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Crude Oil – Options Report – November 28, 2011

November 28 2011, 16:03

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:

Volatility Smile:

***From NYMEX Settlements

Heating Oil ATM Volatility Curve:

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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