Crude Oil – Options Report – October 13, 2010
FMX | Connect (Reported 10/13/10)
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 | 170 | 190 |
| Z0 | 83.5 | 630 | 650 |
| F1 | 84.5 | 875 | 895 |
| G1 | 85 | 1085 | 1105 |
| H1 | 85.5 | 1265 | 1285 |
| J1 | 86 | 1415 | 1435 |
| K1 | 86 | 1545 | 1565 |
| M1 | 86.5 | 1675 | 1700 |
| U1 | 87 | 1975 | 2000 |
| Z1 | 88 | 2190 | 2210 |
| Z2 | 89 | 2720 | 2760 |
| Z3 | 90 | 3080 | 3150 |
| Z4 | 90.5 | 3380 | 3460 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 230 | 900 | 1100 |
| Z10 | 231 | 1800 | 2000 |
| F11 | 234 | 2450 | 2650 |
| G11 | 235 | 2900 | 3200 |
| H11 | 235 | 3300 | 3600 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 216 | 900 | 1100 |
| Z10 | 214 | 1775 | 1975 |
| F11 | 215 | 2350 | 2550 |
| G11 | 216 | 2875 | 3075 |
| H11 | 218 | 3200 | 3500 |
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End Of Day Straddles
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