Crude Oil – Options Report – November 24, 2010
FMX | Connect (Reported 11/24/10)
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 | 84 | 460 | 470 |
| G1 | 84.5 | 760 | 780 |
| H1 | 85 | 1005 | 1020 |
| J1 | 85.5 | 1185 | 1205 |
| K1 | 85.5 | 1340 | 1360 |
| M1 | 86 | 1495 | 1515 |
| N1 | 86 | 1625 | 1650 |
| U1 | 86.5 | 1845 | 1875 |
| Z1 | 87 | 2100 | 2125 |
| Z2 | 88 | 2615 | 2665 |
| Z3 | 88 | 2910 | 2970 |
| Z4 | 88 | 3165 | 3225 |
| Z5 | 88.5 | 3400 | 3500 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| Z10 | 233 | 1550 | 1750 |
| F11 | 234 | 2250 | 2450 |
| G11 | 234 | 2750 | 3000 |
| H11 | 233 | 3200 | 3500 |
| J11 | 231 | 3600 | 3800 |
| | | | |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| Z10 | 215 | 1525 | 1725 |
| F11 | 215 | 2175 | 2375 |
| G11 | 217 | 2700 | 2950 |
| H11 | 227 | 3200 | 3500 |
| J11 | 228 | 3600 | 3900 |
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End Of Day Straddles
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