Crude Oil – Options Report – August 10, 2010
FMX | Connect (Reported 8/10/10)
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 | 265 | 285 |
| V0 | 80.5 | 615 | 630 |
| X0 | 81 | 855 | 870 |
| Z0 | 82 | 1080 | 1090 |
| F1 | 82.5 | 1250 | 1270 |
| G1 | 83 | 1405 | 1435 |
| H1 | 83.5 | 1555 | 1575 |
| J1 | 84 | 1680 | 1710 |
| M1 | 84.5 | 1905 | 1930 |
| Z1 | 86 | 2360 | 2400 |
| Z2 | 87.5 | 2850 | 2900 |
| Z3 | 88 | 3160 | 3220 |
| Z4 | 89 | 3400 | 3500 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| U10 | 211 | 950 | 1150 |
| V10 | 214 | 1750 | 1950 |
| X10 | 217 | 2375 | 2575 |
| Z10 | 220 | 2900 | 3100 |
| F11 | 223 | 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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