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Crude Oil – Options Report – November 30, 2011

November 30 2011, 16:08

Crude Oil – Options Report – November 30, 2011

FMX | Connect (Reported 11/30/2011)

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	100.5	570	590
G12	100.5	1095	1120
H12	100.5	1460	1475
J12	100.5	1710	1740
K12	100.5	1940	1970
N12	100	2125	2155
M12	100	2260	2300
Z12	98	2660	2700
Z13	93.5	2950	3020
Z14	90.5	3130	3230
Z15	90	3340	3440

HO
	Future	Bid	Offer
F12	304	1800	2000
G12	304	2800	3050
H12	304	3700	4000
J12	302	4400	4700
K12	299	4900	5200

RBOB
	Future	Bid	Offer
F12	257	1900	2100
G12	259	2900	3100
H12	260	3800	4100
J12	275	4500	4800
K12	275	5000	5300

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End Of Day Straddles

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Settlements

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