Crude Oil – Options Report – September 7, 2010
FMX | Connect (Reported 9/07/10)
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 | 290 | 305 |
| X0 | 75.5 | 600 | 615 |
| Z0 | 77.5 | 860 | 880 |
| F1 | 78.5 | 1060 | 1080 |
| G1 | 79.5 | 1240 | 1260 |
| H1 | 80 | 1400 | 1425 |
| J1 | 80.5 | 1530 | 1555 |
| K1 | 81 | 1650 | 1675 |
| M1 | 81.5 | 1770 | 1800 |
| Z1 | 83.5 | 2285 | 2315 |
| Z2 | 85.5 | 2840 | 2890 |
| Z3 | 87 | 3170 | 3220 |
| Z4 | 88 | 3450 | 3520 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 207 | 1050 | 1250 |
| X10 | 209 | 1800 | 2000 |
| Z10 | 212 | 2375 | 2575 |
| F11 | 215 | 2900 | 3100 |
| G11 | 216 | 3325 | 3525 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 193 | 1050 | 1250 |
| X10 | 193 | 17715 | 1975 |
| Z10 | 194 | 2325 | 2525 |
| F11 | 196 | 2800 | 3000 |
| G11 | 198 | 3200 | 3400 |
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End Of Day Straddles
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