Coffee (CF) Option Volatility Analysis

Daily Coffee Option Analysis - Mon, July 30, 2001
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Month
SEP
OCT
NOV
DEC
Futures
Closing Price
51.85
55.50
55.50
55.50
Days Left
12
47
75
103
Implied ATM
Volatility
38.87%
39.11%
37.40%
41.11%
Last Trading Date
Fri, Aug. 10, 2001
Fri, Sep. 14, 2001
Fri, Oct. 12, 2001
Fri, Nov. 9, 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 CF

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

SEP
OCT
NOV
DEC
63.22%
60.59%
60.59%
60.59%
54.53%
52.39%
52.39%
52.39%
50.34%
48.25%
48.25%
48.25%
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	63.22% 60.59% 60.59% 60.59%	54.53% 52.39% 52.39% 52.39%	50.34% 48.25% 48.25% 48.25%	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 CF

1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.

SEP
OCT
NOV
DEC
1.05
1.14
1.09
1.19
1.83
1.97
1.88
2.07
2.79
3.01
2.87
3.16
3.95
4.25
4.07
4.47
5.78
6.22
5.95
6.54
8.24
8.87
8.49
9.33
10.06
10.84
10.37
11.39
38.87%
39.11%
37.40%
41.11%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
SEP OCT NOV DEC	1.05 1.14 1.09 1.19	1.83 1.97 1.88 2.07	2.79 3.01 2.87 3.16	3.95 4.25 4.07 4.47	5.78 6.22 5.95 6.54	8.24 8.87 8.49 9.33	10.06 10.84 10.37 11.39	38.87% 39.11% 37.40% 41.11%

SEP - CF 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)

40.0
42.5
45.0
47.5
50.0
52.5*
55.0
57.5
60.0
62.5
65.0
67.5
70.0

1186
937
689
449
250
120
56
35
20
15
12
10
9

2
3
5
15
60
185
371
599
840
1079
1325
1573
1822

1185
935
687
452
254
116
42
12
3
---
---
---
---

---
---
3
18
69
181
357
576
817
1065
1315
1565
1815

+1
+2
+2
-3
-4
+4
+14
+23
+17
+15
+12
+10
+9

+2
+3
+2
-3
-9
+4
+14
+23
+23
+14
+10
+8
+7

----
52.49
42.52
36.79
37.67
39.88
43.72
51.79
56.65
64.03
71.13
77.88
84.95

62.74
52.57
42.79
37.04
36.00
39.90
43.89
51.71
60.58
64.38
70.71
----
----

*.99
.98
.97
.91
.71
.45
.24
.15
.09
.06
.05
.04
.03

-.01
-.02
-.03
-.09
-.28
-.55
-.76
-.85
-.90
-.94
-.96
*-.96
*-.97

.00
.00
.01
.02
.03
.04
.03
.02
.02
.01
.01
.01
.01

0.4
0.8
2
5
10
11
8
5
3
2
1
1
0.9

0.6
0.8
1.1
2.3
4.8
6.3
5.4
4.6
4.1
3.0
2.5
2.3
2.2

1
1
1
1
5
0
0
1
5
1
2
2
2

SEP Fut=51.85 Days=12 atmVol=38.87% IntRate = 5.50%

SEP Volatility Skew
Last Trading Date: August 10, 2001

Strike v. Volatilitywww.pmpublishing.com

OCT - CF 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)

37.5
40.0
42.5
45.0
47.5
50.0
52.5
55.0*
57.5
60.0
62.5
65.0
67.5
70.0
72.5
75.0
77.5
80.0
82.5
85.0
87.5
90.0
92.5
95.0
97.5
100.0

1801
1551
1304
1067
840
627
460
330
237
170
128
100
79
65
52
43
36
31
27
24
21
19
18
17
16
15

2
5
11
22
44
80
162
280
436
618
825
1045
1273
1508
1744
1983
2225
2469
2713
2959
3205
3452
3701
3951
4201
4451

1800
1550
1303
1066
844
644
473
333
225
146
91
55
32
18
10
5
3
1
1
---
---
---
---
---
---
---

---
2
7
21
48
97
174
283
424
593
787
1000
1226
1462
1704
1951
2200
2450
2700
2950
3200
3450
3700
3950
4200
4450

+1
+1
+1
+1
-4
-17
-13
-3
+12
+24
+37
+45
+47
+47
+42
+38
+33
+30
+26
+24
+21
+19
+18
+17
+16
+15

+2
+3
+4
+1
-4
-17
-12
-3
+12
+25
+38
+45
+47
+46
+40
+32
+25
+19
+13
+9
+5
+2
+1
+1
+1
+1

52.24
43.93
39.96
39.52
38.02
35.97
37.31
38.76
40.69
42.53
45.17
48.03
50.61
53.42
55.46
57.69
59.83
62.09
64.27
66.51
68.38
70.49
72.99
75.33
77.49
79.49

