Crude Oil – Options Report – August 18, 2010
FMX | Connect (Reported 8/18/10)
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 |
| V0 | 75.5 | 535 | 550 |
| X0 | 76.5 | 800 | 815 |
| Z0 | 77 | 1035 | 1055 |
| F1 | 78 | 1210 | 1225 |
| G1 | 78.5 | 1370 | 1390 |
| H1 | 79 | 1520 | 1540 |
| J1 | 79.5 | 1640 | 1665 |
| M1 | 80 | 1755 | 1770 |
| Z1 | 80.5 | 1865 | 1890 |
| Z2 | 82 | 2335 | 2360 |
| Z3 | 84 | 2800 | 2890 |
| Z4 | 85 | 3100 | 3180 |
| | 86 | 3350 | 3450 |
| HO | | | |
| | Future | Bid | Offer |
| U10 | 203 | 700 | 900 |
| V10 | 205 | 1650 | 1950 |
| X10 | 208 | 2300 | 2600 |
| Z10 | 210 | 2875 | 3175 |
| F11 | 213 | 3400 | 3700 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| U10 | 196 | 700 | 900 |
| V10 | 191 | 1700 | 2000 |
| X10 | 191 | 2275 | 2575 |
| Z10 | 192 | 2800 | 3100 |
| F11 | 195 | 3250 | 3550 |
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