Eurodollars (ED) Option Volatility Analysis

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DAILY SUMMARY

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Daily Eurodollars Option Analysis - Wed, April 7, 2004
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Month
JUN
SEP
DEC
Futures
Closing Price
98.770
98.520
98.185
Days Left
49
114
179
Implied ATM
Volatility
26.25%
41.20%
46.71%
Last Trading Date
Mon, Jun. 14, 2004
Mon, Sep. 13, 2004
Mon, Dec. 13, 2004

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

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

SEP 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

SEP Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

DEC 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

DEC Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for ED

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

JUN
SEP
DEC
39.38%
72.60%
94.48%
24.43%
47.58%
66.25%
29.97%
56.17%
75.35%
26.51%
49.03%
65.26%
32.02%
53.72%
65.94%
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
JUN SEP DEC	39.38% 72.60% 94.48%	24.43% 47.58% 66.25%	29.97% 56.17% 75.35%	26.51% 49.03% 65.26%	32.02% 53.72% 65.94%	n/a n/a n/a	n/a n/a n/a	n/a n/a n/a

Implied Standard Deviations for ED

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

JUN
SEP
DEC
.02
.04
.05
.03
.07
.09
.05
.10
.14
.07
.14
.20
.11
.21
.29
.16
.29
.41
.19
.36
.50
26.25%
41.20%
46.71%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
JUN SEP DEC	.02 .04 .05	.03 .07 .09	.05 .10 .14	.07 .14 .20	.11 .21 .29	.16 .29 .41	.19 .36 .50	26.25% 41.20% 46.71%

JUN - ED Next (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)

98.500
98.625
98.750*
98.875

28.2
16.8
6.8
1.3

1.3
2.3
4.7
11.7

27.1
15.7
6.6
1.6

---
1.3
4.6
12.1

+1.1
+1.1
+0.1
-0.4

+1.0
+1.0
+0.1
-0.3

39.79
33.39
26.85
23.54

38.19
32.72
26.77
24.10

.85
.75
.53
.18

-.13
-.24
-.46
-.81

.00
.00
.00
.00

104
176
277
204

0.0
0.1
0.1
0.0

0
0
0
0

JUN Fut=98.77 Days=49 atmVol=26.25% IntRate = 5.50%

JUN Volatility Skew
Last Trading Date: June 14, 2004

Strike v. Volatilitywww.pmpublishing.com

SEP - ED Next (DEC) - Previous (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)

97.625
97.750
97.875
98.000
98.125
98.250
98.375
98.500*
98.625
98.750
98.875

---
78.3
---
55.0
---
34.0
---
17.0
10.0
5.0
1.5

1.3
1.5
2.3
3.2
4.7
7.0
10.5
15.0
20.5
28.0
36.8

89.6
77.5
65.7
54.4
43.6
33.6
24.6
16.8
10.6
5.9
2.8

0.8
1.3
2.0
3.1
4.7
7.0
10.3
14.9
20.9
28.5
37.8

---
+0.8
---
+0.6
---
+0.4
---
+0.2
-0.6
-0.9
-1.3

+0.4
+0.2
+0.2
+0.1
0.0
0.0
+0.2
+0.1
-0.4
-0.5
-1.1

----
46.54
----
43.80
----
42.36
----
41.60
39.58
38.00
33.82

44.65
42.51
42.38
41.80
41.33
41.07
41.61
41.51
40.08
39.33
35.27

*.94
.89
*.88
.81
*.76
.67
*.57
.46
.33
.21
.09

-.07
-.09
-.12
-.17
-.23
-.31
-.41
-.53
-.65
-.77
-.90

.00
.00
.00
.00
.00
.00
.00
.00
.00
.00
.00

31
38
49
61
74
87
94
97
92
75
49

0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.0
0.0

---
0
---
0
---
0
---
0
0
0
0

SEP Fut=98.52 Days=114 atmVol=41.20% IntRate = 5.50%

SEP Volatility Skew
Last Trading Date: September 13, 2004

Strike v. Volatilitywww.pmpublishing.com

DEC - ED 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)

96.250
96.500
96.750
97.000
97.250
97.500
97.750
98.000
98.250*
98.500
98.750
99.000

194.2
169.7
145.7
122.0
99.3
77.0
56.7
38.7
23.5
12.0
4.0
1.5

1.5
2.0
3.0
4.3
6.3
9.0
13.5
20.5
30.0
43.3
60.3
82.5

193.5
168.6
144.1
120.4
97.6
76.0
56.1
38.4
23.6
12.3
5.0
1.3

1.2
1.7
2.6
4.0
6.0
9.1
13.7
20.3
29.9
43.0
60.3
81.8

+0.7
+1.2
+1.6
+1.6
+1.6
+1.0
+0.6
+0.4
-0.1
-0.3
-1.0
+0.2

+0.3
+0.3
+0.4
+0.3
+0.2
-0.1
-0.2
+0.2
+0.1
+0.2
-0.1
+0.7

57.82
55.43
53.98
51.87
50.81
48.71
47.88
47.34
46.61
46.04
43.22
47.88

48.95
48.05
48.18
47.58
47.31
46.54
46.43
46.98
46.90
47.16
46.52
53.36

.93
.91
.87
.83
.78
.72
.62
.51
.38
.24
.11
.04

-.05
-.07
-.10
-.14
-.19
-.25
-.35
-.47
-.60
-.74
-.87
-.94

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

15
19
24
30
37
45
52
55
53
43
28
14

0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.0
0.0

1
1
1
1
0
1
0
0
0
0
0
1

DEC Fut=98.19 Days=179 atmVol=46.71% IntRate = 5.50%

DEC Volatility Skew
Last Trading Date: December 13, 2004

Strike v. Volatilitywww.pmpublishing.com

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