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Daily Canadian Dollar Option Analysis - Wed, April 7, 2004
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Month
MAY
JUN
 Futures
Closing Price
76.180
76.180
 Days Left
23
43
 Implied ATM
Volatility
8.93%
8.95%
 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
March 3, 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 CD
1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month
JUN
 5.56%
 12.13%
 10.41%
 9.53%
 10.29%
 n/a
 n/a
 n/a

Implied Standard Deviations for CD
1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.
MAY
JUN
 .42
.42
 .73
.73
 1.11
1.12
 1.57
1.58
 2.31
2.31
 3.29
3.30
 4.02
4.03
 8.93%
8.95%

MAY - CD 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)
71.0
72.0
73.0
73.5
74.0
75.0
75.5
76.0*
77.0
77.5
78.0
79.0
79.5
---
---
---
---
---
154.0
119.0
89.0
48.0
34.0
25.0
13.0
9.0
3.0
5.0
9.0
12.0
18.0
36.0
51.0
71.0
---
---
---
---
---
518.0
418.3
321.4
275.0
230.8
151.7
118.2
89.3
46.3
31.6
20.8
8.0
4.7
---
1.2
4.5
8.0
13.7
34.2
50.5
71.4
127.9
163.0
202.0
288.9
335.5
---
---
---
---
---
+2.3
+0.8
-0.3
+1.7
+2.4
+4.2
+5.0
+4.3
+2.8
+3.8
+4.5
+4.0
+4.3
+1.8
+0.5
-0.4
---
---
---
---
---
----
----
----
----
----
9.23
9.03
8.89
9.14
9.25
9.60
10.18
10.36
12.48
11.43
10.47
9.94
9.77
9.16
8.99
8.88
----
----
----
----
----
*.97
*.95
*.92
*.89
*.84
.72
.63
.54
.35
.27
.21
.12
.08
-.03
-.05
-.08
-.11
-.15
-.28
-.36
-.46
*-.65
*-.73
*-.79
*-.88
*-.91
.01
.02
.03
.04
.05
.08
.08
.09
.08
.07
.06
.04
.04
2
4
6
8
11
16
18
20
18
16
13
9
7
0.4
0.5
0.8
0.9
1.1
1.5
1.7
1.7
1.7
1.5
1.3
1.0
0.8
---
---
---
---
---
0
0
0
---
---
---
---
---
MAY Fut=76.18 Days=23 atmVol=8.93% IntRate = 6.50%
MAY Volatility Skew
Last Trading Date: May 7, 2004
Strike v. Volatility
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JUN - CD 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)
70.0
70.5
71.0
71.5
72.0
72.5
73.0
73.5
74.0
74.5
75.0
75.5
76.0*
76.5
77.0
77.5
78.0
78.5
79.0
80.0
81.0
82.0
83.0
83.5
84.0
622.0
573.0
525.0
477.0
430.0
384.0
338.0
---
254.0
217.0
181.0
148.0
119.0
94.0
75.0
60.0
47.0
36.0
28.0
18.0
11.0
7.0
4.5
3.5
3.0
5.0
6.0
8.0
10.0
13.0
17.0
21.0
28.0
37.0
49.0
63.0
80.0
101.0
126.0
157.0
192.0
229.0
---
---
---
---
588.0
---
---
---
618.0
568.0
518.6
470.0
422.5
376.3
331.7
289.1
248.9
211.4
177.1
146.0
118.5
94.6
74.2
57.1
43.2
32.0
23.3
11.6
5.3
2.3
0.9
0.5
---
0.9
1.6
2.7
4.4
6.9
10.7
15.9
23.1
32.6
44.8
60.0
78.6
100.7
126.3
155.5
188.0
223.7
262.2
303.2
391.1
484.8
582.2
682.0
732.0
782.0
+4.0
+5.0
+6.4
+7.0
+7.5
+7.7
+6.3
---
+5.1
+5.6
+3.9
+2.0
+0.5
-0.6
+0.8
+2.9
+3.8
+4.0
+4.7
+6.4
+5.7
+4.7
+3.6
+3.0
+2.7
+4.1
+4.4
+5.3
+5.6
+6.1
+6.3
+5.1
+4.9
+4.4
+4.2
+3.0
+1.4
+0.3
-0.3
+1.5
+4.0
+5.3
---
---
---
---
+5.8
---
---
---
12.53
11.95
11.60
11.12
10.76
10.43
9.95
----
9.53
9.50
9.31
9.12
8.99
8.91
9.02
9.21
9.33
9.40
9.56
10.09
10.46
10.92
11.37
11.53
11.86
11.64
11.21
11.00
10.65
10.39
10.15
9.75
9.60
9.45
9.37
9.22
9.07
8.98
8.93
9.08
9.31
9.47
----
----
----
----
11.62
----
----
----
.96
.95
.94
.92
.90
.88
.86
*.82
.77
.72
.66
.60
.53
.46
.39
.33
.27
.22
.18
.12
.08
.05
.03
.03
.02
-.03
-.04
-.05
-.07
-.09
-.11
-.14
-.17
-.22
-.27
-.33
-.39
-.46
-.53
-.60
-.66
-.72
*-.77
*-.82
*-.88
*-.92
-.94
*-.97
*-.98
*-.99
.03
.03
.04
.04
.05
.06
.07
.08
.09
.10
.11
.12
.12
.12
.12
.11
.10
.09
.08
.06
.04
.03
.02
.02
.02
2
3
3
4
5
6
7
9
10
11
13
14
14
14
14
12
11
10
9
6
4
3
2
2
1
0.3
0.4
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.2
1.3
1.3
1.2
1.2
1.1
1.0
0.9
0.7
0.5
0.5
0.3
0.2
0.2
1
1
1
1
1
1
1
---
1
0
0
0
0
0
0
0
0
---
---
---
---
1
---
---
---
JUN Fut=76.18 Days=43 atmVol=8.95% IntRate = 6.50%
JUN Volatility Skew
Last Trading Date: June 4, 2004
Strike v. Volatility
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