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Daily British Pound Option Analysis - Wed, April 7, 2004
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FREE Email Summaries
Month
MAY
JUN
 Futures
Closing Price
183.050
183.050
 Days Left
23
43
 Implied ATM
Volatility
10.67%
10.43%
 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
February 10, 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 BP
1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month
JUN
 16.53%
 11.86%
 11.52%
 14.46%
 12.09%
 n/a
 n/a
 n/a

Implied Standard Deviations for BP
1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.
MAY
JUN
 1.21
1.18
 2.09
2.05
 3.20
3.13
 4.52
4.42
 6.62
6.47
 9.44
9.23
 11.54
11.28
 10.67%
10.43%

MAY - BP 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)
165
166
167
168
169
170
171
172
174
175
176
177
178
179
180
181
182
183*
184
185
186
187
188
189
190
191
193
194
198
---
1706.0
---
1508.0
---
---
---
---
---
---
738.0
---
---
488.0
414.0
349.0
289.0
232.0
184.0
146.0
116.0
90.0
70.0
54.0
37.0
34.0
22.0
20.0
12.0
2.0
3.0
4.0
5.0
6.0
8.0
11.0
14.0
20.0
26.0
34.0
46.0
66.0
84.0
110.0
144.0
184.0
---
279.0
---
---
---
---
---
---
---
---
---
---
1805.0
1705.0
1605.0
1505.0
1405.0
1305.0
1205.6
1107.2
914.9
821.8
731.4
644.5
561.8
483.9
411.5
345.3
285.6
232.7
186.6
147.3
114.2
87.1
65.2
48.0
34.6
24.5
11.6
7.8
1.3
---
---
---
0.6
1.0
1.8
3.2
5.2
13.1
19.8
29.3
42.1
59.0
80.7
107.9
141.3
181.1
227.7
281.2
341.4
407.9
480.3
558.1
640.4
726.8
816.4
1003.3
1099.5
1495.0
---
+1.0
---
+3.0
---
---
---
---
---
---
+6.6
---
---
+4.1
+2.5
+3.7
+3.4
-0.7
-2.6
-1.3
+1.8
+2.9
+4.8
+6.0
+2.4
+9.5
+10.4
+12.2
+10.7
+1.9
+2.8
+3.7
+4.4
+5.0
+6.2
+7.8
+8.8
+6.9
+6.2
+4.7
+3.9
+7.0
+3.3
+2.1
+2.7
+2.9
---
-2.2
---
---
---
---
---
---
---
---
---
---
----
15.44
----
14.68
----
----
----
----
----
----
11.32
----
----
10.92
10.80
10.86
10.83
10.64
10.55
10.61
10.76
10.84
10.98
11.12
10.88
11.65
12.24
12.86
14.74
14.53
14.51
14.28
13.92
13.47
13.24
13.09
12.76
11.73
11.42
11.14
10.99
11.15
10.87
10.78
10.81
10.81
----
10.57
----
----
----
----
----
----
----
----
----
----
*1.00
.99
*.99
.98
*.98
*.97
*.96
*.95
*.93
*.91
.88
*.85
*.80
.76
.70
.64
.57
.51
.44
.37
.31
.26
.21
.17
.13
.11
.07
.07
.04
-.01
-.01
-.01
-.02
-.02
-.03
-.04
-.05
-.07
-.09
-.11
-.15
-.19
-.24
-.29
-.36
-.42
*-.49
-.56
*-.62
*-.68
*-.74
*-.79
*-.83
*-.87
*-.89
*-.92
*-.93
*-.96
.01
.02
.02
.02
.03
.04
.04
.05
.07
.09
.11
.12
.15
.17
.19
.20
.21
.22
.21
.20
.19
.17
.16
.14
.11
.10
.08
.07
.04
0.3
0.4
0.5
0.6
0.7
0.9
1
1
2
3
3
4
5
5
6
6
7
7
7
7
6
5
5
4
4
3
2
2
1
0.3
0.5
0.6
0.7
0.8
1.0
1.2
1.5
1.8
2.2
2.5
3.0
3.6
4.0
4.4
4.8
5.0
5.0
4.9
4.7
4.5
4.1
3.7
3.3
2.7
2.6
2.0
1.9
1.4
---
2
---
2
---
---
---
---
---
---
1
---
---
1
1
0
0
---
0
---
---
---
---
---
---
---
---
---
---
MAY Fut=183.05 Days=23 atmVol=10.67% IntRate = 6.50%
MAY Volatility Skew
Last Trading Date: May 7, 2004
Strike v. Volatility
www.pmpublishing.com
