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Daily Australian Dollar Option Analysis - Wed, April 7, 2004
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Month
MAY
JUN
 Futures
Closing Price
76.00
76.00
 Days Left
23
43
 Implied ATM
Volatility
12.18%
12.17%
 Last Trading Date
Fri, May 7, 2004
Fri, Jun. 4, 2004
ArrowHistorical v. Implied Volatility Graphs
ArrowHistorical Volatility Tables
ArrowImplied Standard Deviations

MAY Implied Volatility v. 1-Month Historical Volatility
March 1, 2010 - April 7, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

JUN Implied Volatility v. 1-Month Historical Volatility
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

JUN Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for AD
1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month
JUN
 18.06%
 12.05%
 13.41%
 17.89%
 16.09%
 n/a
 n/a
 n/a

Implied Standard Deviations for AD
1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.
MAY
JUN
 .57
.57
 .99
.99
 1.52
1.51
 2.14
2.14
 3.14
3.14
 4.47
4.47
 5.47
5.46
 12.18%
12.17%

MAY - AD Next (JUN) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
70.5
72.0
73.0
74.0
75.0
75.5
76.0*
77.5
78.0
79.0
81.5
---
---
---
238
166
135
108
53
41
25
8
6
11
22
38
66
85
108
---
---
---
---
551
406
317
235
165
135
109
51
38
20
3
2
8
18
36
66
86
109
201
237
319
551
---
---
---
+3
+1
0
-1
+2
+3
+5
+5
+4
+3
+4
+2
0
-1
-1
---
---
---
---
----
----
----
12.58
12.26
12.13
12.06
12.40
12.55
13.06
14.73
14.94
13.18
13.02
12.45
12.20
12.10
12.06
----
----
----
----
*.96
*.92
*.85
.77
.65
.58
.50
.30
.25
.16
.06
-.04
-.08
-.14
-.23
-.35
-.42
-.49
*-.69
*-.75
*-.83
*-.94
.02
.03
.05
.07
.08
.09
.09
.08
.07
.06
.03
3
5
8
11
13
14
15
12
11
8
3
0.7
1.0
1.4
1.8
2.2
2.3
2.4
2.1
1.9
1.6
0.8
---
---
---
0
0
0
0
---
---
---
---
MAY Fut=76.00 Days=23 atmVol=12.18% IntRate = 6.50%
MAY Volatility Skew
Last Trading Date: May 7, 2004
Strike v. Volatility
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JUN - AD Previous (MAY) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
68.0
69.0
70.0
71.0
72.0
72.5
73.0
74.0
74.5
75.0
75.5
76.0*
76.5
77.0
77.5
78.0
78.5
79.0
79.5
80.0
80.5
81.0
81.5
82.0
82.5
83.0
85.0
---
707
613
519
429
---
345
268
235
203
174
148
126
107
89
74
61
51
42
34
28
23
19
16
13
11
2
6
9
14
20
30
37
46
69
85
103
124
148
176
207
239
273
---
350
---
---
---
---
---
615
---
---
---
800
701
604
511
422
380
340
267
233
202
174
148
125
105
87
72
58
47
37
30
23
18
14
10
8
6
2
1
3
7
14
25
33
43
68
84
103
125
148
175
204
236
270
306
345
385
427
470
514
560
607
654
702
900
---
+6
+9
+8
+7
---
+5
+1
+2
+1
0
0
+1
+2
+2
+2
+3
+4
+5
+4
+5
+5
+5
+6
+5
+5
0
+5
+6
+7
+6
+5
+4
+3
+1
+1
0
-1
0
+1
+3
+3
+3
---
+5
---
---
---
---
---
+8
---
---
---
----
15.18
14.77
13.85
13.17
----
12.71
12.30
12.33
12.22
12.16
12.13
12.21
12.33
12.33
12.39
12.44
12.61
12.71
12.76
12.91
13.05
13.22
13.46
13.58
13.82
12.54
15.09
14.53
14.10
13.40
12.89
12.69
12.55
12.25
12.22
12.15
12.13
12.13
12.25
12.40
12.44
12.45
----
12.75
----
----
----
----
----
14.05
----
----
----
*.97
.95
.92
.89
.85
*.82
.79
.71
.66
.61
.56
.51
.45
.40
.35
.31
.27
.23
.20
.17
.14
.12
.10
.09
.07
.06
.01
-.03
-.05
-.07
-.10
-.14
-.17
-.21
-.28
-.33
-.38
-.43
-.49
-.54
-.59
-.64
-.68
*-.73
-.76
*-.80
*-.83
*-.85
*-.88
*-.90
-.90
*-.93
*-.94
*-1.00
.02
.03
.04
.06
.07
.08
.09
.10
.11
.12
.12
.12
.12
.12
.11
.11
.10
.09
.09
.08
.07
.06
.05
.05
.04
.04
.01
2
2
3
4
6
6
7
9
10
10
10
11
10
10
10
9
9
8
7
6
6
5
4
4
3
3
1.0
0.4
0.5
0.7
0.8
1.0
1.2
1.3
1.5
1.6
1.6
1.7
1.7
1.7
1.7
1.6
1.6
1.5
1.4
1.3
1.1
1.0
0.9
0.8
0.8
0.7
0.6
0.2
---
2
1
1
1
---
1
1
0
0
0
0
0
0
0
1
---
1
---
---
---
---
---
1
---
---
---
JUN Fut=76.00 Days=43 atmVol=12.17% IntRate = 6.50%
JUN Volatility Skew
Last Trading Date: June 4, 2004
Strike v. Volatility
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