Crude Oil – Options Report – November 3, 2010
FMX | Connect (Reported 11/03/10)
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 | 85 | 400 | 410 |
| F1 | 85.5 | 720 | 740 |
| G1 | 86 | 960 | 980 |
| H1 | 86.5 | 1165 | 1185 |
| J1 | 87 | 1325 | 1345 |
| K1 | 87 | 1465 | 1485 |
| M1 | 87.5 | 1605 | 1625 |
| U1 | 88 | 1930 | 1955 |
| Z1 | 89 | 2175 | 2195 |
| Z2 | 90 | 2690 | 2725 |
| Z3 | 90 | 2990 | 3040 |
| Z4 | 90.5 | 3250 | 3320 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| Z10 | 232 | 1250 | 1450 |
| F11 | 234 | 2050 | 2250 |
| G11 | 236 | 2600 | 2900 |
| H11 | 236 | 3000 | 3300 |
| J11 | 236 | 3450 | 3750 |
| K11 | 235 | 3800 | 4100 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| Z10 | 213 | 1200 | 1400 |
| F11 | 218 | 2000 | 2200 |
| G11 | 216 | 2500 | 2700 |
| H11 | 219 | 2900 | 3200 |
| J11 | 230 | 3500 | 3700 |
| K11 | 231 | 3800 | 4100 |
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End Of Day Straddles
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