Crude Oil – Options Report – October 14, 2011
FMX | Connect (Reported 10/14/2011)
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:
Volatility Smile:
***From NYMEX Settlements
Heating Oil ATM Volatility Curve:
End of Day Straddles
| CL | | | |
| | Future | Bid | Offer |
| X11 | 87 | 135 | 160 |
| Z11 | 87 | 860 | 880 |
| F12 | 87 | 1225 | 1245 |
| G12 | 87.5 | 1490 | 1520 |
| H12 | 87.5 | 1730 | 1760 |
| J12 | 87.5 | 1915 | 1945 |
| M12 | 87.5 | 2240 | 2280 |
| Z12 | 88.5 | 2655 | 2705 |
| Z13 | 89 | 2930 | 2990 |
| Z14 | 89.5 | 3150 | 3230 |
| Z15 | 90 | 3340 | 3440 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| X11 | 306 | 1200 | 1500 |
| Z11 | 305 | 2300 | 2600 |
| F12 | 304 | 3100 | 3400 |
| G12 | 301 | 3950 | 4250 |
| H12 | 298 | 4550 | 5000 |
| | | | |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| X11 | 282 | 1200 | 1500 |
| Z11 | 277 | 2300 | 2600 |
| F12 | 273 | 3100 | 3450 |
| G12 | 272 | 3900 | 4200 |
| H12 | 272 | 4500 | 4900 |
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End Of Day Straddles
Trade Blotter
Settlements
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