EURO (EC) Option Volatility Analysis

CME

SP ES NK ND ED EY
JY BP AD CD MP SF
LC FC LH LB

CBOT

DJ US TY WT
SB BO SM C

CBOE

SX OX

CSCE

CA CF HS

NYCE

OJ CT

NYMEX

HO CL NG HU

COMEX

GC SI HG

DAILY SUMMARY

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Daily EURO Option Analysis - Wed, April 7, 2004
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Month
MAY
JUN
Futures
Closing Price
121.55
121.55
Days Left
23
43
Implied ATM
Volatility
11.00%
11.19%
Last Trading Date
Fri, May 7, 2004
Fri, Jun. 4, 2004

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

MAY Implied Volatility v. 1-Month Historical Volatility
February 9, 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 EC

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

JUN
21.82%
15.02%
13.25%
15.78%
14.44%
n/a
n/a
n/a

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
JUN	21.82%	15.02%	13.25%	15.78%	14.44%	n/a	n/a	n/a

Implied Standard Deviations for EC

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

MAY
JUN
.83
.84
1.43
1.46
2.19
2.23
3.10
3.15
4.53
4.61
6.46
6.57
7.89
8.03
11.00%
11.19%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
MAY JUN	.83 .84	1.43 1.46	2.19 2.23	3.10 3.15	4.53 4.61	6.46 6.57	7.89 8.03	11.00% 11.19%

MAY - EC 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)

112.0
113.0
114.0
114.5
115.0
115.5
116.0
116.5
117.0
117.5
118.0
119.0
119.5
120.0
120.5
121.0
121.5*
122.0
122.5
123.0
123.5
124.0
124.5
125.0
125.5
126.0
126.5
127.0
128.0
128.5
129.0
129.5
130.0
131.0
132.0
133.0

957
---
---
---
---
---
---
---
---
---
---
318
---
248
216
187
160
138
117
99
83
69
57
47
38
31
25
20
13
10
8
7
6
4
3
1

3
5
7
9
11
13
16
21
26
33
41
63
77
93
111
132
155
183
212
244
278
314
---
391
432
---
---
---
---
---
---
---
---
---
1047
---

955
855
757
708
660
613
566
521
477
434
392
315
279
246
215
186
160
137
115
97
80
66
54
44
35
28
22
17
10
7
6
4
3
2
1
---

1
2
4
5
7
10
13
18
23
30
39
61
75
91
110
131
155
181
210
241
275
310
348
387
428
471
515
560
653
700
748
797
846
945
1045
1145

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

+2
+3
+3
+4
+4
+3
+3
+3
+3
+3
+2
+2
+2
+2
+1
+1
0
+2
+2
+3
+3
+4
---
+4
+4
---
---
---
---
---
---
---
---
---
+2
---

13.89
----
----
----
----
----
----
----
----
----
----
11.27
----
11.16
11.09
11.05
10.99
11.10
11.11
11.16
11.20
11.24
11.28
11.34
11.35
11.42
11.47
11.52
11.70
11.69
11.79
12.09
12.34
12.61
13.10
12.87

13.17
12.72
12.36
12.26
12.04
11.73
11.53
11.54
11.38
11.34
11.26
11.19
11.16
11.12
11.06
11.04
10.99
11.11
11.14
11.21
11.26
11.32
----
11.37
11.40
----
----
----
----
----
----
----
----
----
13.89
----

.98
*.98
*.96
*.95
*.94
*.93
*.92
*.89
*.87
*.84
*.81
.74
*.70
.65
.61
.56
.51
.46
.41
.36
.32
.28
.24
.21
.17
.15
.12
.10
.07
.06
.05
.04
.03
.02
.02
.01

-.02
-.03
-.04
-.05
-.06
-.07
-.08
-.10
-.13
-.15
-.18
-.26
-.30
-.34
-.39
-.44
-.49
-.54
-.58
-.63
-.67
-.72
*-.76
-.79
-.82
*-.85
*-.87
*-.90
*-.93
*-.94
*-.95
*-.96
*-.97
*-.98
-.98
*-1.00

