Crude Oil – Options Report – November 16, 2010
FMX | Connect (Reported 11/16/10)
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 |
| F1 | 83 | 565 | 585 |
| G1 | 83.5 | 840 | 860 |
| H1 | 84 | 1055 | 1075 |
| J1 | 84.5 | 1220 | 1240 |
| K1 | 84.5 | 1360 | 1380 |
| M1 | 85 | 1500 | 1520 |
| U1 | 85.5 | 1830 | 1850 |
| Z1 | 86.5 | 2090 | 2110 |
| Z2 | 87.5 | 2600 | 2650 |
| Z3 | 87.5 | 2930 | 2980 |
| Z4 | 87.5 | 3180 | 3260 |
| Z5 | 88 | 3400 | 3500 |
| | | | |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| Z10 | 232 | 725 | 925 |
| F11 | 233 | 1700 | 1900 |
| G11 | 234 | 2350 | 2550 |
| H11 | 234 | 2800 | 3050 |
| J11 | 234 | 3250 | 3550 |
| K11 | 234 | 3600 | 3900 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| Z10 | 215 | 725 | 925 |
| F11 | 212 | 1700 | 1900 |
| G11 | 212 | 2400 | 2600 |
| H11 | 214 | 2800 | 3100 |
| J11 | 225 | 3300 | 3600 |
| K11 | 225 | 3700 | 4000 |
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End Of Day Straddles
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