Crude Oil – Options Report – September 23, 2010
FMX | Connect (Reported 9/23/10)
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 | 420 | 440 |
| Z0 | 76.5 | 715 | 735 |
| F1 | 77.5 | 935 | 955 |
| G1 | 78.5 | 1140 | 1160 |
| H1 | 79 | 1320 | 1340 |
| J1 | 79.5 | 1470 | 1495 |
| K1 | 80 | 1600 | 1625 |
| M1 | 80.5 | 1730 | 1755 |
| Z1 | 81.5 | 2035 | 2065 |
| Z2 | 82.5 | 2250 | 2290 |
| Z3 | 84.5 | 2800 | 2850 |
| Z4 | 86 | 3150 | 3220 |
| Z5 | 87.6 | 3450 | 3550 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 212 | 350 | 600 |
| X10 | 214 | 1400 | 1600 |
| Z10 | 215 | 2050 | 2300 |
| F11 | 217 | 2650 | 2900 |
| G11 | 218 | 3200 | 3500 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 193 | 350 | 600 |
| X10 | 192 | 1300 | 1500 |
| Z10 | 193 | 2000 | 2200 |
| F11 | 195 | 2500 | 2700 |
| G11 | 197 | 2900 | 3200 |
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End Of Day Straddles
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