Crude Oil (CL) Option Volatility Analysis

Daily Crude Oil Option Analysis - Tue, November 13, 2001
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Month
DEC
DEC
Futures
Closing Price
21.67
21.67
Days Left
2
2
Implied ATM
Volatility
39.74%
39.74%
Last Trading Date
Wed, Nov. 14, 2001
Wed, Nov. 14, 2001

Historical v. Implied Volatility Graphs
Historical Volatility Tables
Implied Standard Deviations

DEC Implied Volatility v. 6-Week Historical Volatility
November 27, 2000 - November 13, 2001

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

DEC Futures
November 27, 2000 - November 13, 2001

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 6-Week Historical Volatility
November 27, 2000 - November 13, 2001

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

DEC Futures
November 27, 2000 - November 13, 2001

Days to Options Expiration v. Futures Price

Historical Volatilities for CL

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

DEC
DEC
45.43%
45.43%
56.00%
56.00%
44.84%
44.84%
43.13%
43.13%
60.28%
60.28%
38.78%
38.78%
35.30%
35.30%
31.45%
31.45%

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
DEC DEC	45.43% 45.43%	56.00% 56.00%	44.84% 44.84%	43.13% 43.13%	60.28% 60.28%	38.78% 38.78%	35.30% 35.30%	31.45% 31.45%

Implied Standard Deviations for CL

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

DEC
DEC
.53
.53
.92
.92
1.41
1.41
1.99
1.99
2.92
2.92
4.16
4.16
5.09
5.09
39.74%
39.74%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
DEC DEC	.53 .53	.92 .92	1.41 1.41	1.99 1.99	2.92 2.92	4.16 4.16	5.09 5.09	39.74% 39.74%

DEC - CL Next (DEC) - 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)

20.5
21.0
21.5*
22.0
22.5
23.0
23.5
24.0

---
76
39
17
8
4
3
2

4
9
22
50
91
137
186
235

119
74
39
17
5
1
---
---

2
7
22
50
88
134
183
233

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

+2
+2
0
0
+3
+3
+3
+2

----
42.91
39.47
40.30
45.21
50.32
59.40
65.77

48.47
42.85
39.46
40.32
45.28
50.50
59.72
66.31

*.91
.80
.60
.34
.18
.09
.06
.04

-.09
-.20
-.40
-.66
-.82
-.91
-.94
-.96

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

18
34
52
48
30
17
11
7

3.2
5.7
8.4
7.9
5.5
3.3
2.7
1.9

---
0
0
0
0
0
0
0

DEC Fut=21.67 Days=2 atmVol=39.74% IntRate = 6.50%

DEC Volatility Skew
Last Trading Date: November 14, 2001

Strike v. Volatilitywww.pmpublishing.com

DEC - CL Previous (DEC) - 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)

20.5
21.0
21.5*
22.0
22.5
23.0
23.5
24.0

---
76
39
17
8
4
3
2

4
9
22
50
91
137
186
235

119
74
39
17
5
1
---
---

2
7
22
50
88
134
183
233

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

+2
+2
0
0
+3
+3
+3
+2

----
42.91
39.47
40.30
45.21
50.32
59.40
65.77

48.47
42.85
39.46
40.32
45.28
50.50
59.72
66.31

*.91
.80
.60
.34
.18
.09
.06
.04

-.09
-.20
-.40
-.66
-.82
-.91
-.94
-.96

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

18
34
52
48
30
17
11
7

3.2
5.7
8.4
7.9
5.5
3.3
2.7
1.9

---
0
0
0
0
0
0
0

DEC Fut=21.67 Days=2 atmVol=39.74% IntRate = 6.50%

DEC Volatility Skew
Last Trading Date: November 14, 2001

Strike v. Volatilitywww.pmpublishing.com

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