Crude Oil – Options Report – November 19, 2010
FMX | Connect (Reported 11/19/10)
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 | 82 | 520 | 540 |
| G1 | 82.5 | 805 | 825 |
| H1 | 83 | 1040 | 1060 |
| J1 | 83.5 | 1210 | 1230 |
| K1 | 83.5 | 1355 | 1375 |
| M1 | 84 | 1505 | 1525 |
| N1 | 84 | 1625 | 1650 |
| U1 | 84.5 | 1850 | 1875 |
| Z1 | 85.5 | 2100 | 2130 |
| Z2 | 86.5 | 2610 | 2650 |
| Z3 | 86.5 | 2910 | 2960 |
| Z4 | 86.5 | 3180 | 3240 |
| Z5 | 87 | 3410 | 3500 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| Z10 | 226 | 575 | 775 |
| F11 | 228 | 1675 | 1875 |
| G11 | 229 | 2325 | 2525 |
| H11 | 229 | 2825 | 3025 |
| J11 | 229 | 3300 | 3500 |
| | | | |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| Z10 | 218 | 600 | 800 |
| F11 | 212 | 1650 | 1850 |
| G11 | 211 | 2200 | 2500 |
| H11 | 213 | 2700 | 3000 |
| J11 | 213 | 3300 | 3600 |
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End Of Day Straddles
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