Bean Oil (BO) Option Volatility Analysis

CME

SP ES NK ND ED EY
JY BP AD CD MP SF
LC FC LH LB

CBOT

DJ US TY WT
SB BO SM C

CBOE

SX OX

CSCE

CA CF HS

NYCE

OJ CT

NYMEX

HO CL NG HU

COMEX

GC SI HG

DAILY SUMMARY

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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 Implied Volatility v. 2-Week Historical Volatility
June 17, 2010 - January 15, 2010

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

FEB Futures
June 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

MAR Implied Volatility v. 2-Week Historical Volatility
June 3, 2010 - January 15, 2010

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

MAR Futures
June 3, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

APR Implied Volatility v. 2-Week Historical Volatility
June 17, 2010 - January 15, 2010

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

APR Futures
June 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

MAY Implied Volatility v. 2-Week Historical Volatility
June 9, 2010 - January 15, 2010

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

MAY Futures
June 9, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

JUN Implied Volatility v. 2-Week Historical Volatility
September 17, 2010 - January 15, 2010

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

JUN Futures
September 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

JUL Implied Volatility v. 2-Week Historical Volatility
August 18, 2010 - January 15, 2010

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

JUL Futures
August 18, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

AUG Implied Volatility v. 2-Week Historical Volatility
September 9, 2010 - January 15, 2010

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

AUG Futures
September 9, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 2-Week Historical Volatility
September 9, 2010 - January 15, 2010

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

SEP Futures
September 9, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

OCT Implied Volatility v. 2-Week Historical Volatility
November 12, 2010 - January 15, 2010

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

OCT Futures
November 12, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

NOV Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 2-Week Historical Volatility
December 2, 2010 - January 15, 2010

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

DEC Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for BO

1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month

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

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
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

1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month 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%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	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%

FEB - BO Next (MAR) - 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)

27.0
27.5
28.0
28.5
29.0
29.5
30.0*
32.0

288
239
190
145
103
65
40
5

2
3
4
7
12
26
52
---

287
237
189
143
101
66
39
2

---
1
2
6
14
29
52
214

+1
+2
+1
+2
+2
-1
+1
+3

+2
+2
+2
+1
-2
-3
0
---

31.05
28.99
25.57
25.71
24.69
22.76
23.66
29.27

33.50
30.68
26.88
24.53
21.80
21.64
23.15
----

.98
.96
.94
.87
.77
.64
.46
.08

-.03
-.05
-.07
-.12
-.20
-.36
-.54
*-.92

.00
.00
.01
.01
.01
.02
.02
.01

4
7
10
16
26
35
35
10

0.7
1.0
1.2
1.7
2.1
2.9
3.3
1.4

1
1
1
1
4
2
1
---

FEB Fut=29.87 Days=7 atmVol=23.13% IntRate = 5.50%

FEB Volatility Skew
Last Trading Date: January 23, 2004

Strike v. Volatilitywww.pmpublishing.com

MAR - BO Next (MAY) - Previous (FEB) - 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)

25.0
25.5
26.0
26.5
27.0
27.5
28.0
28.5
29.0
29.5
30.0*
31.0
32.0
34.0

490
441
393
345
302
259
219
183
153
127
105
70
45
22

2
4
6
10
15
22
33
---
67
---
119
---
258
---

488
440
393
348
304
263
225
190
158
129
104
65
38
11

3
5
8
12
19
27
39
53
71
92
117
178
250
422

+2
+1
0
-3
-2
-4
-6
-7
-5
-2
+1
+5
+7
+11

-1
-1
-2
-2
-4
-5
-6
---
-4
---
+2
---
+8
---

31.74
29.87
28.67
26.96
27.72
27.19
26.91
26.95
27.68
28.39
29.14
30.32
31.16
34.93

27.55
28.08
27.37
27.46
27.09
26.75
26.97
----
27.85
----
29.42
----
31.47
----

.96
.95
.94
.92
.88
.84
.78
.72
.64
.57
.50
.37
.26
.14

-.02
-.04
-.05
-.08
-.11
-.16
-.21
*-.28
-.35
*-.43
-.50
*-.63
-.73
*-.86

.01
.01
.01
.01
.02
.02
.03
.03
.04
.04
.04
.04
.03
.02

2
3
4
6
7
9
11
13
14
14
14
13
11
6

0.2
0.4
0.5
0.7
0.9
1.1
1.4
1.6
1.8
2.0
2.1
2.0
1.8
1.3

1
0
0
2
0
0
1
---
1
---
1
---
0
---

MAR Fut=29.87 Days=27 atmVol=28.97% IntRate = 5.50%

MAR Volatility Skew
Last Trading Date: February 20, 2004

Strike v. Volatilitywww.pmpublishing.com

MAY - BO Next (JUL) - Previous (MAR) - 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)

