Crude Oil – Options Report – November 2, 2010
FMX | Connect (Reported 11/02/10)
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 | 84 | 425 | 440 |
| F1 | 84.5 | 735 | 750 |
| G1 | 85 | 975 | 990 |
| H1 | 85.5 | 1175 | 1195 |
| J1 | 86 | 1335 | 1360 |
| K1 | 86 | 1475 | 1500 |
| M1 | 86.5 | 1615 | 1635 |
| U1 | 87.5 | 1945 | 1955 |
| Z1 | 88 | 2180 | 2205 |
| Z2 | 89 | 2710 | 2735 |
| Z3 | 89.5 | 3010 | 3060 |
| Z4 | 89.5 | 3280 | 3350 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| Z10 | 230 | 1250 | 1450 |
| F11 | 232 | 2100 | 2300 |
| G11 | 234 | 2600 | 2900 |
| H11 | 235 | 3000 | 3300 |
| J11 | 234 | 3450 | 3750 |
| K11 | 233 | 3800 | 4100 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| Z10 | 211 | 1250 | 1400 |
| F11 | 212 | 2000 | 2200 |
| G11 | 215 | 2550 | 2750 |
| H11 | 217 | 2900 | 3200 |
| J11 | 229 | 3500 | 3700 |
| K11 | 230 | 3800 | 4100 |
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End Of Day Straddles
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