX 18.46 279.94 65.76 24.41
MAC 11.81 245.67 139.14 20.69
PZD 14.38 242.09 169.68 24.54
PFG 11.67 227.17 182.9 18.3
PRU 17.01 219.24 202.83 15.83

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

XSD 21.87 68.09 49.52
BCE 29.07 102.7 37.03
ACE 40.45 114.35 35.37
ACGL 58.95 73.51 30.8
PZD 14.38 242.09 30.78

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
CPLA 49.49 -1 74.33 40.43
MCY 41.01 -1 52.41 18.2
WABC 48.09 -1 67.79 17.47
ICF 32.01 -1 85.97 18.11
ICLR 17.45 -1 82.51 25.97

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

PUW 12.35 189.31 -18.38
MLHR 12.26 73.88 -16.9
PDP 12.42 37.37 -16.16
HHD 20.05 43.28 -14.16
UDN 24.3 23 -13.08

   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.