imageCrude Oil – Options Report – August 13, 2010

FMX | Connect (Reported 8/13/10)

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 75.5 190 210
V0 76 620 630
X0 76.5 870 890
Z0 77 1095 1110
F1 77.5 1260 1285
G1 78 1420 1445
H1 78.5 1570 1595
J1 79 1690 1720
M1 79.5 1915 1940
Z1 81 2370 2410
Z2 82.5 2860 2910
Z3 83 3150 3220
Z4 84 3420 3510
       
HO      
  Future Bid Offer
U10 199 850 1050
V10 202 1700 1900
X10 205 2300 2550
Z10 208 2800 3100
F11 211 3350 3650
       
RBOB      
  Future Bid Offer
U10 194 900 1100
V10 188 1800 2050
X10 189 2400 2600
Z10 190 2800 3100
F11 192 3200 3500

 


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