image Crude Oil – Options Report – November 28, 2011

FMX | Connect (Reported 11/28/2011)

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:

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***From NYMEX Settlements

 

Heating Oil ATM Volatility Curve:

image

 

 

End of Day Straddles

CL      
  Future Bid Offer
F12 98 670 690
G12 98 1160 1185
H12 98.5 1515 1540
J12 98.5 1760 1790
K12 98 1985 2015
N12 98 2160 2190
M12 98 2285 2325
Z12 96.5 2680 2720
Z13 92.5 2980 3050
Z14 90 3150 3250
Z15 89.5 3350 3470
       
HO      
  Future Bid Offer
F12 299 1900 2200
G12 299 2900 3200
H12 298 3700 4000
J12 296 4500 4800
K12 293 4900 5300
       
RBOB      
  Future Bid Offer
F12 251 2000 2200
G12 252 3000 3300
H12 254 3800 4100
J12 268 4600 4900
K12 268 5000 5300

 

 

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End Of Day Straddles

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