Crude Oil – Options Report – October 14, 2010
FMX | Connect (Reported 10/14/10)
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 | 82.5 | 90 | 120 |
| Z0 | 83.5 | 620 | 640 |
| F1 | 84 | 860 | 880 |
| G1 | 84.5 | 1070 | 1090 |
| H1 | 85 | 1260 | 1280 |
| J1 | 85.5 | 1410 | 1430 |
| K1 | 85.5 | 1540 | 1560 |
| M1 | 86 | 1670 | 1690 |
| U1 | 87 | 1970 | 2000 |
| Z1 | 87.5 | 2190 | 2220 |
| Z2 | 89 | 2720 | 2760 |
| Z3 | 89.5 | 3070 | 3130 |
| Z4 | 90 | 3360 | 3440 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 227 | 900 | 1100 |
| Z10 | 229 | 1800 | 2000 |
| F11 | 231 | 2450 | 2650 |
| G11 | 232 | 2900 | 3200 |
| H11 | 232 | 3300 | 3600 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 212 | 900 | 1100 |
| Z10 | 210 | 1700 | 1900 |
| F11 | 211 | 2300 | 2500 |
| G11 | 212 | 2800 | 3100 |
| H11 | 214 | 3200 | 3500 |
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End Of Day Straddles
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