Crude Oil – Options Report – October 28, 2011
FMX | Connect (Reported 10/28/2011)
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 | 93.5 | 595 | 615 |
| F12 | 93 | 1010 | 1030 |
| G12 | 93 | 1315 | 1335 |
| H12 | 93 | 1555 | 1585 |
| J12 | 93 | 1755 | 1795 |
| K12 | 93 | 1940 | 1980 |
| M12 | 92.5 | 2085 | 2125 |
| Z12 | 92 | 2500 | 2550 |
| Z13 | 91 | 2690 | 2760 |
| Z14 | 90.5 | 2870 | 2970 |
| Z15 | 90.5 | 3060 | 3180 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| Z11 | 306 | 1700 | 1950 |
| F12 | 306 | 2700 | 3000 |
| G12 | 304 | 3500 | 3750 |
| H12 | 302 | 4150 | 4400 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| Z11 | 266 | 1700 | 2000 |
| F12 | 265 | 2700 | 3000 |
| G12 | 264 | 3500 | 3750 |
| H12 | 265 | 4200 | 4500 |
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End Of Day Straddles
Trade Blotter
Settlements
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