Crude Oil – Options Report – November 17, 2010
FMX | Connect (Reported 11/17/10)
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 | 81 | 570 | 585 |
| G1 | 81.5 | 840 | 855 |
| H1 | 82 | 1060 | 1080 |
| J1 | 82.5 | 1225 | 1245 |
| K1 | 83 | 1380 | 1400 |
| M1 | 83.5 | 1520 | 1540 |
| N1 | 83.5 | 1640 | 1660 |
| U1 | 84 | 1860 | 1880 |
| Z1 | 85 | 2105 | 2135 |
| Z2 | 86 | 2610 | 2670 |
| Z3 | 86 | 2920 | 2990 |
| Z4 | 86 | 3190 | 3270 |
| Z5 | 86.5 | 3430 | 3530 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| Z10 | 225 | 750 | 950 |
| F11 | 227 | 1750 | 1950 |
| G11 | 228 | 2350 | 2550 |
| H11 | 228 | 2950 | 3150 |
| J11 | 228 | 3350 | 3650 |
| K11 | 227 | 3700 | 4000 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| Z10 | 216 | 750 | 950 |
| F11 | 210 | 1700 | 1900 |
| G11 | 210 | 2300 | 2500 |
| H11 | 212 | 2750 | 2950 |
| J11 | 222 | 3300 | 3600 |
| K11 | 223 | 3700 | 4000 |
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End Of Day Straddles
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