.02
.02
.03
.04
.04
.05
.06
.07
.07
.08
.10
.12
.12
.13
.14
.14
.14
.14
.14
.14
.13
.12
.11
.10
.09
.08
.07
.06
.05
.04
.03
.03
.03
.02
.02
.01

0.9
1
2
2
3
3
4
4
5
6
7
8
9
9
10
10
10
10
10
9
9
8
8
7
6
6
5
4
3
3
2
2
2
1
1
0.6

0.4
0.6
0.8
0.9
1.1
1.2
1.4
1.6
1.8
2.1
2.3
2.8
3.0
3.2
3.3
3.4
3.4
3.5
3.4
3.3
3.2
3.0
2.8
2.5
2.3
2.1
1.8
1.6
1.2
1.0
0.9
0.8
0.7
0.5
0.6
0.2

1
---
---
---
---
---
---
---
---
---
---
0
---
0
0
0
0
0
0
0
0
0
---
1
1
---
---
---
---
---
---
---
---
---
1
---

MAY Fut=121.55 Days=23 atmVol=11.00% IntRate = 5.50%

MAY Volatility Skew
Last Trading Date: May 7, 2004

Strike v. Volatilitywww.pmpublishing.com

JUN - EC 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)

98.0
99.0
100.0
101.0
101.5
102.0
103.0
104.0
105.0
106.0
107.0
108.0
109.0
110.0
111.0
112.0
113.0
113.5
114.0
114.5
115.0
115.5
116.0
116.5
117.0
117.5
118.0
119.0
120.0
120.5
121.0
121.5*
122.0
122.5
123.0
123.5
124.0
124.5
125.0
125.5
126.0
126.5
127.0
127.5
128.0
128.5
129.0
129.5
130.0
130.5
131.0
131.5
132.0
132.5
133.0
133.5
134.0
135.0
135.5
136.0
136.5
137.0
137.5
138.0
138.5
139.0

---
---
2155
---
---
---
1855
1755
1655
1555
1455
---
1256
1157
1059
963
867
---
774
---
684
---
599
---
517
---
440
369
305
275
247
221
198
176
156
138
121
106
92
81
70
61
53
46
39
34
29
25
22
19
17
15
13
11
9
8
7
5
4
3
3
3
2
1
1
1

50
50
50
50
50
50
50
50
50
50
---
---
---
---
---
---
---
---
---
---
---
---
---
53
63
74
86
115
150
170
192
216
243
271
301
332
365
400
436
475
514
555
597
639
682
727
772
818
865
---
960
---
1056
---
---
---
---
---
---
---
---
---
---
---
---
---

2355
2255
2155
2055
2005
1955
1855
1755
1655
1555
1455
1355
1255
1155
1056
958
863
816
770
724
680
636
594
552
512
473
436
366
303
274
246
221
197
175
155
137
120
105
91
79
68
58
50
42
36
30
25
21
17
14
12
10
8
6
5
4
3
2
2
1
1
1
1
---
---
---

---
---
---
---
---
---
---
---
---
---
---
1
1
3
4
7
12
15
19
23
29
35
42
51
60
71
84
113
149
169
192
216
242
270
299
331
363
398
434
471
510
550
591
634
677
721
766
811
858
905
952
1000
1048
1097
1146
1195
1245
1345
1395
1445
1495
1545
1595
1645
1695
1745

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

+50
+50
+50
+50
+50
+50
+50
+50
+50
+50
---
---
---
---
---
---
---
---
---
---
---
---
---
+2
+3
+3
+2
+2
+1
+1
0
0
+1
+1
+2
+1
+2
+2
+2
+4
+4
+5
+6
+5
+5
+6
+6
+7
+7
---
+8
---
+8
---
---
---
---
---
---
---
---
---
---
---
---
---

----
----
----
----
----
----
----
----
----
15.32
14.28
----
13.39
12.85
12.50
12.40
11.98
----
11.79
----
11.65
----
11.66
----
11.55
----
11.44
11.36
11.31
11.26
11.22
11.19
11.22
11.21
11.22
11.25
11.24
11.25
11.23
11.32
11.32
11.38
11.44
11.51
11.49
11.59
11.62
11.69
11.83
11.91
12.09
12.23
12.32
12.35
12.32
12.47
12.58
12.47
12.38
12.47
12.51
12.85
12.82
12.70
13.01
13.33

