Crude Oil – Options Report – September 22, 2011
FMX | Connect (Reported 9/22/2011)
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:
Volatility Smile:
***From NYMEX Settlements
Heating Oil ATM Volatility Curve:
End of Day Straddles
| CL | | | |
| | Future | Bid | Offer |
| X11 | 80.5 | 820 | 850 |
| Z11 | 80.5 | 1210 | 1240 |
| F12 | 81 | 1485 | 1525 |
| G12 | 81 | 1695 | 1735 |
| H12 | 81.5 | 1875 | 1905 |
| J12 | 81.5 | 2020 | 2070 |
| M12 | 82.5 | 2240 | 2300 |
| Z12 | 84 | 2590 | 2660 |
| Z13 | 85 | 2880 | 2960 |
| Z14 | 85.5 | 3080 | 3180 |
| Z15 | 86 | 3300 | 3420 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V11 | 284 | 600 | 900 |
| X11 | 285 | 2450 | 2800 |
| Z11 | 286 | 3500 | 3900 |
| F12 | 286 | 4300 | 4700 |
| G12 | 286 | 4900 | 530 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V11 | 256 | 650 | 950 |
| X11 | 254 | 2400 | 2800 |
| Z11 | 253 | 3400 | 3800 |
| F12 | 252 | 4050 | 4450 |
| G12 | 253 | 4600 | 5000 |
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End Of Day Straddles
Trade Blotter
Settlements
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