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Natural Gas – Options Report – November 29, 2011

FMX | Connect – www.fmxconnect.com - (Reported 11/29/2011)

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:

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Volatility Smile:

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***From NYMEX Settlements

 

 NG Straddle Runs

NG      
  Future Bid Offer
F12 365 27.5 29.5
G12 365 40.0 42.0
H12 365 49.0 51.0
J12 370 56.0 58.0
K12 370 61.0 63.0
M12 375 67.5 68.0
N12 380 73.5 75.5
Q12 385 79.5 81.5
U12 385 85.5 87.5
V12 390 92.0 94.0

 

 

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