22.0
22.5
23.0
23.5
24.0
24.5
25.0
25.5
26.0
26.5
27.0
27.5
28.0
29.0
29.5*
30.0
31.0
32.0
34.0
36.0

776
---
679
---
584
---
490
442
401
360
325
292
262
212
193
175
141
118
82
57

2
3
5
7
10
13
17
21
30
41
55
72
90
140
---
200
---
---
---
---

774
726
678
631
585
541
498
457
417
379
343
309
278
221
195
172
132
100
54
28

4
6
9
12
16
22
29
37
47
59
72
88
106
148
172
198
257
323
476
648

+2
---
+1
---
-1
---
-8
-15
-16
-19
-18
-17
-16
-9
-2
+3
+9
+18
+28
+29

-2
-3
-4
-5
-6
-9
-12
-16
-17
-18
-17
-16
-16
-8
---
+2
---
---
---
---

32.58
----
30.81
----
29.18
----
27.01
25.28
25.59
25.34
26.02
26.52
27.06
28.47
29.52
30.36
31.37
33.09
35.70
37.73

26.68
26.50
26.92
26.66
26.61
26.10
25.68
24.92
25.38
25.75
26.25
26.82
27.07
28.66
----
30.25
----
----
----
----

.97
*.99
.95
*.96
.93
*.93
.90
.89
.85
.82
.77
.73
.68
.59
.55
.50
.43
.36
.26
.19

-.01
-.02
-.03
-.04
-.05
-.07
-.09
-.11
-.14
-.18
-.22
-.26
-.31
-.40
*-.44
-.48
*-.56
*-.62
*-.73
*-.80

.01
.01
.01
.01
.02
.02
.03
.03
.03
.04
.05
.05
.05
.06
.06
.06
.06
.06
.05
.04

0.8
1
2
2
3
3
4
5
6
6
7
8
8
9
9
8
8
7
6
5

0.1
0.1
0.2
0.2
0.3
0.4
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.2
1.2
1.3
1.3
1.3
1.2
1.1

0
---
0
---
0
---
1
3
3
5
4
4
2
2
---
1
---
---
---
---

MAY Fut=29.74 Days=72 atmVol=29.92% IntRate = 5.50%

MAY Volatility Skew
Last Trading Date: April 23, 2004

Strike v. Volatilitywww.pmpublishing.com

JUL - BO Next (AUG) - 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)

19.0
19.5
21.0
21.5
22.0
22.5
23.0
23.5
24.0
24.5
25.0
25.5
26.0
26.5
27.0
28.0
28.5
29.0
30.0*
31.0
32.0
34.0
36.0
38.0
40.0
42.0

---
---
---
---
---
---
---
---
567
---
483
443
405
370
340
290
267
245
210
180
160
120
95
75
60
45

2
3
4
5
7
9
12
16
20
28
36
47
60
75
95
138
---
---
---
---
400
---
---
915
---
---

1053
1003
854
806
759
713
668
625
583
542
503
465
429
395
363
303
276
251
205
166
133
84
51
30
17
10

2
3
8
11
14
18
24
30
38
47
57
69
82
97
114
153
175
199
251
311
376
523
688
866
1053
1248

---
---
---
---
---
---
---
---
-16
---
-20
-22
-24
-25
-23
-13
-9
-6
+5
+14
+27
+36
+44
+45
+43
+35

0
0
-4
-6
-7
-9
-12
-14
-18
-19
-21
-22
-22
-22
-19
-15
---
---
---
---
+24
---
---
+49
---
---

----
----
----
----
----
----
----
----
24.60
----
24.84
24.82
24.85
25.06
25.72
27.37
27.98
28.45
29.82
30.99
32.77
34.68
37.01
38.82
40.47
41.11

29.36
29.46
25.93
25.31
25.24
24.82
24.65
24.57
24.16
24.63
24.65
24.96
25.27
25.56
26.29
27.14
----
----
----
----
32.41
----
----
39.90
----
----

*1.00
*1.00
*1.00
*1.00
*.98
*.97
*.95
*.93
.91
*.88
.85
.82
.79
.76
.72
.64
.60
.57
.50
.44
.39
.31
.24
.20
.16
.12

-.01
-.01
-.02
-.02
-.03
-.04
-.05
-.07
-.08
-.11
-.13
-.16
-.20
-.23
-.27
-.34
*-.38
*-.42
*-.48
*-.54
-.59
*-.68
*-.74
-.79
*-.84
*-.88

.01
.01
.01
.01
.01
.02
.02
.03
.03
.04
.04
.05
.05
.06
.06
.07
.07
.08
.08
.08
.07
.07
.06
.05
.05
.04

0.4
0.6
0.9
1
1
2
2
3
3
4
4
5
6
6
6
7
7
7
7
6
6
5
4
4
3
3

0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.3
0.3
0.4
0.4
0.5
0.6
0.6
0.7
0.8
0.9
0.9
1.0
1.0
1.0
1.0
1.0
0.9
0.8
0.7

