Crude Oil – Options Report – October 18, 2010
FMX | Connect (Reported 10/18/10)
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 | 83.5 | 580 | 595 |
| F1 | 84.5 | 835 | 855 |
| G1 | 85 | 1050 | 1070 |
| H1 | 85.5 | 1240 | 1260 |
| J1 | 86 | 1390 | 1410 |
| K1 | 86.5 | 1530 | 1550 |
| M1 | 86.5 | 1660 | 1680 |
| U1 | 87.5 | 1965 | 1990 |
| Z1 | 88 | 2195 | 2215 |
| Z2 | 89 | 2725 | 2775 |
| Z3 | 90 | 3115 | 3175 |
| Z4 | 90.5 | 3450 | 3530 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X10 | 227 | 700 | 900 |
| Z10 | 229 | 1700 | 1900 |
| F11 | 232 | 2350 | 2550 |
| G11 | 233 | 2800 | 3100 |
| H11 | 233 | 3200 | 3500 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X10 | 215 | 900 | 1100 |
| Z10 | 212 | 1700 | 1900 |
| F11 | 212 | 2300 | 2500 |
| G11 | 218 | 2800 | 3100 |
| H11 | 216 | 3200 | 3500 |
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End Of Day Straddles
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