Crude Oil – Options Report – October 17, 2011
FMX | Connect (Reported 10/17/2011)
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:
End of Day Straddles
| CL | | | |
| | Future | Bid | Offer |
| Z11 | 86.5 | 840 | 860 |
| F12 | 86.5 | 1200 | 1220 |
| G12 | 87 | 1480 | 1510 |
| H12 | 87 | 1720 | 1750 |
| J12 | 87.5 | 1910 | 1950 |
| M12 | 87.5 | 2245 | 2285 |
| Z12 | 88.5 | 2670 | 2730 |
| Z13 | 89 | 2940 | 3020 |
| Z14 | 89.5 | 3150 | 3240 |
| Z15 | 90 | 3370 | 3470 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X11 | 302 | 1050 | 1250 |
| Z11 | 301 | 2250 | 2550 |
| F12 | 300 | 3100 | 3400 |
| G12 | 298 | 3900 | 4200 |
| H12 | 295 | 4500 | 4800 |
| | | | |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X11 | 274 | 1200 | 1500 |
| Z11 | 271 | 2300 | 2600 |
| F12 | 268 | 3100 | 3450 |
| G12 | 268 | 3900 | 4200 |
| H12 | 268 | 4500 | 4900 |
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End Of Day Straddles
Trade Blotter
Settlements
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