Crude Oil – Options Report – September 14, 2010
FMX | Connect (Reported 9/14/10)
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 | 150 | 170 |
| X0 | 78 | 560 | 580 |
| Z0 | 79 | 850 | 870 |
| F1 | 79.5 | 1080 | 1100 |
| G1 | 80.5 | 1280 | 1300 |
| H1 | 81 | 1470 | 1490 |
| J1 | 81.5 | 1615 | 1640 |
| K1 | 82 | 1750 | 1775 |
| M1 | 82.5 | 1875 | 1900 |
| Z1 | 84 | 2400 | 2440 |
| Z2 | 86.5 | 2940 | 2990 |
| Z3 | 87.5 | 3290 | 3350 |
| Z4 | 89 | 3580 | 3680 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 213 | 775 | 975 |
| X10 | 215 | 1675 | 1875 |
| Z10 | 217 | 2300 | 2500 |
| F11 | 219 | 2900 | 3100 |
| G11 | 221 | 3375 | 3575 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 197 | 800 | 1000 |
| X10 | 197 | 1625 | 1825 |
| Z10 | 197 | 2250 | 2450 |
| F11 | 198 | 2775 | 2975 |
| G11 | 200 | 3250 | 3450 |
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End Of Day Straddles
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