Crude Oil – Options Report – October 12, 2010
FMX | Connect (Reported 10/12/10)
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 | 200 | 220 |
| Z0 | 82.5 | 645 | 665 |
| F1 | 83.5 | 880 | 900 |
| G1 | 84 | 1085 | 1105 |
| H1 | 84.5 | 1275 | 1295 |
| J1 | 85 | 1420 | 1440 |
| K1 | 85.5 | 1545 | 1565 |
| M1 | 85.5 | 1675 | 1695 |
| U1 | 86.5 | 1975 | 2000 |
| Z1 | 87 | 2190 | 2215 |
| Z2 | 88.5 | 2700 | 2750 |
| Z3 | 89.5 | 3060 | 3130 |
| Z4 | 90 | 3360 | 3430 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 226 | 950 | 1150 |
| Z10 | 228 | 1800 | 2000 |
| F11 | 231 | 2400 | 2600 |
| G11 | 232 | 2900 | 3100 |
| H11 | 232 | 3300 | 3600 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 213 | 1000 | 1200 |
| Z10 | 211 | 1800 | 2000 |
| F11 | 212 | 2350 | 2550 |
| G11 | 214 | 2800 | 3000 |
| H11 | 215 | 3200 | 3400 |
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End Of Day Straddles
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