imageCrude Oil – Options Report – August 9, 2010

FMX | Connect (Reported 8/09/10)

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:

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Volatility Smile:

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***From NYMEX Settlements

 

Heating Oil ATM Volatility Curve:

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Volatility Smile:

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***From NYMEX Settlements

 

End of Day Straddles

CL      
  Future Bid Offer
U0 81.5 270 280
V0 82 600 620
X0 82.5 860 880
Z0 83 1070 1090
F1 83.5 1245 1275
G1 84 1405 1435
H1 84.5 1555 1585
J1 85 1680 1710
M1 86 1905 1930
Z1 87 2365 2395
Z2 88 2850 2900
Z3 89 3160 3210
Z4 89.5 3400 3500
       
HO      
  Future Bid Offer
U10 215 972.5 1175
V10 218 1775 1975
X10 221 2400 2600
Z10 223 2925 3125
F11 226 3400 3600
       
RBOB      
  Future Bid Offer
U10 211 1000 1200
V10 204 1875 2075
X10 204 2375 2575
Z10 205 2875 3075
F11 207 3275 3475

 

 


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