image Crude Oil – Options Report – October 3, 2011

FMX | Connect (Reported 10/03/2011)

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:

image

 

Volatility Smile:

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***From NYMEX Settlements

 

Heating Oil ATM Volatility Curve:

image

 

 

End of Day Straddles

CL      
  Future Bid Offer
X11 77.5 655 675
Z11 78 1125 1145
F12 78 1440 1465
G12 78 1670 1700
H12 78.5 1870 1900
J12 79 2015 2045
M12 79.5 2270 2300
Z12 81 2610 2660
Z13 83 2900 2960
Z14 84 3100 3180
Z15 85.5 3310 3410
       
HO      
  Future Bid Offer
X11 274 1800 2100
Z11 274 2900 3200
F12 274 3700 4000
G12 272 4300 4600
H12 270 4900 5200
       
       
RBOB      
  Future Bid Offer
X11 250 1950 2150
Z11 245 2900 3200
F12 243 3700 4000
G12 242 4250 4550
H12 242 4850 5150

 

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End Of Day Straddles

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