36.14
34.78
33.43
32.09
31.42
30.75
29.41
28.08
26.75
25.42
----
----
----
----
----
----
----
----
----
----
----
----
----
11.38
11.40
11.39
11.35
11.31
11.25
11.22
11.20
11.19
11.24
11.25
11.28
11.27
11.28
11.31
11.32
11.43
11.46
11.55
11.64
11.66
11.68
11.82
11.89
12.01
12.19
----
12.57
----
12.92
----
----
----
----
----
----
----
----
----
----
----
----
----

*.94
*.93
*.93
*.93
*.93
*.93
*.92
*.92
*.92
1.00
1.00
*.91
.99
.98
.97
.95
.94
*.87
.91
*.86
.88
*.84
.84
*.82
.79
*.77
.74
.68
.61
.58
.54
.51
.47
.44
.40
.37
.34
.31
.28
.25
.22
.20
.18
.16
.14
.12
.11
.09
.08
.07
.07
.06
.05
.04
.04
.03
.03
.02
.02
.01
.01
.01
.01
.01
.01
.01

-.06
-.06
-.07
-.07
-.07
-.07
-.07
-.08
-.08
-.08
*-.01
*-.09
*-.02
*-.03
*-.03
*-.05
*-.06
*-.13
*-.09
*-.14
*-.12
*-.15
*-.15
-.17
-.20
-.22
-.25
-.31
-.38
-.41
-.45
-.48
-.52
-.55
-.59
-.62
-.66
-.69
-.72
-.74
-.77
-.79
-.81
-.83
-.85
-.87
-.88
-.90
-.91
*-.93
-.92
*-.94
-.94
*-.96
*-.97
*-.97
*-.98
*-.99
*-1.00
*-1.00
*-1.00
*-1.00
*-1.00
*-1.00
*-1.00
*-1.00

.06
.06
.06
.06
.07
.07
.07
.07
.07
.08
.02
.08
.02
.03
.04
.05
.06
.10
.08
.11
.10
.12
.12
.13
.14
.15
.16
.17
.19
.19
.19
.20
.20
.19
.19
.19
.18
.17
.16
.16
.15
.14
.13
.12
.11
.10
.09
.08
.08
.07
.07
.06
.06
.05
.04
.04
.03
.02
.02
.02
.02
.01
.01
.01
.01
.01

0.7
0.7
0.8
0.8
0.9
0.9
1.0
1
1
1
0.5
1
0.8
1.0
1
2
2
3
3
3
3
4
4
5
5
5
6
6
7
7
7
7
7
7
7
7
7
6
6
6
5
5
5
4
4
4
3
3
3
2
2
2
2
2
1
1
1
0.8
0.7
0.6
0.5
0.5
0.4
0.3
0.3
0.3

2.5
2.5
2.4
2.4
2.4
2.4
2.3
2.3
2.3
2.2
0.3
2.1
0.4
0.4
0.5
0.7
0.8
1.8
1.0
1.8
1.3
1.7
1.6
1.7
1.8
1.9
2.1
2.3
2.4
2.5
2.5
2.5
2.5
2.5
2.5
2.4
2.3
2.3
2.2
2.1
2.0
1.9
1.7
1.6
1.5
1.4
1.3
1.2
1.1
0.9
1.0
0.8
0.9
0.7
0.6
0.5
0.5
0.3
0.3
0.2
0.2
0.2
0.2
0.1
0.1
0.1

---
---
50
---
---
---
50
50
50
50
---
---
---
---
---
---
---
---
---
---
---
---
---
---
1
---
1
1
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1
2
2
2
2
2
2
---
2
---
2
---
---
---
---
---
---
---
---
---
---
---
---
---

JUN Fut=121.55 Days=43 atmVol=11.19% IntRate = 5.50%

JUN Volatility Skew
Last Trading Date: June 4, 2004

Strike v. Volatilitywww.pmpublishing.com

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