Natural Gas – Options Report – November 30, 2011
FMX | Connect – www.fmxconnect.com - (Reported 11/30/2011)
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 |
| F12 | 355 | 27.5 | 27.8 |
| G12 | 360 | 39.5 | 41.0 |
| H12 | 360 | 49.5 | 51.0 |
| J12 | 360 | 56.0 | 57.5 |
| K12 | 365 | 61.0 | 63.0 |
| M12 | 370 | 67.0 | 69.0 |
| N12 | 375 | 73.0 | 75.0 |
| Q12 | 380 | 79.0 | 81.0 |
| U12 | 380 | 85.0 | 87.0 |
| V12 | 385 | 91.5 | 93.5 |
| X12 | 395 | 93.5 | 95.5 |
| Z12 | 423 | 96.0 | 98.0 |
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