Crude Oil – Options Report – October 1, 2010
FMX | Connect (Reported 10/01/10)
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 | 81.5 | 355 | 375 |
| Z0 | 82.5 | 670 | 690 |
| F1 | 83.5 | 895 | 915 |
| G1 | 84 | 1095 | 1115 |
| H1 | 84.5 | 1280 | 1305 |
| J1 | 85 | 1430 | 1460 |
| K1 | 85.5 | 1560 | 1585 |
| M1 | 85.5 | 1690 | 1710 |
| U1 | 86.5 | 1995 | 2025 |
| Z1 | 87.5 | 2230 | 2270 |
| Z2 | 89 | 2810 | 2850 |
| Z3 | 89.5 | 3165 | 3205 |
| Z4 | 90.5 | 3440 | 3500 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 229 | 1250 | 1450 |
| Z10 | 231 | 1900 | 2100 |
| F11 | 233 | 2525 | 2725 |
| G11 | 234 | 3050 | 3250 |
| H11 | 234 | 3450 | 3650 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 209 | 1200 | 1350 |
| Z10 | 209 | 1850 | 2050 |
| F11 | 210 | 2500 | 2700 |
| G11 | 212 | 2900 | 3100 |
| H11 | 215 | 3300 | 3500 |
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