imageCrude Oil – Options Report – October 4, 2011

FMX | Connect (Reported 10/04/2011)

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:

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Volatility Smile:

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***From NYMEX Settlements

 

Heating Oil ATM Volatility Curve:

image

 

 

End of Day Straddles

CL      
  Future Bid Offer
X11 75.5 640 670
Z11 76 1120 1150
F12 76 1440 1470
G12 76.5 1680 1710
H12 76.5 1870 1900
J12 77 2030 2070
M12 77.5 2280 2330
Z12 79 2635 2685
Z13 81.5 2910 2990
Z14 83 3110 3210
Z15 84 3350 3470
       
HO      
  Future Bid Offer
X11 274 1800 2100
Z11 273 2850 3200
F12 272 3650 4000
G12 270 4300 4600
H12 268 4850 5200
       
       
RBOB      
  Future Bid Offer
X11 250 1850 2150
Z11 244 2850 3200
F12 241 3600 4000
G12 240 4200 4550
H12 240 4750 5150

 

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End Of Day Straddles

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Settlements

 

 

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