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

IRIS 11.13 165.55 100
GTIV 15.92 91.65 99.25
DTE 30.74 51.02 94
RIGL 11.93 169.96 93
PWT 10.83 43.73 92.25

Overvalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

TFI 21.87 20.45 5.42 377
WIND 11.44 27.52 7.4 371
IRIS 11.13 165.55 56.73 291
LGCY 13.1 53.7 18.86 284
RIGL 11.93 169.96 64.7 262

Overvalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

CYB 25.34 18.3 5.56 329
TFI 21.87 20.45 8.29 246
IRIS 11.13 165.55 68.4 242
RIGL 11.93 169.96 104.84 162
PEJ 11.03 73.12 48.87 149

Options Price Xtreme

Cheap
(based on Implied Vol. Percentile)

Symbol

Last
Price

Current
Impl. Vol.

Percentile

SAFM 46.98 34.61 0.25
BIG 20.32 41.34 0.25
CGW 15.39 0 0.29
UGA 30.77 33.33 0.29
MVV 25.89 47.93 0.3

Undervalued
(based on 20 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

20 Days
Hist. Vol.

Ratio
(in %)

SVNT 13.54 85.15 225.45 37
PMTI 13.99 74.72 144.44 51
JOBS 11.37 57.07 109.42 52
KMX 13.9 57.58 103.01 55
SNX 28.38 41.45 72.87 56

Undervalued
(based on 100 Days Hist. Vol.)

Symbol

Last
Price

Current
Impl. Vol.

100 Days
Hist. Vol.

Ratio
(in %)

AXYS 53.56 13.11 76.34 17
CGRB 43 14.19 69.97 20
DNDN 23.48 56.77 238.41 23
PGF 14.51 22.95 96 23
PFF 31.81 20.94 75.81 27

Implied Volatility Xtreme

High

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
ZZZZ 17.85 532.02 1000 23.1
RIGL 11.93 169.96 200.22 55.49
IRIS 11.13 165.55 165.33 37.84
AIG 18.25 116.4 527.28 32.58
OGXI 22.29 111.83 663.99 105.42

% Increase

Symbol

Last
Price

Current
Impl. Vol.

% Change

DTE 30.74 51.02 48.71
PNXQ 18.07 42.34 37.74
SHW 51.22 43.83 31.12
POM 12.89 48.7 30.82
NWN 43.53 37.67 30.1

Implied Volatility Xtreme

Low

Symbol Last
Price 		Current
Impl. Vol.

400 Trading Days

High

Low
PWV 13.97 -1 86.38 28.59
PXE 13.23 0 120.6 28.28
CGW 15.39 0 70.09 16.33
SHY 83.77 2.95 6.6 2.77
TIP 100.79 5.97 18.8 3.61

% Decline

Symbol

Last
Price

Current
Impl. Vol.

% Change

WXS 25.6 55.96 -465.74
ZZZZ 17.85 532.02 -41.53
BIP 12.58 51.88 -38.83
MXB 24.74 48.08 -27.03
DBV 21.14 16.49 -26.13

   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.