Natural Gas – Options Report – September 22, 2011
FMX | Connect – www.fmxconnect.com - (Reported 9/22/2011)
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 |
| V11 | 370 | 8.5 | 10.0 |
| X11 | 380 | 29.5 | 31.0 |
| Z11 | 405 | 40.5 | 42.0 |
| F12 | 420 | 50.5 | 52.5 |
| G12 | 420 | 58.0 | 60.0 |
| H12 | 420 | 63.0 | 65.0 |
| J12 | 415 | 65.0 | 67.0 |
| K12 | 420 | 69.0 | 71.0 |
| M12 | 425 | 74.0 | 76.0 |
| N12 | 430 | 79.5 | 80.0 |
| Q12 | 430 | 84.0 | 86.0 |
| U12 | 430 | 90.0 | 92.0 |
| V12 | 435 | 97.5 | 98.0 |
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