---
---
---
---
---
---
---
---
6
---
6
7
8
8
8
1
---
---
---
---
7
---
---
7
---
---

JUL Fut=29.53 Days=117 atmVol=29.19% IntRate = 5.50%

JUL Volatility Skew
Last Trading Date: June 25, 2004

Strike v. Volatilitywww.pmpublishing.com

AUG - BO Next (SEP) - Previous (JUL) - 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)

18.5
19.0
21.0
21.5
22.0
22.5
23.0
23.5
24.0
24.5
25.0
25.5
27.0
28.0*
30.0
31.0

---
---
---
---
---
---
---
---
---
---
440
403
318
275
210
190

4
7
13
15
17
19
21
27
33
41
51
---
127
---
312
---

1043
993
798
752
708
664
622
581
542
504
468
433
339
285
196
161

3
5
15
19
25
31
39
47
58
69
82
97
150
194
301
363

---
---
---
---
---
---
---
---
---
---
-28
-30
-21
-10
+14
+29

+1
+2
-2
-4
-8
-12
-18
-20
-25
-28
-31
---
-23
---
+11
---

----
----
----
----
----
----
----
----
----
----
24.55
24.56
26.58
28.18
31.14
33.09

30.47
31.71
28.51
27.67
26.73
25.69
24.58
24.52
24.16
24.01
23.96
----
26.34
----
30.79
----

*1.00
*1.00
*.96
*.95
*.94
*.93
*.91
*.89
*.87
*.84
.81
.78
.66
.59
.47
.42

-.02
-.03
-.05
-.06
-.06
-.07
-.08
-.10
-.12
-.15
-.17
*-.21
-.32
*-.39
-.51
*-.56

.01
.01
.02
.02
.03
.03
.03
.04
.04
.05
.05
.06
.07
.08
.08
.08

0.6
0.9
2
2
2
3
3
3
4
5
5
6
6
6
6
6

0.1
0.1
0.2
0.2
0.3
0.3
0.3
0.3
0.4
0.4
0.5
0.5
0.7
0.8
0.9
0.9

---
---
---
---
---
---
---
---
---
---
4
---
2
---
5
---

AUG Fut=28.93 Days=137 atmVol=29.43% IntRate = 5.50%

AUG Volatility Skew
Last Trading Date: July 23, 2004

Strike v. Volatilitywww.pmpublishing.com

SEP - BO Next (OCT) - Previous (AUG) - 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)

18.5
22.0
23.0
24.0
26.0
30.0*

---
---
---
---
347
215

7
21
34
51
---
391

970
653
574
501
373
191

8
45
65
90
158
367

---
---
---
---
-26
+24

-1
-24
-31
-39
---
+24

----
----
----
----
26.92
33.12

29.37
24.20
24.09
23.75
----
33.14

*1.00
*.92
*.87
*.82
.67
.45

-.03
-.08
-.12
-.17
*-.30
-.53

.01
.03
.04
.05
.08
.09

0.9
3
4
5
6
5

0.1
0.2
0.3
0.4
0.6
0.9

---
---
---
---
---
4

SEP Fut=28.20 Days=162 atmVol=30.31% IntRate = 5.50%

SEP Volatility Skew
Last Trading Date: August 27, 2004

Strike v. Volatilitywww.pmpublishing.com

OCT - BO Next (DEC) - Previous (SEP) - 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)

20.5
21.0
23.0
25.0*
40.0

---
---
---
335
77

23
25
63
---
1378

667
626
475
349
16

35
43
89
159
1306

---
---
---
-14
+61

-12
-18
-26
---
+72

----
----
----
27.08
42.81

25.53
24.36
24.65
----
46.73

*.92
*.91
*.80
.66
.17

-.08
-.09
-.19
*-.32
-.79

.03
.04
.06
.08
.06

3
3
5
6
3

0.2
0.2
0.4
0.6
0.8

---
---
---
---
4

OCT Fut=26.95 Days=182 atmVol=28.87% IntRate = 5.50%

OCT Volatility Skew
Last Trading Date: September 24, 2004

Strike v. Volatilitywww.pmpublishing.com

DEC - BO Previous (OCT) - 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)

20.0
20.5
23.0*

---
---
---

16
21
87

623
580
390

25
31
87

---
---
---

-9
-10
0

----
----
----

20.61
20.53
23.07

*.94
*.92
*.74

-.07
-.08
-.23

.03
.04
.07

3
3
5

0.1
0.2
0.4

---
---
---

DEC Fut=26.12 Days=227 atmVol=23.07% IntRate = 5.50%

DEC Volatility Skew
Last Trading Date: November 26, 2004

Strike v. Volatilitywww.pmpublishing.com

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