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:
Volatility Smile:
***From NYMEX Settlements
Heating Oil ATM Volatility Curve:
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
Trade Blotter
Settlements
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