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Daily Cocoa Option Analysis 
Mon, July 30, 2001
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Month SEP OCT NOV DEC 
Futures Closing Price 9.34 9.24 9.24 9.24 
Days Left 5 40 68 96 
Implied ATM Volatility 32.97% 33.94% 34.19% 32.12% 
Last Trading Date Fri, Aug. 3, 2001 Fri, Sep. 7, 2001 Fri, Oct. 5, 2001 Fri, Nov. 2, 2001 
Historical v. Implied Volatility Graphs Historical Volatility Tables Implied Standard Deviations 
SEP Futures
January 4, 2001  July 30, 2001
Days to Options Expiration v. Futures Price
OCT Futures
January 11, 2001  July 30, 2001
Days to Options Expiration v. Futures Price
NOV Futures
January 11, 2001  July 30, 2001
Days to Options Expiration v. Futures Price
DEC Futures
January 4, 2001  July 30, 2001
Days to Options Expiration v. Futures Price
Historical Volatilities for CA
1Week  2Week  1Month  6Week  2Month  3Month  4Month  6Month  

SEP OCT NOV DEC 
34.28% 39.56% 39.56% 39.56% 
28.45% 32.82% 32.82% 32.82% 
28.27% 31.12% 31.12% 31.12% 
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 CA
1Day  3Day  1Week  2Week  1Month  2Month  3Month  ATM Vol.  

SEP OCT NOV DEC 
.16 .16 .17 .16 
.28 .28 .29 .27 
.43 .43 .44 .41 
.60 .61 .62 .58 
.88 .90 .91 .85 
1.26 1.28 1.29 1.21 
1.54 1.57 1.58 1.48 
32.97% 33.94% 34.19% 32.12% 
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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