Natural Gas – Options Report – October 3, 2011
FMX | Connect – www.fmxconnect.com - (Reported 10/03/2011)
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 |
| X11 | 360 | 25.0 | 25.3 |
| Z11 | 395 | 37.5 | 39.0 |
| F12 | 410 | 48.0 | 49.5 |
| G12 | 410 | 55.5 | 57.0 |
| H12 | 405 | 60.5 | 62.0 |
| J12 | 405 | 64.5 | 66.0 |
| K12 | 410 | 69.5 | 70.5 |
| M12 | 415 | 74.5 | 75.5 |
| N12 | 420 | 80.5 | 81.5 |
| Q12 | 420 | 86.0 | 87.0 |
| U12 | 420 | 92.5 | 94.0 |
| V12 | 425 | 100.0 | 100.5 |
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