Crude Oil – Options Report – August 4, 2010
FMX | Connect (Reported 8/04/10)
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 | 82.5 | 355 | 365 |
| V0 | 83 | 675 | 695 |
| X0 | 83.5 | 925 | 945 |
| Z0 | 84 | 1145 | 1165 |
| F1 | 84.5 | 1320 | 1340 |
| G1 | 85 | 1475 | 1500 |
| H1 | 85 | 1625 | 1655 |
| J1 | 85.5 | 1750 | 1780 |
| M1 | 86 | 1970 | 2000 |
| Z1 | 87.5 | 2430 | 2460 |
| Z2 | 88 | 2930 | 2970 |
| Z3 | 89 | 3240 | 3280 |
| Z4 | 90 | 3500 | 3570 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| U10 | 220 | 1150 | 1350 |
| V10 | 223 | 1975 | 2175 |
| X10 | 226 | 2600 | 2800 |
| Z10 | 228 | 3125 | 3350 |
| F11 | 231 | 3625 | 3850 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| U10 | 218 | 1200 | 1400 |
| V10 | 210 | 2025 | 2225 |
| X10 | 209 | 2575 | 2775 |
| Z10 | 210 | 3000 | 3200 |
| F11 | 211 | 3425 | 3625 |
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