Crude Oil – Options Report – September 27, 2010
FMX | Connect (Reported 9/27/10)
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 | 390 | 405 |
| Z0 | 77.5 | 690 | 705 |
| F1 | 78.5 | 910 | 920 |
| G1 | 79 | 1115 | 1135 |
| H1 | 79.5 | 1300 | 1320 |
| J1 | 80 | 1450 | 1470 |
| K1 | 80.5 | 1585 | 1615 |
| M1 | 80.5 | 1710 | 1720 |
| U1 | 82 | 2010 | 2035 |
| Z1 | 83 | 2235 | 2270 |
| Z2 | 85 | 2805 | 2845 |
| Z3 | 86 | 3170 | 3210 |
| Z4 | 87.5 | 3475 | 3550 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 212 | 1200 | 1350 |
| Z10 | 214 | 1900 | 2100 |
| F11 | 216 | 2550 | 2750 |
| G11 | 217 | 3050 | 3250 |
| H11 | 218 | 3425 | 3675 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 192 | 1200 | 1350 |
| Z10 | 193 | 1850 | 2050 |
| F11 | 195 | 2425 | 2625 |
| G11 | 197 | 2900 | 3200 |
| H11 | 199 | 3300 | 3500 |
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End Of Day Straddles
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