Crude Oil – Options Report – September 21, 2010
FMX | Connect (Reported 9/21/10)
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 | 75 | 480 | 495 |
| Z0 | 77 | 760 | 780 |
| F1 | 78 | 985 | 1005 |
| G1 | 79 | 1180 | 1200 |
| H1 | 80 | 1370 | 1390 |
| J1 | 80.5 | 1515 | 1540 |
| K1 | 81 | 1645 | 1655 |
| M1 | 81 | 1770 | 1795 |
| Z1 | 83 | 2305 | 2335 |
| Z2 | 85 | 2840 | 2890 |
| Z3 | 86 | 3180 | 3230 |
| Z4 | 87.5 | 3480 | 3550 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 212 | 400 | 600 |
| X10 | 213 | 1400 | 1600 |
| Z10 | 215 | 2100 | 2300 |
| F11 | 217 | 2700 | 2900 |
| G11 | 218 | 3200 | 3400 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 192 | 400 | 600 |
| X10 | 192 | 1400 | 1600 |
| Z10 | 193 | 2000 | 2200 |
| F11 | 195 | 2550 | 2800 |
| G11 | 197 | 3000 | 3300 |
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End Of Day Straddles
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