Dow Jones (DJ) Option Volatility Analysis

Daily Dow Jones Option Analysis - Tue, August 22, 2000
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Month
SEP
OCT
DEC
Futures
Closing Price
112.000
113.490
113.490
Days Left
24
60
115
Implied ATM
Volatility
14.66%
15.22%
17.57%
Last Trading Date
Thu, Sep. 14, 2000
Fri, Oct. 20, 2000
Thu, Dec. 14, 2000

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

SEP Implied Volatility v. 6-Week Historical Volatility
December 29, 1999 - August 22, 2010

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

SEP Futures
December 29, 1999 - August 22, 2010

Days to Options Expiration v. Futures Price

OCT Implied Volatility v. 6-Week Historical Volatility
February 2, 2010 - August 22, 2010

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

NOV Implied Volatility v. 6-Week Historical Volatility
February 2, 2010 - August 22, 2010

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

DEC Implied Volatility v. 6-Week Historical Volatility
December 17, 1999 - August 22, 2010

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

DEC Futures
December 17, 1999 - August 22, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for DJ

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

SEP
DEC
3.97%
3.92%
9.18%
9.11%
9.75%
9.68%
10.79%
10.71%
10.95%
10.85%
13.01%
12.64%
15.63%
19.34%
22.70%
22.77%

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
SEP DEC	3.97% 3.92%	9.18% 9.11%	9.75% 9.68%	10.79% 10.71%	10.95% 10.85%	13.01% 12.64%	15.63% 19.34%	22.70% 22.77%

Implied Standard Deviations for DJ

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

SEP
OCT
DEC
.86
.90
1.04
1.49
1.57
1.81
2.27
2.39
2.76
3.22
3.38
3.91
4.71
4.95
5.72
6.71
7.06
8.15
8.20
8.63
9.96
14.66%
15.22%
17.57%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
SEP OCT DEC	.86 .90 1.04	1.49 1.57 1.81	2.27 2.39 2.76	3.22 3.38 3.91	4.71 4.95 5.72	6.71 7.06 8.15	8.20 8.63 9.96	14.66% 15.22% 17.57%

SEP - DJ 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)

96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112*
113
114
115
116
117
118
119
120
121

---
---
---
---
1203.0
1104.5
---
---
812.5
717.0
623.0
531.5
446.0
365.5
291.5
225.0
167.5
119.0
82.5
55.0
34.5
21.0
12.0
6.5
3.5
2.0

2.0
2.5
3.0
4.0
5.0
6.5
8.5
11.0
14.5
18.5
24.5
32.5
47.0
66.5
92.0
125.5
167.5
218.5
282.0
354.0
433.5
519.5
610.5
---
802.5
---

1600.0
1500.0
1400.0
1300.0
1200.0
1100.0
1000.0
900.4
802.0
705.3
611.2
520.8
435.2
355.9
284.2
221.2
167.4
123.0
87.6
60.4
40.3
26.0
16.2
9.8
5.7
3.2

---
---
---
---
---
---
0.8
1.8
3.7
7.1
13.0
22.3
36.5
57.0
84.9
121.5
167.4
222.6
286.9
359.4
439.0
524.4
614.4
707.8
803.7
901.4

---
---
---
---
+3.0
+4.5
---
---
+10.5
+11.7
+11.8
+10.7
+10.8
+9.6
+7.3
+3.8
+0.1
-4.0
-5.1
-5.4
-5.8
-5.0
-4.2
-3.3
-2.2
-1.2

+2.0
+2.5
+3.0
+3.9
+4.9
+6.1
+7.7
+9.2
+10.8
+11.4
+11.5
+10.2
+10.5
+9.5
+7.1
+4.0
+0.1
-4.1
-4.9
-5.4
-5.5
-4.9
-3.9
---
-1.2
---

----
----
----
----
22.46
21.61
----
----
19.04
18.17
17.31
16.52
16.14
15.75
15.38
15.01
14.67
14.31
14.17
14.06
13.87
13.78
13.65
13.53
13.52
13.71

25.36
24.54
23.56
22.92
22.04
21.29
20.53
19.72
18.96
18.03
17.24
16.42
16.09
15.74
15.36
15.02
14.67
14.29
14.18
14.06
13.91
13.79
13.71
----
13.99
----

*1.00
*.99
*.99
*.99
.98
.97
*.96
*.95
.94
.92
.89
.86
.81
.75
.68
.60
.51
.41
.32
.24
.17
.11
.07
.04
.02
.01

-.01
-.01
-.01
-.02
-.02
-.03
-.04
-.05
-.06
-.08
-.10
-.13
-.18
-.24
-.32
-.40
-.49
-.59
-.68
-.76
-.83
-.89
-.93
*-.96
-.97
*-.99

