Crude Oil – Options Report – September 13, 2010
FMX | Connect (Reported 9/13/10)
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 | 77 | 185 | 205 |
| X0 | 78 | 565 | 585 |
| Z0 | 79 | 850 | 870 |
| F1 | 79.5 | 1070 | 1090 |
| G1 | 80.5 | 1275 | 1295 |
| H1 | 81 | 1455 | 1480 |
| J1 | 81.5 | 1600 | 1630 |
| K1 | 82 | 1730 | 1760 |
| M1 | 82.5 | 1860 | 1890 |
| Z1 | 84 | 2385 | 2425 |
| Z2 | 86 | 2920 | 2970 |
| Z3 | 87 | 3270 | 3340 |
| Z4 | 88.5 | 3560 | 3660 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 212 | 875 | 1075 |
| X10 | 214 | 1725 | 1925 |
| Z10 | 216 | 2350 | 2550 |
| F11 | 218 | 2900 | 3100 |
| G11 | 220 | 3350 | 3550 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 199 | 875 | 1075 |
| X10 | 198 | 1700 | 1900 |
| Z10 | 198 | 2300 | 2500 |
| F11 | 200 | 2800 | 3000 |
| G11 | 202 | 3350 | 3450 |
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End Of Day Straddles
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