Crude Oil – Options Report – October 5, 2010
FMX | Connect (Reported 10/05/10)
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 | 83 | 335 | 355 |
| Z0 | 83.5 | 670 | 680 |
| F1 | 84.5 | 880 | 900 |
| G1 | 85 | 1075 | 1095 |
| H1 | 85.5 | 1260 | 1280 |
| J1 | 86 | 1400 | 1430 |
| K1 | 86.5 | 1530 | 1555 |
| M1 | 86.5 | 1655 | 1675 |
| U1 | 87.5 | 1960 | 1990 |
| Z1 | 88 | 2180 | 2220 |
| Z2 | 89.5 | 2750 | 2790 |
| Z3 | 90 | 3110 | 3180 |
| Z4 | 91 | 3400 | 3500 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 230 | 1150 | 1300 |
| Z10 | 232 | 1850 | 2050 |
| F11 | 233 | 2500 | 2700 |
| G11 | 234 | 2975 | 3175 |
| H11 | 234 | 3375 | 3575 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 211 | 1100 | 1300 |
| Z10 | 211 | 1800 | 2000 |
| F11 | 213 | 2400 | 2600 |
| G11 | 215 | 2900 | 3100 |
| H11 | 217 | 3250 | 3500 |
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End Of Day Straddles
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