45.47
43.82
41.88
39.67
38.02
35.98
37.35
38.72
40.70
42.60
45.30
48.03
50.62
53.44
55.45
57.27
59.19
61.16
62.34
----
----
----
----
----
----
----

.99
.99
.98
.94
.88
.81
.68
.55
.43
.33
.26
.20
.16
.13
.11
.09
.07
.06
.05
.05
.04
.04
.03
.03
.03
.03

-.01
-.02
-.03
-.06
-.11
-.19
-.31
-.44
-.56
-.66
-.74
-.79
-.84
-.87
-.89
-.91
-.93
-.94
-.95
*-.96
*-.96
*-.97
*-.97
*-.98
*-.98
*-.98

.00
.01
.01
.02
.04
.05
.07
.08
.08
.07
.06
.06
.05
.04
.04
.03
.03
.02
.02
.02
.02
.02
.02
.01
.01
.01

0.2
0.4
0.9
2
3
4
5
5
5
4
4
3
2
2
2
1
1
1.0
0.8
0.7
0.6
0.6
0.5
0.5
0.4
0.4

0.2
0.4
0.6
1.0
1.5
2.1
2.8
3.2
3.4
3.3
3.1
2.8
2.6
2.4
2.1
1.9
1.7
1.5
1.3
1.4
1.3
1.2
1.2
1.1
1.1
1.0

1
4
7
5
4
3
2
0
1
2
3
5
6
7
8
10
11
12
14
15
16
17
17
16
15
14

OCT Fut=55.50 Days=47 atmVol=39.11% IntRate = 5.50%

OCT Volatility Skew
Last Trading Date: September 14, 2001

Strike v. Volatilitywww.pmpublishing.com

NOV - CF 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)

35.0
37.5
40.0
42.5
45.0
47.5
50.0
52.5
55.0*
57.5
60.0
62.5
65.0
67.5
70.0
72.5
75.0
77.5
80.0
82.5
85.0
87.5
90.0
92.5
95.0
97.5
100.0
105.0
110.0
115.0
120.0
125.0

2051
1801
1551
1311
1082
867
670
515
389
310
244
194
157
129
108
92
80
69
60
53
47
43
39
36
34
32
30
22
17
13
10
8

2
4
10
21
41
74
125
217
340
508
690
889
1100
1320
1547
1779
2014
2251
2490
2731
2974
3217
3461
3706
3952
4201
4451
4951
5451
5951
6451
6951

2050
1800
1552
1312
1086
877
691
529
395
287
204
141
95
63
41
26
16
10
6
4
2
1
1
---
---
---
---
---
---
---
---
---

1
3
8
20
44
84
145
232
346
486
650
835
1038
1254
1481
1716
1956
2202
2450
2700
2950
3200
3450
3700
3950
4200
4450
4950
5450
5950
6450
6950

+1
+1
-1
-1
-4
-10
-21
-14
-6
+23
+40
+53
+62
+66
+67
+66
+64
+59
+54
+49
+45
+42
+38
+36
+34
+32
+30
+22
+17
+13
+10
+8

+1
+1
+2
+1
-3
-10
-20
-15
-6
+22
+40
+54
+62
+66
+66
+63
+58
+49
+40
+31
+24
+17
+11
+6
+2
+1
+1
+1
+1
+1
+1
+1

50.97
43.55
36.59
36.84
36.40
35.65
34.71
35.81
36.77
39.70
41.70
43.63
45.61
47.56
49.55
51.54
53.60
55.31
56.95
58.64
60.22
62.06
63.65
65.34
67.21
68.92
70.48
71.20
72.37
73.26
74.07
75.14

41.68
39.38
38.79
37.74
36.78
35.77
34.76
35.75
36.83
39.67
41.69
43.73
45.71
47.64
49.58
51.48
53.22
54.71
56.03
57.29
58.61
59.39
59.90
----
----
----
----
----
----
----
----
----

.99
.99
.99
.95
.91
.85
.77
.66
.55
.45
.37
.31
.25
.21
.18
.15
.13
.11
.10
.09
.08
.07
.06
.06
.05
.05
.05
.03
.03
.02
.02
.01

-.01
-.01
-.03
-.05
-.09
-.15
-.23
-.33
-.44
-.54
-.62
-.69
-.74
-.78
-.82
-.85
-.87
-.89
-.91
-.92
-.93
-.95
-.96
*-.95
*-.95
*-.96
*-.96
*-.98
*-.99
*-1.00
*-1.00
*-1.00

.01
.01
.01
.03
.04
.06
.08
.09
.10
.10
.09
.09
.08
.07
.07
.06
.05
.05
.04
.04
.04
.03
.03
.03
.03
.03
.02
.02
.02
.01
.01
.01

