Oil Well Crude Oil Options Report – April 21, 2011

FMX | Connect (Reported 4/21/2011)

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:

image

 

Volatility Smile:

image

***From NYMEX Settlements

 

Heating Oil ATM Volatility Curve:

image

 

 

End of Day Straddles

CL      
  Future Bid Offer
M1 112 630 640
N1 112.5 950 970
Q1 113 1210 1230
U1 113 1455 1475
V1 113 1640 1665
X1 113 1820 1945
Z1 113 1970 2000
M2 111.5 2510 2560
Z2 109.5 2800 2870
Z3 106.5 3120 3200
Z4 104.5 3350 3540
Z5 104 3560 3660
       
       
HO      
  Future Bid Offer
K1 219 425 625
M1 321 1625 1825
N1 323 2550 2750
Q1 324 3250 3450
U11 326 3950 4200
       
RBOB      
  Future Bid Offer
K1 329 425 625
M1 325 1700 1900
N1 322 2600 2800
Q1 320 3300 3500
U11 317 4000 4200

 

 

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End Of Day Straddles

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