Crude Oil – Options Report – August 6, 2010
FMX | Connect (Reported 8/06/10)
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 | 80.5 | 305 | 315 |
| V0 | 81 | 635 | 655 |
| X0 | 81.5 | 880 | 900 |
| Z0 | 82 | 1105 | 1120 |
| F1 | 82.5 | 1275 | 1295 |
| G1 | 83.5 | 1430 | 1450 |
| H1 | 83.5 | 1580 | 1610 |
| J1 | 84 | 1700 | 1725 |
| M1 | 85 | 1925 | 1950 |
| Z1 | 86 | 2390 | 2405 |
| Z2 | 87 | 2870 | 2930 |
| Z3 | 88 | 3170 | 3230 |
| Z4 | 89 | 3420 | 3500 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| U10 | 214 | 1075 | 1275 |
| V10 | 217 | 1875 | 2075 |
| X10 | 219 | 2500 | 2700 |
| Z10 | 222 | 3000 | 3225 |
| F11 | 224 | 3500 | 3725 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| U10 | 210 | 1100 | 1300 |
| V10 | 203 | 1925 | 2125 |
| X10 | 203 | 2450 | 2650 |
| Z10 | 203 | 2950 | 3150 |
| F11 | 205 | 3350 | 3600 |
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