image Crude Oil – Options Report – August 26, 2010

FMX | Connect (Reported 8/26/10)

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 bottom  to top: V10, X10, Z10

***From NYMEX Settlements

 

End of Day Straddles

CL      
  Future Bid Offer
V0 73.5 425 440
X0 74.5 675 695
Z0 75.5 915 935
F1 76 1100 1120
G1 76.5 1255 1275
H1 77.5 1420 1450
J1 78 1545 1575
K1 78.5 1655 1685
M1 79 1770 1800
Z1 81 2250 2290
Z2 83.5 2760 2810
Z3 84 3070 3130
Z4 85 3350 3430
       
HO      
  Future Bid Offer
U10 202 1300 1500
V10 204 2000 2200
X10 207 2525 2725
Z10 209 3050 3250
F11 211 3500 3700
       
RBOB      
  Future Bid Offer
V10 186 1400 1600
X10 186 2000 2200
Z10 187 2500 2700
F11 189 2900 3100
G11 191 3300 3500

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Volumes & Open Interest

End Of Day Straddles

Trade Blotter

Settlements

 

 

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