imageCrude Oil – Options Report – August 11, 2010

FMX | Connect (Reported 8/11/10)

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 78 255 270
V0 78.5 630 650
X0 79 875 895
Z0 79.5 1095 1105
F1 80.5 1260 1285
G1 81 1420 1445
H1 81 1570 1600
J1 81.5 1690 1720
M1 82.5 1905 1945
Z1 84 2360 2400
Z2 85.5 2840 2900
Z3 86 3150 3210
Z4 87 3400 3500
       
HO      
  Future Bid Offer
U10 208 900 1100
V10 212 1800 2000
X10 215 2400 2600
Z10 217 2900 3100
F11 220 3400 3700
       
RBOB      
  Future Bid Offer
U10 201 900 1100
V10 197 1800 2000
X10 197 2400 2600
Z10 199 2800 3100
F11 201 3200 3500

 

 

 


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