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

0.3
0.4
0.5
0.6
0.8
1
1
2
2
3
4
5
6
7
8
9
9
9
9
8
6
5
3
2
2
0.9

0.3
0.4
0.4
0.5
0.6
0.8
0.9
1.1
1.3
1.5
1.8
2.1
2.5
3.0
3.3
3.5
3.5
3.3
3.0
2.6
2.1
1.6
1.1
0.7
0.5
0.3

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

SEP Fut=112.00 Days=24 atmVol=14.66% IntRate = 6.50%

SEP Volatility Skew
Last Trading Date: September 14, 2000

Strike v. Volatilitywww.pmpublishing.com

OCT - DJ Next (DEC) - 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)

97
99
100
101
102
103
104
105
106
107
108
109
110
111
112*
115
116
117
118
119
120
121

---
---
---
---
---
---
---
910.0
825.0
740.0
665.0
585.0
512.5
445.0
382.5
190.0
157.5
130.0
107.5
82.5
60.0
42.5

12.5
18.0
25.5
29.0
35.0
42.5
52.5
65.0
77.5
97.5
120.0
140.0
170.0
200.0
---
---
---
---
---
---
---
---

1649.0
1449.0
1349.4
1251.1
1154.3
1059.3
966.6
876.3
789.1
705.4
625.7
550.5
480.1
415.0
355.4
210.4
173.1
140.9
113.5
90.4
71.2
55.5

1.1
3.1
4.9
7.5
11.2
16.5
23.6
33.1
45.5
61.3
81.0
105.0
133.9
168.1
207.6
360.1
422.0
489.0
560.9
637.1
717.3
801.0

---
---
---
---
---
---
---
+33.7
+35.9
+34.6
+39.3
+34.5
+32.4
+30.0
+27.1
-20.4
-15.6
-10.9
-6.0
-7.9
-11.2
-13.0

+11.4
+14.9
+20.6
+21.5
+23.8
+26.0
+28.9
+31.9
+32.0
+36.2
+39.0
+35.0
+36.1
+31.9
---
---
---
---
---
---
---
---

----
----
----
----
----
----
----
18.91
18.61
18.11
18.13
17.56
17.25
16.99
16.76
14.08
14.32
14.56
14.83
14.65
14.30
13.98

21.37
20.42
20.69
19.99
19.57
19.19
18.92
18.69
18.25
18.22
18.11
17.58
17.48
17.11
----
----
----
----
----
----
----
----

*.97
*.96
*.94
*.93
*.91
*.90
*.88
.85
.82
.79
.76
.72
.68
.63
.59
.42
.36
.31
.27
.22
.17
.13

-.03
-.05
-.06
-.07
-.08
-.10
-.12
-.14
-.17
-.20
-.24
-.27
-.31
-.36
*-.41
*-.58
*-.63
*-.68
*-.73
*-.77
*-.82
*-.86

.03
.04
.05
.06
.07
.08
.09
.10
.12
.13
.14
.15
.16
.17
.18
.18
.17
.16
.15
.14
.12
.10

0.7
1
1
1
2
2
2
3
3
3
4
4
4
5
5
6
6
5
5
4
4
3

0.6
0.7
0.9
1.0
1.1
1.3
1.4
1.6
1.7
1.9
2.1
2.2
2.4
2.4
2.5
2.1
2.0
1.9
1.8
1.6
1.4
1.1

---
---
---
---
---
---
---
4
1
6
4
4
7
4
---
---
---
---
---
---
---
---

OCT Fut=113.49 Days=60 atmVol=15.22% IntRate = 6.50%

OCT Volatility Skew
Last Trading Date: October 20, 2000

Strike v. Volatilitywww.pmpublishing.com

DEC - DJ 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)

70
72
74
76
80
82
84
85
87
88
89
90
91
94
95
96
97
98
100
101
102
103
104
105
107
108
109
110
111
112
114*
115
116
118
120
122
123
124
125
127
128
130

---
---
---
---
3355.0
---
---
---
---
2560.0
---
---
---
---
1880.0
---
1700.0
---
---
---
---
---
1086.5
1007.5
856.0
784.5
715.0
648.0
584.5
523.5
412.5
362.0
---
239.5
180.0
125.0
---
97.5
75.0
52.5
42.5
27.5

2.5
4.0
5.0
6.5
8.5
10.0
12.0
13.0
16.0
19.0
21.0
23.0
26.0
40.0
46.0
51.0
---
67.5
86.5
100.5
114.5
129.5
147.5
167.5
214.0
241.5
271.0
303.0
---
---
---
---
565.5
---
---
---
---
---
---
---
---
---

