Crude Oil – Options Report – September 22, 2010
FMX | Connect (Reported 9/22/10)
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 | 74.5 | 450 | 470 |
| Z0 | 76.5 | 740 | 760 |
| F1 | 77.5 | 960 | 980 |
| G1 | 78.5 | 1155 | 1170 |
| H1 | 79 | 1340 | 1360 |
| J1 | 79.5 | 1490 | 1510 |
| K1 | 80 | 1620 | 1645 |
| M1 | 80.5 | 1745 | 1760 |
| Z1 | 82.5 | 2280 | 2310 |
| Z2 | 84.5 | 2820 | 2860 |
| Z3 | 86 | 3170 | 3210 |
| Z4 | 87 | 3450 | 3520 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 211 | 400 | 600 |
| X10 | 212 | 1400 | 1600 |
| Z10 | 214 | 2100 | 2300 |
| F11 | 216 | 2700 | 2900 |
| G11 | 217 | 3200 | 3400 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 190 | 400 | 600 |
| X10 | 190 | 1400 | 1600 |
| Z10 | 191 | 2000 | 2200 |
| F11 | 193 | 2550 | 2800 |
| G11 | 195 | 3000 | 3300 |
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End Of Day Straddles
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