Crude Oil – Options Report – September 20, 2010
FMX | Connect (Reported 9/20/10)
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 |
| X0 | 76 | 480 | 495 |
| Z0 | 78 | 770 | 785 |
| F1 | 79 | 985 | 1005 |
| G1 | 80 | 1185 | 1205 |
| H1 | 80.5 | 1370 | 1390 |
| J1 | 81 | 1520 | 1550 |
| K1 | 81.5 | 1650 | 1675 |
| M1 | 82 | 1775 | 1800 |
| Z1 | 84 | 2300 | 2340 |
| Z2 | 86 | 2840 | 2880 |
| Z3 | 87 | 3170 | 3230 |
| Z4 | 88.5 | 3450 | 3530 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 214 | 775 | 975 |
| X10 | 216 | 1675 | 1875 |
| Z10 | 217 | 2300 | 2500 |
| F11 | 219 | 2900 | 3100 |
| G11 | 220 | 3375 | 3575 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 195 | 800 | 1000 |
| X10 | 194 | 1625 | 1825 |
| Z10 | 195 | 2250 | 2450 |
| F11 | 197 | 2775 | 2975 |
| G11 | 199 | 3250 | 3450 |
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End Of Day Straddles
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