Crude Oil – Options Report – September 10, 2010
FMX | Connect (Reported 9/10/10)
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 | 76.5 | 230 | 245 |
| X0 | 77 | 580 | 600 |
| Z0 | 78 | 855 | 870 |
| F1 | 78.5 | 1070 | 1090 |
| G1 | 79.5 | 1265 | 1285 |
| H1 | 80 | 1430 | 1460 |
| J1 | 80 | 1570 | 1600 |
| K1 | 80.5 | 1700 | 1730 |
| M1 | 81.5 | 1815 | 1845 |
| Z1 | 83 | 2330 | 2360 |
| Z2 | 85 | 2880 | 2920 |
| Z3 | 86 | 3220 | 3280 |
| Z4 | 87 | 3520 | 3600 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 210 | 950 | 1200 |
| X10 | 212 | 1725 | 1925 |
| Z10 | 215 | 2300 | 2500 |
| F11 | 217 | 2850 | 3050 |
| G11 | 219 | 3250 | 3500 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 197 | 1000 | 1200 |
| X10 | 197 | 1700 | 1900 |
| Z10 | 199 | 2275 | 2475 |
| F11 | 201 | 2750 | 2950 |
| G11 | 203 | 3150 | 3350 |
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End Of Day Straddles
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