Crude Oil – Options Report – November 23, 2010
FMX | Connect (Reported 11/23/10)
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 | 81.5 | 475 | 490 |
| G1 | 82 | 780 | 795 |
| H1 | 82.5 | 1020 | 1040 |
| J1 | 83 | 1200 | 1220 |
| K1 | 83 | 1355 | 1375 |
| M1 | 83.5 | 1500 | 1520 |
| N1 | 83.5 | 1625 | 1650 |
| U1 | 84 | 1850 | 1875 |
| Z1 | 84.5 | 2105 | 2135 |
| Z2 | 85.5 | 2625 | 2665 |
| Z3 | 86 | 2925 | 2975 |
| Z4 | 86 | 3190 | 3250 |
| Z5 | 86.5 | 3425 | 3500 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| Z10 | 228 | 1600 | 1800 |
| F11 | 229 | 2250 | 2450 |
| G11 | 230 | 2700 | 3000 |
| H11 | 229 | 3200 | 3500 |
| J11 | 228 | 3600 | 3800 |
| | | | |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| Z10 | 209 | 1550 | 1750 |
| F11 | 210 | 2100 | 2300 |
| G11 | 212 | 2600 | 2800 |
| H11 | 223 | 3250 | 3600 |
| J11 | 223 | 3600 | 3900 |
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End Of Day Straddles
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