Crude Oil – Options Report – September 30, 2010
FMX | Connect (Reported 9/30/10)
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 | 80 | 360 | 370 |
| Z0 | 81 | 670 | 685 |
| F1 | 82 | 890 | 910 |
| G1 | 82.5 | 1100 | 1120 |
| H1 | 83 | 1295 | 1315 |
| J1 | 83.5 | 1445 | 1465 |
| K1 | 84 | 1585 | 1605 |
| M1 | 84.5 | 1705 | 1725 |
| U1 | 85 | 2015 | 2045 |
| Z1 | 86 | 2250 | 2275 |
| Z2 | 87 | 2820 | 2860 |
| Z3 | 88.5 | 3180 | 3240 |
| Z4 | 89.5 | 3470 | 3540 |
| Z5 | 90.5 | 3730 | 3830 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 226 | 1250 | 1450 |
| Z10 | 228 | 1900 | 2100 |
| F11 | 230 | 2525 | 2725 |
| G11 | 231 | 3050 | 3250 |
| H11 | 231 | 3450 | 3650 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 204 | 1200 | 1350 |
| Z10 | 204 | 1850 | 2050 |
| F11 | 206 | 2500 | 2700 |
| G11 | 208 | 2900 | 3100 |
| H11 | 211 | 3300 | 3500 |
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