Crude Oil – Options Report – September 24, 2010
FMX | Connect (Reported 9/24/10)
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 | 76.5 | 405 | 420 |
| Z0 | 77.5 | 700 | 715 |
| F1 | 78.5 | 920 | 940 |
| G1 | 79.5 | 1120 | 1140 |
| H1 | 80 | 1310 | 1330 |
| J1 | 80.5 | 1460 | 1485 |
| K1 | 81 | 1590 | 1620 |
| M1 | 81.5 | 1720 | 1745 |
| U1 | 82 | 2025 | 2055 |
| Z1 | 83 | 2260 | 2290 |
| Z2 | 85 | 2800 | 2850 |
| Z3 | 86.5 | 3170 | 3220 |
| Z4 | 87.5 | 3470 | 3570 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 213 | 150 | 300 |
| X10 | 215 | 1300 | 150 |
| Z10 | 217 | 2000 | 2200 |
| F11 | 219 | 2650 | 2900 |
| G11 | 220 | 3000 | 3300 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 195 | 150 | 300 |
| X10 | 194 | 1250 | 1450 |
| Z10 | 195 | 1900 | 2100 |
| F11 | 197 | 2500 | 2800 |
| G11 | 199 | 2900 | 3200 |
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End Of Day Straddles
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