Natural Gas – Options Report – October 4, 2011
FMX | Connect – www.fmxconnect.com - (Reported 10/04/2011)
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 | 365 | 24.3 | 25.0 |
| Z11 | 395 | 36.0 | 37.0 |
| F12 | 410 | 47.0 | 48.5 |
| G12 | 415 | 55.0 | 56.5 |
| H12 | 410 | 60.0 | 61.5 |
| J12 | 410 | 63.5 | 64.5 |
| K12 | 410 | 68.3 | 69.3 |
| M12 | 415 | 73.3 | 74.0 |
| N12 | 420 | 79.3 | 80.0 |
| Q12 | 420 | 84.5 | 85.5 |
| U12 | 420 | 91.5 | 92.5 |
| V12 | 425 | 99.0 | 100.0 |
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