Crude Oil – Options Report – October 6, 2010
FMX | Connect (Reported 10/06/10)
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 | 300 | 320 |
| Z0 | 84 | 645 | 665 |
| F1 | 84.5 | 865 | 885 |
| G1 | 85.5 | 1070 | 1090 |
| H1 | 86 | 1250 | 1270 |
| J1 | 86.5 | 1400 | 1420 |
| K1 | 86.5 | 1520 | 1545 |
| M1 | 87 | 1645 | 1670 |
| U1 | 87.5 | 1940 | 1980 |
| Z1 | 88.5 | 2165 | 2195 |
| Z2 | 89.5 | 2700 | 2720 |
| Z3 | 90 | 3050 | 3150 |
| Z4 | 91 | 3340 | 3440 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 231 | 1050 | 1250 |
| Z10 | 233 | 1800 | 2000 |
| F11 | 235 | 2400 | 2600 |
| G11 | 236 | 2900 | 3100 |
| H11 | 236 | 3300 | 3500 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 214 | 1000 | 1200 |
| Z10 | 215 | 1700 | 1900 |
| F11 | 216 | 2300 | 2550 |
| G11 | 218 | 2800 | 3100 |
| H11 | 220 | 3200 | 3500 |
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End Of Day Straddles
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