0.2
0.3
0.6
1
2
3
3
4
4
4
4
3
3
2
2
2
2
1
1
1
0.9
0.8
0.7
0.7
0.6
0.6
0.5
0.4
0.3
0.3
0.2
0.2

0.1
0.2
0.4
0.6
1.0
1.4
1.7
2.1
2.4
2.6
2.6
2.5
2.4
2.3
2.1
2.0
1.9
1.7
1.6
1.4
1.3
1.2
1.0
1.2
1.2
1.2
1.1
0.9
0.8
0.6
0.5
0.4

1
3
9
10
9
7
5
2
1
2
4
5
7
9
11
13
16
18
20
22
23
26
28
30
32
31
29
21
16
12
9
7

NOV Fut=55.50 Days=75 atmVol=37.40% IntRate = 5.50%

NOV Volatility Skew
Last Trading Date: October 12, 2001

Strike v. Volatilitywww.pmpublishing.com

DEC - CF 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)

37.5
40.0
42.5
45.0
47.5
50.0
52.5
55.0*
57.5
60.0
62.5
65.0
67.5
70.0
72.5
75.0
77.5
80.0
82.5
85.0
87.5
90.0
92.5
95.0
97.5
100.0
105.0
110.0
115.0
120.0
125.0
130.0
135.0

1801
1551
1309
1096
906
743
607
500
410
334
290
235
200
170
147
129
115
103
93
85
76
69
63
58
54
50
43
37
33
30
28
26
24

2
7
24
58
115
199
310
446
604
780
982
1174
1387
1604
1829
2058
2290
2525
2763
3002
3241
3481
3722
3964
4207
4451
4951
5451
5951
6451
6951
7451
7951

1803
1567
1344
1136
946
776
627
500
393
305
234
177
133
99
73
53
39
28
20
14
10
7
5
4
3
2
1
---
---
---
---
---
---

14
30
56
96
154
232
330
450
590
750
926
1117
1320
1534
1757
1986
2221
2461
2704
2951
3200
3450
3700
3950
4200
4450
4950
5450
5950
6450
6950
7450
7950

-2
-16
-35
-40
-40
-33
-20
0
+17
+29
+56
+58
+67
+71
+74
+76
+76
+75
+73
+71
+66
+62
+58
+54
+51
+48
+42
+37
+33
+30
+28
+26
+24

-12
-23
-32
-38
-39
-33
-20
-4
+14
+30
+56
+57
+67
+70
+72
+72
+69
+64
+59
+51
+41
+31
+22
+14
+7
+1
+1
+1
+1
+1
+1
+1
+1

38.65
32.46
31.44
34.41
36.14
37.73
39.26
41.13
42.59
43.68
46.34
46.92
48.50
49.84
51.32
52.87
54.50
56.03
57.54
59.09
60.19
61.40
62.60
63.81
65.09
66.21
68.28
70.09
72.13
74.19
76.39
78.36
80.10

30.71
31.20
33.19
34.73
36.20
37.71
39.22
40.74
42.27
43.79
46.33
46.87
48.50
49.76
51.25
52.65
53.95
55.22
56.56
57.72
58.47
58.99
59.27
59.23
----
----
----
----
----
----
----
----
----

.99
.99
.96
.89
.81
.73
.64
.55
.48
.41
.36
.30
.26
.23
.20
.17
.15
.14
.12
.11
.10
.09
.08
.08
.07
.07
.06
.05
.04
.04
.04
.03
.03

-.01
-.02
-.05
-.11
-.18
-.26
-.35
-.44
-.51
-.58
-.63
-.69
-.73
-.77
-.80
-.82
-.84
-.86
-.88
-.89
-.91
-.92
-.94
-.95
*-.94
*-.94
*-.96
*-.97
*-.98
*-.99
*-.99
*-1.00
*-1.00

.01
.01
.03
.05
.08
.10
.11
.11
.12
.11
.11
.10
.10
.09
.08
.08
.07
.06
.06
.06
.05
.05
.05
.04
.04
.04
.03
.03
.03
.02
.02
.02
.02

0.2
0.5
1
2
2
3
3
3
3
3
3
3
2
2
2
2
1
1
1
1
1.0
0.9
0.8
0.7
0.7
0.7
0.6
0.5
0.4
0.4
0.3
0.3
0.3

0.1
0.2
0.5
0.9
1.3
1.7
2.0
2.2
2.3
2.4
2.4
2.3
2.2
2.1
2.0
1.9
1.8
1.7
1.6
1.5
1.4
1.3
1.1
1.0
1.3
1.2
1.1
1.0
0.9
0.9
0.9
0.8
0.8

1
6
15
12
9
6
3
4
6
4
8
11
13
16
18
21
25
28
30
33
35
38
41
44
47
49
42
36
32
29
27
25
23

DEC Fut=55.50 Days=103 atmVol=41.11% IntRate = 5.50%

DEC Volatility Skew
Last Trading Date: November 9, 2001

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