Natural Gas – Options Report – October 6, 2011
FMX | Connect – www.fmxconnect.com - (Reported 10/06/2011)
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 | 21.0 | 22.5 |
| Z11 | 390 | 34.5 | 36.0 |
| F12 | 410 | 46.5 | 48.0 |
| G12 | 410 | 54.0 | 55.5 |
| H12 | 410 | 60.0 | 61.5 |
| J12 | 405 | 63.0 | 64.5 |
| K12 | 410 | 68.0 | 69.0 |
| M12 | 415 | 73.0 | 75.0 |
| N12 | 420 | 79.0 | 81.0 |
| Q12 | 420 | 84.5 | 86.5 |
| U12 | 420 | 91.5 | 93.5 |
| V12 | 425 | 99.5 | 101.0 |
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