Natural Gas – Options Report – October 14, 2011
FMX | Connect – www.fmxconnect.com - (Reported 10/14/2011)
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 | 370 | 20.0 | 22.0 |
| Z11 | 395 | 36.0 | 38.0 |
| F12 | 410 | 48.0 | 50.0 |
| G12 | 410 | 56.0 | 58.0 |
| H12 | 405 | 62.0 | 64.0 |
| J12 | 405 | 66.0 | 68.0 |
| K12 | 410 | 72.0 | 74.0 |
| M12 | 415 | 76.0 | 78.0 |
| N12 | 415 | 81.0 | 83.0 |
| Q12 | 420 | 90.0 | 92.0 |
| U12 | 420 | 94.0 | 96.0 |
| V12 | 425 | 102.0 | 104.0 |
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