Crude Oil – Options Report – August 31, 2010
FMX | Connect (Reported 8/31/10)
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 | 72 | 395 | 410 |
| X0 | 73.5 | 675 | 690 |
| Z0 | 75 | 920 | 935 |
| F1 | 76 | 1105 | 1125 |
| G1 | 77 | 1275 | 1300 |
| H1 | 77.5 | 1430 | 1455 |
| J1 | 78 | 1555 | 1580 |
| K1 | 78.5 | 1675 | 1700 |
| M1 | 79 | 1790 | 1815 |
| Z1 | 81 | 2280 | 2320 |
| Z2 | 83.5 | 2810 | 2860 |
| Z3 | 85.5 | 3130 | 3180 |
| Z4 | 86.5 | 3400 | 3480 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 199 | 1200 | 1400 |
| X10 | 201 | 1900 | 2100 |
| Z10 | 204 | 2450 | 2650 |
| F11 | 206 | 3000 | 3200 |
| G11 | 208 | 3400 | 3600 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 185 | 1250 | 1450 |
| X10 | 186 | 1900 | 2100 |
| Z10 | 186 | 2350 | 2550 |
| F11 | 189 | 2850 | 3050 |
| G11 | 191 | 3275 | 3475 |
Premium Subscriber (click here to register):
Volumes & Open Interest
End Of Day Straddles
Trade Blotter
Settlements
-----
About FMX: FMX Connect is an information, data, and analytics portal for Commodities. The portal provides an all-in-one package including essential market data, independent third party research, industry news, and commodity trading tools. FMX Connect provides efficient, effective, and thorough data that bridges all aspects of commodities onto one screen. The Result; A user friendly application for hedge fund traders, OTC brokers, individual investors, and industry participants.
-----
Note: The information presented, while from sources generally believed to be reliable, is not guaranteed and may not be complete. FMX | Connect makes no representations or warranties regarding the correctness of any opinions or information. Past results are not necessarily indicative of future results. Nothing in this report should be construed as a representation to buy or sell shares, futures or options, which contain considerable risks. For internal client distribution only. Any reproduction, re-transmission, or distribution of this report without permission is prohibited. Media correspondents or reporters may not quote any one page or section in its entirety and must attribute all quotes, ideas or concepts herein. Copyright FMX | Connect, ©2009-2010. All rights reserved.