Natural Gas – Options Report – Aug 11, 2011
FMX | Connect – www.fmxconnect.com - (Reported 8/11/2011)
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 | 410 | 20.0 | 21.5 |
| V11 | 415 | 41.0 | 42.5 |
| X11 | 430 | 52.0 | 53.5 |
| Z11 | 450 | 60.5 | 62.0 |
| F12 | 460 | 69.5 | 71.5 |
| G12 | 460 | 75.5 | 77.5 |
| H12 | 455 | 80.5 | 82.5 |
| J12 | 450 | 78.0 | 80.0 |
| K12 | 450 | 80.5 | 82.5 |
| M12 | 455 | 84.5 | 86.5 |
| N12 | 460 | 89.0 | 91.0 |
| Q12 | 460 | 93.5 | 95.5 |
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