Crude Oil – Options Report – September 3, 2010
FMX | Connect (Reported 9/03/10)
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 | 74.5 | 330 | 350 |
| X0 | 76 | 620 | 640 |
| Z0 | 77 | 870 | 890 |
| F1 | 78 | 1065 | 1085 |
| G1 | 79 | 1240 | 1260 |
| H1 | 79.5 | 1410 | 1440 |
| J1 | 80 | 1540 | 1570 |
| K1 | 80.5 | 1655 | 1680 |
| M1 | 81 | 1780 | 1800 |
| Z1 | 83 | 2290 | 2310 |
| Z2 | 85 | 2840 | 2870 |
| Z3 | 86 | 3170 | 3220 |
| Z4 | 87 | 3450 | 3500 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 203 | 1125 | 1325 |
| X10 | 205 | 1825 | 2025 |
| Z10 | 208 | 2350 | 2550 |
| F11 | 210 | 2900 | 3100 |
| G11 | 212 | 3325 | 3525 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 190 | 1125 | 1325 |
| X10 | 190 | 1800 | 2000 |
| Z10 | 191 | 2300 | 2600 |
| F11 | 193 | 2825 | 3025 |
| G11 | 195 | 3225 | 3475 |
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End Of Day Straddles
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