Oil Well Crude Oil – Options Report – October 5, 2011

FMX | Connect (Reported 10/05/2011)

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:

image

***From NYMEX Settlements

 

Heating Oil ATM Volatility Curve:

image

 

 

End of Day Straddles

CL      
  Future Bid Offer
X11 79.5 575 595
Z11 79.5 1075 1095
F12 79.5 1410 1430
G12 80 1665 1690
H12 80 1875 1900
J12 80 2045 2080
M12 80.5 2290 2340
Z12 82 2640 2680
Z13 84.5 2920 2980
Z14 85.5 3130 3230
Z15 86.5 3330 3450
       
HO      
  Future Bid Offer
X11 276 1700 2000
Z11 276 2750 3000
F12 276 3550 3800
G12 275 4200 4500
H12 273 4800 5100
       
       
RBOB      
  Future Bid Offer
X11 256 1750 1950
Z11 250 2750 2950
F12 247 3575 3800
G12 246 4200 4500
H12 246 4750 5150

 

 

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End Of Day Straddles

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