Crude Oil – Options Report – August 12, 2010
FMX | Connect (Reported 8/12/10)
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 | 75.5 | 240 | 260 |
| V0 | 76 | 630 | 650 |
| X0 | 76.5 | 880 | 900 |
| Z0 | 77 | 1110 | 1130 |
| F1 | 77.5 | 1285 | 1310 |
| G1 | 78 | 1450 | 1480 |
| H1 | 78.5 | 1590 | 1615 |
| J1 | 79 | 1710 | 1740 |
| M1 | 79.5 | 1930 | 1960 |
| Z1 | 81 | 2380 | 2420 |
| Z2 | 82.5 | 2870 | 2930 |
| Z3 | 83.5 | 3180 | 3250 |
| Z4 | 84 | 3450 | 3550 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| U10 | 202 | 900 | 1100 |
| V10 | 205 | 1800 | 2000 |
| X10 | 208 | 2400 | 2600 |
| Z10 | 211 | 2950 | 3150 |
| F11 | 214 | 3475 | 3700 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| U10 | 197 | 950 | 1150 |
| V10 | 197 | 1850 | 2050 |
| X10 | 197 | 2400 | 2600 |
| Z10 | 199 | 2875 | 3075 |
| F11 | 201 | 3275 | 3475 |
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