Crude Oil – Options Report – October 7, 2010
FMX | Connect (Reported 10/07/10)
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 | 300 | 315 |
| Z0 | 82.5 | 645 | 665 |
| F1 | 83 | 890 | 910 |
| G1 | 83.5 | 1090 | 1110 |
| H1 | 84 | 1265 | 1285 |
| J1 | 84.5 | 1410 | 1435 |
| K1 | 85 | 1540 | 1565 |
| M1 | 85.5 | 1670 | 1700 |
| U1 | 86 | 1955 | 1985 |
| Z1 | 87 | 2165 | 2200 |
| Z2 | 88 | 2680 | 2730 |
| Z3 | 88.5 | 3020 | 3080 |
| Z4 | 89 | 3320 | 3400 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 225 | 1175 | 1375 |
| Z10 | 227 | 1900 | 2100 |
| F11 | 229 | 2525 | 2725 |
| G11 | 231 | 3000 | 3200 |
| H11 | 231 | 3300 | 3600 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 211 | 1150 | 1350 |
| Z10 | 210 | 1875 | 2075 |
| F11 | 211 | 2425 | 2625 |
| G11 | 213 | 2900 | 3100 |
| H11 | 215 | 3200 | 3500 |
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End Of Day Straddles
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