Crude Oil – Options Report – August 16, 2010
FMX | Connect (Reported 8/16/10)
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 | 110 | 135 |
| V0 | 75.5 | 605 | 615 |
| X0 | 76 | 855 | 870 |
| Z0 | 77 | 1085 | 1100 |
| F1 | 77.5 | 1255 | 1270 |
| G1 | 78 | 1420 | 1440 |
| H1 | 78.5 | 1570 | 1585 |
| J1 | 79 | 1685 | 1710 |
| M1 | 79.5 | 1910 | 1940 |
| Z1 | 81 | 2365 | 2400 |
| Z2 | 82.5 | 2850 | 2900 |
| Z3 | 83.5 | 3140 | 3200 |
| Z4 | 84 | 3420 | 3500 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| U10 | 199 | 800 | 1000 |
| V10 | 202 | 1700 | 1900 |
| X10 | 205 | 2350 | 2550 |
| Z10 | 207 | 2900 | 3100 |
| F11 | 210 | 3425 | 3625 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| U10 | 193 | 800 | 1000 |
| V10 | 188 | 1750 | 1950 |
| X10 | 189 | 2300 | 2500 |
| Z10 | 190 | 2800 | 3000 |
| F11 | 193 | 3250 | 3450 |
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