Natural Gas – Options Report – Aug 9, 2011
FMX | Connect – www.fmxconnect.com - (Reported 8/09/2011)
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 |
| U11 | 400 | 21.5 | 23.0 |
| V11 | 400 | 40.5 | 42.0 |
| X11 | 415 | 51.5 | 53.0 |
| Z11 | 440 | 59.5 | 61.0 |
| F12 | 450 | 68.0 | 70.0 |
| G12 | 450 | 74.0 | 76.0 |
| H12 | 445 | 78.5 | 80.5 |
| J12 | 440 | 76.5 | 78.5 |
| K12 | 445 | 79.5 | 81.5 |
| M12 | 445 | 83.0 | 85.0 |
| N12 | 450 | 87.5 | 89.5 |
| Q12 | 455 | 92.5 | 94.5 |
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