Crude Oil – Options Report – September 9, 2010
FMX | Connect (Reported 9/09/10)
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 | 240 | 260 |
| X0 | 76 | 570 | 590 |
| Z0 | 77 | 840 | 860 |
| F1 | 78 | 1045 | 1065 |
| G1 | 79 | 1235 | 1255 |
| H1 | 79.5 | 1400 | 1425 |
| J1 | 80 | 1540 | 1570 |
| K1 | 80.5 | 1665 | 1695 |
| M1 | 81 | 1790 | 1815 |
| Z1 | 83 | 2310 | 2350 |
| Z2 | 85 | 2850 | 2900 |
| Z3 | 86 | 3200 | 3270 |
| Z4 | 87 | 3500 | 3580 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 206 | 950 | 1200 |
| X10 | 208 | 1725 | 1925 |
| Z10 | 211 | 2300 | 2500 |
| F11 | 213 | 2850 | 3050 |
| G11 | 215 | 3250 | 3500 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 193 | 1000 | 1200 |
| X10 | 193 | 1700 | 1900 |
| Z10 | 195 | 2275 | 2475 |
| F11 | 197 | 2750 | 2950 |
| G11 | 200 | 3150 | 3350 |
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End Of Day Straddles
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