Crude Oil – Options Report – October 15, 2010
FMX | Connect (Reported 10/15/10)
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 |
| Z0 | 82 | 620 | 635 |
| F1 | 82.5 | 865 | 885 |
| G1 | 83 | 1075 | 1095 |
| H1 | 83.5 | 1260 | 1280 |
| J1 | 84 | 1405 | 1430 |
| K1 | 84.5 | 1540 | 1560 |
| M1 | 85 | 1665 | 1685 |
| U1 | 85.5 | 1975 | 2000 |
| Z1 | 86 | 2200 | 2220 |
| Z2 | 87.5 | 2725 | 2775 |
| Z3 | 88 | 3070 | 3130 |
| Z4 | 89 | 3380 | 3460 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 223 | 900 | 1100 |
| Z10 | 225 | 1800 | 2000 |
| F11 | 227 | 2450 | 2650 |
| G11 | 229 | 2900 | 3200 |
| H11 | 229 | 3300 | 3600 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 210 | 900 | 1100 |
| Z10 | 208 | 1700 | 1900 |
| F11 | 208 | 2300 | 2500 |
| G11 | 211 | 2800 | 3100 |
| H11 | 213 | 3200 | 3500 |
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End Of Day Straddles
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Settlements
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