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Daily Bean Oil Option Analysis 
Thu, January 15, 2004
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Month FEB MAR MAY JUL AUG SEP OCT DEC 
Futures Closing Price 29.87 29.87 29.74 29.53 28.93 28.20 26.95 26.12 
Days Left 7 27 72 117 137 162 182 227 
Implied ATM Volatility 23.13% 28.97% 29.92% 29.19% 29.43% 30.31% 28.87% 23.07% 
Last Trading Date Fri, Jan. 23, 2004 Fri, Feb. 20, 2004 Fri, Apr. 23, 2004 Fri, Jun. 25, 2004 Fri, Jul. 23, 2004 Fri, Aug. 27, 2004 Fri, Sep. 24, 2004 Fri, Nov. 26, 2004 
Historical v. Implied Volatility Graphs Historical Volatility Tables Implied Standard Deviations 
FEB Futures
June 17, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
MAR Futures
June 3, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
APR Futures
June 17, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
MAY Futures
June 9, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
JUN Futures
September 17, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
JUL Futures
August 18, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
AUG Futures
September 9, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
SEP Futures
September 9, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
OCT Futures
November 12, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
DEC Futures
December 2, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
Historical Volatilities for BO
1Week  2Week  1Month  6Week  2Month  3Month  4Month  6Month  

FEB MAR APR MAY JUN JUL AUG SEP 
28.40% 28.40% 29.61% 29.61% 30.36% 30.36% 29.95% 29.91% 
26.74% 26.74% 27.87% 27.87% 28.41% 28.41% 28.09% n/a 
27.60% 27.60% 27.46% 27.46% n/a n/a n/a n/a 
n/a n/a n/a n/a n/a n/a n/a n/a 
n/a n/a n/a n/a n/a n/a n/a n/a 
n/a n/a n/a n/a n/a n/a n/a n/a 
n/a n/a n/a n/a n/a n/a n/a n/a 
n/a n/a n/a n/a n/a n/a n/a n/a 
Implied Standard Deviations for BO
1Day  3Day  1Week  2Week  1Month  2Month  3Month  ATM Vol.  

FEB MAR MAY JUL AUG SEP OCT DEC 
.43 .54 .55 .53 .53 .53 .48 .37 
.74 .93 .95 .92 .91 .92 .83 .65 
1.13 1.42 1.46 1.41 1.39 1.40 1.27 .99 
1.60 2.00 2.06 2.00 1.97 1.98 1.80 1.40 
2.34 2.93 3.02 2.92 2.89 2.90 2.64 2.04 
3.34 4.18 4.30 4.17 4.12 4.13 3.76 2.91 
4.08 5.11 5.25 5.09 5.03 5.05 4.59 3.56 
23.13% 28.97% 29.92% 29.19% 29.43% 30.31% 28.87% 23.07% 
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)  
















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)  
















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)  
















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)  
















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)  
















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)  
















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)  
















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)  
















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