Cocoa (CA) Option Volatility Analysis

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 Implied Volatility v. 1-Week Historical Volatility
January 4, 2001 - July 30, 2001

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

SEP Futures
January 4, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

OCT Implied Volatility v. 1-Week Historical Volatility
January 11, 2001 - July 30, 2001

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

OCT Futures
January 11, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

NOV Implied Volatility v. 1-Week Historical Volatility
January 11, 2001 - July 30, 2001

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

NOV Futures
January 11, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 1-Week Historical Volatility
January 4, 2001 - July 30, 2001

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

DEC Futures
January 4, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

Historical Volatilities for CA

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

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

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

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

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

SEP - CA Next (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)

9.0
9.5*
10.0

37
8
2

3
24
68

37
8
1

3
24
67

0
0
+1

32.41
33.28
43.23

32.33
33.30
43.45

.84
.34
.09

-.16
-.66
-.91

.00
.00
.00

68
100
35

0.9
1.4
0.8

0
0
0

SEP Fut=9.34 Days=5 atmVol=32.97% IntRate = 5.50%

SEP Volatility Skew
Last Trading Date: August 3, 2001

Strike v. Volatilitywww.pmpublishing.com

OCT - CA Next (NOV) - 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)

7.5
8.0
8.5
9.0*
9.5
10.0
10.5
11.0
11.5
12.0

175
128
87
53
31
16
9
5
3
2

2
5
13
29
57
92
134
180
228
277

175
128
87
54
30
15
7
3
1
---

1
5
13
30
56
91
132
178
226
276

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

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

35.94
33.90
34.17
33.33
34.70
34.70
36.75
38.45
40.61
43.23

37.61
34.85
33.78
33.23
34.80
35.06
36.15
37.88
40.06
42.65

.97
.91
.78
.61
.42
.26
.16
.10
.06
.04

-.04
-.10
-.21
-.38
-.57
-.73
-.84
-.91
-.94
-.97

.00
.01
.01
.01
.01
.01
.01
.01
.00
.00

8
16
28
37
37
30
22
14
9
6

0.1
0.2
0.4
0.5
0.5
0.4
0.3
0.2
0.2
0.1

1
1
0
0
0
0
1
1
1
1

OCT Fut=9.24 Days=40 atmVol=33.94% IntRate = 5.50%

OCT Volatility Skew
Last Trading Date: September 7, 2001

Strike v. Volatilitywww.pmpublishing.com

NOV - CA Next (DEC) - 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)

6.5
7.0
7.5
8.0
8.5
9.0*
9.5
10.0
10.5
11.0
11.5
12.0
12.5
13.0

275
225
177
133
95
65
44
28
18
11
8
5
3
2

2
3
4
10
22
41
70
103
143
186
232
279
327
377

274
224
177
134
97
66
43
26
15
9
5
2
1
1

---
1
4
11
23
42
69
102
140
183
229
277
326
376

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

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

45.90
36.96
33.67
33.00
33.00
33.57
35.00
35.40
36.42
36.87
39.23
39.80
40.07
41.10

44.72
39.63
33.55
33.13
33.34
33.44
35.13
35.11
36.37
37.12
38.51
39.03
38.78
43.28

.97
.97
.93
.86
.74
.60
.45
.33
.23
.15
.11
.07
.05
.03

-.03
-.04
-.06
-.14
-.25
-.40
-.54
-.67
-.76
-.84
-.89
-.93
-.96
-.97

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

4
6
9
17
24
29
28
26
21
16
12
9
6
5

0.1
0.1
0.1
0.2
0.3
0.4
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1

1
2
1
1
1
0
0
1
1
1
2
2
2
1

NOV Fut=9.24 Days=68 atmVol=34.19% IntRate = 5.50%

NOV Volatility Skew
Last Trading Date: October 5, 2001

Strike v. Volatilitywww.pmpublishing.com

DEC - CA Previous (NOV) - 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)

6.5
7.0
7.5
8.0
8.5
9.0*
9.5
10.0
10.5
11.0
11.5
12.0
12.5
13.0
13.5
14.0
14.5

275
226
179
138
101
71
50
35
25
18
13
10
7
5
4
3
2

2
4
7
15
28
47
76
110
150
192
237
283
330
377
427
477
527

274
225
179
137
101
72
49
32
20
12
7
4
2
1
1
---
---

1
2
7
15
28
48
75
107
145
187
231
278
327
376
426
476
526

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

+1
+2
0
0
0
-1
+1
+3
+5
+5
+6
+5
+3
+1
+1
+1
+1

39.89
34.78
31.99
32.57
31.86
31.67
32.76
33.91
35.38
36.77
38.00
39.74
40.30
41.00
42.52
43.37
43.31

37.65
35.49
32.62
32.37
31.99
31.53
32.91
33.80
35.58
36.57
38.09
39.05
39.64
37.69
41.47
45.10
48.58

.97
.95
.91
.82
.72
.59
.46
.35
.27
.20
.15
.12
.09
.06
.05
.04
.03

-.03
-.05
-.09
-.17
-.27
-.40
-.53
-.64
-.72
-.79
-.84
-.88
-.92
-.96
-.96
-.97
-.97

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

4
6
11
16
22
26
25
23
19
16
13
10
8
5
5
4
4

0.1
0.1
0.1
0.2
0.3
0.3
0.3
0.3
0.3
0.2
0.2
0.2
0.1
0.1
0.1
0.1
0.1

1
2
2
1
1
0
0
1
1
2
2
3
3
4
3
2
1

DEC Fut=9.24 Days=96 atmVol=32.12% IntRate = 5.50%

DEC Volatility Skew
Last Trading Date: November 2, 2001

Strike v. Volatilitywww.pmpublishing.com

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