4349.0
4149.0
3949.0
3749.0
3349.0
3149.0
2949.0
2849.0
2649.0
2549.0
2449.0
2349.0
2249.0
1949.2
1850.7
1753.7
1658.3
1564.5
1382.4
1294.5
1208.8
1125.6
1045.1
967.3
821.0
752.6
687.7
626.2
568.2
513.8
415.7
371.9
331.5
260.6
201.9
154.2
134.0
116.1
100.2
73.8
63.0
45.5

---
---
---
---
---
---
---
---
1.1
1.6
2.2
3.1
4.4
10.9
14.3
18.7
24.2
30.9
48.8
60.5
74.2
90.2
108.8
130.0
181.2
211.6
245.2
282.3
322.9
367.1
466.0
520.7
578.8
705.0
843.6
993.4
1072.0
1153.0
1236.2
1408.3
1496.9
1678.7

---
---
---
---
+6.0
---
---
---
---
+11.0
---
---
---
---
+29.3
---
+41.7
---
---
---
---
---
+41.4
+40.2
+35.0
+31.9
+27.3
+21.8
+16.3
+9.7
-3.2
-9.9
---
-21.1
-21.9
-29.2
---
-18.6
-25.2
-21.3
-20.5
-18.0

+2.5
+4.0
+5.0
+6.5
+8.4
+9.9
+11.7
+12.5
+14.9
+17.4
+18.8
+19.9
+21.6
+29.1
+31.7
+32.3
---
+36.6
+37.7
+40.0
+40.3
+39.3
+38.7
+37.5
+32.8
+29.9
+25.8
+20.7
---
---
---
---
-13.3
---
---
---
---
---
---
---
---
---

----
----
----
----
35.74
----
----
----
----
27.75
----
----
----
----
23.01
----
22.82
----
----
----
----
----
20.03
19.79
19.27
19.04
18.78
18.50
18.24
17.96
17.44
17.17
----
16.67
16.56
16.06
----
16.48
15.94
15.92
15.80
15.62

33.19
33.16
32.22
31.45
28.90
27.75
26.68
26.10
25.14
24.96
24.47
23.93
23.54
22.71
22.44
21.96
----
21.45
20.78
20.64
20.38
20.09
19.86
19.63
19.16
18.95
18.71
18.45
----
----
----
----
17.03
----
----
----
----
----
----
----
----
----

*1.00
*1.00
*1.00
*1.00
.98
*1.00
*1.00
*1.00
*.99
.96
*.98
*.97
*.97
*.94
.92
*.92
.90
*.90
*.87
*.85
*.83
*.81
.79
.77
.72
.69
.66
.63
.60
.56
.49
.46
*.42
.35
.29
.22
*.20
.18
.15
.11
.09
.07

-.00
-.01
-.01
-.01
-.01
-.02
-.02
-.02
-.02
-.03
-.03
-.04
-.04
-.06
-.07
-.08
*-.10
-.10
-.12
-.14
-.16
-.18
-.20
-.22
-.27
-.30
-.33
-.36
*-.39
*-.42
*-.49
*-.53
-.56
*-.64
*-.70
*-.77
*-.79
*-.81
*-.84
*-.89
*-.91
*-.94

.01
.01
.01
.02
.03
.02
.03
.03
.04
.04
.05
.05
.06
.08
.08
.09
.11
.11
.13
.14
.15
.16
.18
.19
.21
.22
.23
.24
.24
.25
.25
.25
.25
.23
.21
.19
.18
.17
.15
.12
.11
.08

0.1
0.1
0.1
0.1
0.2
0.2
0.3
0.3
0.4
0.4
0.5
0.5
0.6
0.8
0.9
1
1
1
2
2
2
2
2
2
3
3
3
3
3
3
4
4
4
3
3
3
3
2
2
2
2
1

0.1
0.1
0.2
0.2
0.3
0.3
0.3
0.3
0.4
0.5
0.5
0.5
0.6
0.7
0.8
0.9
1.1
1.0
1.2
1.3
1.3
1.4
1.5
1.6
1.7
1.8
1.8
1.9
1.9
1.9
1.9
1.8
1.8
1.7
1.5
1.3
1.2
1.2
1.0
0.8
0.7
0.5

---
---
---
---
3
---
---
---
---
8
---
---
---
---
15
---
---
---
---
---
---
---
10
9
7
6
5
4
---
---
---
---
---
---
---
---
---
---
---
---
---
---

DEC Fut=113.49 Days=115 atmVol=17.57% IntRate = 6.50%

DEC Volatility Skew
Last Trading Date: December 14, 2000

Strike v. Volatilitywww.pmpublishing.com

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