Crude Oil – Options Report – September 29, 2010
FMX | Connect (Reported 9/29/10)
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 | 78 | 380 | 390 |
| Z0 | 79 | 685 | 700 |
| F1 | 80 | 915 | 935 |
| G1 | 81 | 1120 | 1140 |
| H1 | 81.5 | 1305 | 1325 |
| J1 | 82 | 1450 | 1470 |
| K1 | 82.5 | 1590 | 1610 |
| M1 | 83 | 1725 | 1745 |
| U1 | 84 | 2030 | 2060 |
| Z1 | 85 | 2270 | 2300 |
| Z2 | 86.5 | 2860 | 2900 |
| Z3 | 87.5 | 3240 | 3290 |
| Z4 | 88.5 | 3530 | 3610 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 221 | 1200 | 1350 |
| Z10 | 223 | 1900 | 2100 |
| F11 | 225 | 2525 | 2725 |
| G11 | 226 | 3050 | 3250 |
| H11 | 226 | 3425 | 3675 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 198 | 1175 | 1325 |
| Z10 | 199 | 1800 | 2000 |
| F11 | 201 | 2375 | 2425 |
| G11 | 203 | 2850 | 3050 |
| H11 | 206 | 3300 | 3500 |
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End Of Day Straddles
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