Natural Gas – Options Report – April 21, 2011
FMX | Connect – www.fmxconnect.com - (Reported 4/21/2011)
The following is a report of Natural Gas Option’s activity in the Over-The-Counter and Exchange traded venues. Information is compiled and summarized below.
ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlements
NG Straddle Runs
| NG | | | |
| | Future | Bid | Offer |
| K11 | 440 | 10.5 | 12.5 |
| M11 | 445 | 35.0 | 37.0 |
| N11 | 455 | 51.5 | 53.5 |
| Q11 | 460 | 64.0 | 66.0 |
| U11 | 460 | 75.0 | 77.0 |
| V11 | 465 | 87.0 | 89.0 |
| X11 | 480 | 89.5 | 91.5 |
| Z11 | 500 | 92.0 | 94.0 |
| F12 | 510 | 98.0 | 100.0 |
| G12 | 510 | 102.5 | 104.5 |
| H12 | 505 | 106.5 | 108.5 |
| J12 | 490 | 97.5 | 99.5 |
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