JUN - BP 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)
158
160
162
164
165
166
167
168
170
172
173
174
175
176
177
178
179
180
182
183*
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
200
201
202
204
2505.0
2305.0
2106.0
1908.0
---
1712.0
1613.0
1516.0
1322.0
1134.0
---
953.0
865.0
779.0
698.0
622.0
549.0
480.0
361.0
309.0
263.0
221.0
185.0
153.0
126.0
104.0
85.0
70.0
57.0
46.0
37.0
31.0
27.0
23.0
20.0
16.0
14.0
13.0
10.0
2.0
3.0
4.0
6.0
8.0
10.0
11.0
14.0
20.0
32.0
40.0
50.0
62.0
76.0
95.0
118.0
145.0
176.0
256.0
304.0
358.0
415.0
479.0
547.0
620.0
697.0
778.0
---
---
1038.0
---
---
---
---
---
---
---
---
---
2505.0
2305.0
2105.0
1905.0
1805.0
1705.0
1605.0
1505.6
1310.5
1121.5
1030.0
940.9
854.7
771.6
692.1
616.6
545.5
478.9
360.5
309.0
262.5
221.1
184.5
152.6
125.0
101.5
81.5
64.9
51.2
39.9
30.9
23.6
17.9
13.4
10.0
5.3
3.9
2.8
1.4
---
---
---
1.1
1.7
2.6
4.0
5.8
12.1
23.4
31.7
42.3
55.6
71.9
91.8
115.7
143.7
176.4
256.4
304.0
356.7
414.5
477.1
544.4
616.1
691.8
771.2
854.0
939.7
1028.1
1118.7
1211.3
1305.5
1401.3
1498.2
1695.2
1795.0
1895.0
2095.0
0.0
0.0
+1.0
+3.0
---
+7.0
+8.0
+10.4
+11.5
+12.5
---
+12.1
+10.3
+7.4
+5.9
+5.4
+3.5
+1.1
+0.5
0.0
+0.5
-0.1
+0.5
+0.4
+1.0
+2.5
+3.5
+5.1
+5.8
+6.1
+6.1
+7.4
+9.1
+9.6
+10.0
+10.7
+10.1
+10.2
+8.6
+1.9
+2.8
+3.6
+4.9
+6.3
+7.4
+7.0
+8.2
+7.9
+8.6
+8.3
+7.7
+6.4
+4.1
+3.2
+2.3
+1.3
-0.4
-0.4
0.0
+1.3
+0.5
+1.9
+2.6
+3.9
+5.2
+6.8
---
---
+9.9
---
---
---
---
---
---
---
---
---
----
----
14.95
14.29
----
13.76
13.19
12.91
12.11
11.64
----
11.26
11.05
10.82
10.71
10.66
10.57
10.47
10.45
10.43
10.45
10.43
10.45
10.45
10.47
10.55
10.60
10.71
10.79
10.86
10.93
11.12
11.42
11.64
11.90
12.53
12.78
13.15
13.61
14.50
14.06
13.40
12.94
12.89
12.71
12.25
12.11
11.54
11.26
11.10
10.97
10.82
10.65
10.58
10.53
10.48
10.42
10.42
10.43
10.48
10.45
10.50
10.53
10.59
10.66
10.76
----
----
11.13
----
----
----
----
----
----
----
----
----
*1.00
*1.00
.99
.98
*.99
.97
.96
.95
.94
.91
*.90
.87
.84
.82
.78
.74
.70
.66
.56
.51
.46
.41
.36
.31
.27
.23
.20
.17
.14
.12
.10
.08
.07
.06
.05
.04
.04
.03
.03
-.01
-.01
-.01
-.02
-.02
-.03
-.03
-.04
-.05
-.08
-.10
-.12
-.15
-.17
-.21
-.25
-.29
-.33
-.43
-.48
-.54
-.59
-.63
-.68
-.72
-.76
-.79
*-.83
*-.85
-.87
*-.90
*-.91
*-.93
*-.94
*-.95
*-.96
*-.97
*-.97
*-.98
.01
.02
.02
.03
.04
.05
.05
.07
.09
.12
.13
.15
.17
.19
.21
.23
.25
.27
.29
.29
.29
.29
.28
.26
.25
.23
.21
.19
.17
.15
.13
.11
.10
.09
.08
.07
.06
.06
.05
0.1
0.2
0.3
0.4
0.5
0.7
0.8
0.9
1
2
2
2
3
3
4
4
4
5
5
5
5
5
5
5
4
4
4
3
3
2
2
2
2
1
1
1.0
0.9
0.8
0.6
0.2
0.3
0.3
0.5
0.6
0.7
0.7
0.9
1.1
1.5
1.7
1.9
2.1
2.3
2.6
2.9
3.1
3.2
3.5
3.5
3.5
3.5
3.4
3.2
3.0
2.8
2.6
2.3
2.1
2.0
1.6
1.5
1.3
1.2
1.1
1.0
0.9
0.8
0.7
2
3
3
3
---
3
3
3
3
3
---
2
2
2
2
1
1
1
0
0
0
1
1
1
1
2
2
---
---
3
---
---
---
---
---
---
---
---
---
JUN Fut=183.05 Days=43 atmVol=10.43% IntRate = 6.50%
JUN Volatility Skew
Last Trading Date: June 4, 2004
Strike v. Volatility
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