Crude Oil – Options Report – July 29, 2010
FMX | Connect (Reported 7/29/10)
The following is a report of Crude Oil Option’s activity in the Over-The- Counter and Exchange traded venues. Information is compiled and summarized below.
Crude Oil ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlements
Heating Oil ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlements
End of Day Straddles
| CL | | | |
| | Future | Bid | Offer |
| U0 | 78.5 | 420 | 430 |
| V0 | 79 | 720 | 730 |
| X0 | 79.5 | 960 | 980 |
| Z0 | 80 | 1170 | 1190 |
| F1 | 80.5 | 1330 | 1350 |
| G1 | 81 | 1490 | 1510 |
| H1 | 81.5 | 1630 | 1655 |
| J1 | 82 | 1745 | 1775 |
| M1 | 82.5 | 1965 | 1995 |
| Z1 | 84 | 2410 | 2430 |
| Z2 | 85.5 | 2910 | 2950 |
| Z3 | 86 | 3220 | 3260 |
| Z4 | 87 | 3470 | 3540 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| U10 | 207 | 1275 | 1475 |
| V10 | 210 | 2050 | 2250 |
| X10 | 212 | 2625 | 2825 |
| Z10 | 215 | 3150 | 3350 |
| F11 | 218 | 3650 | 3850 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| U10 | 209 | 1350 | 1550 |
| V10 | 200 | 2125 | 2325 |
| X10 | 199 | 2625 | 2825 |
| Z10 | 199 | 3075 | 3275 |
| F11 | 201 | 3500 | 3700 |
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