imageCrude Oil – Options Report – August 17, 2010

FMX | Connect (Reported 8/17/10)

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
V0 76 560 580
X0 77 820 840
Z0 77.5 1050 1070
F1 78 1220 1240
G1 79 1390 1410
H1 79.5 1540 1570
J1 80 1660 1690
M1 80.5 1885 1915
Z1 82.5 2340 2380
Z2 84 2835 2875
Z3 85 3150 3200
Z4 85.5 3400 3500
       
HO      
  Future Bid Offer
U10 203 700 900
V10 206 1650 1850
X10 209 2300 2500
Z10 211 2875 3075
F11 214 3400 3600
       
RBOB      
  Future Bid Offer
U10 196 700 900
V10 192 1700 1900
X10 192 2275 2475
Z10 193 2800 3000
F11 196 3250 3450

 

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End Of Day Straddles

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