EuroLibor (EL) Option Volatility Analysis

Daily EuroLibor Option Analysis - Mon, December 13, 1999
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Month
JAN
FEB
MAR
JUN
SEP
Futures
Closing Price
96.690
96.590
96.450
96.100
95.865
Days Left
36
64
92
190
281
Implied ATM
Volatility
52.83%
13.33%
15.66%
18.93%
21.21%
Last Trading Date
Mon, Jan. 17, 2000
Mon, Feb. 14, 2000
Mon, Mar. 13, 2000
Mon, Jun. 19, 2000
Mon, Sep. 18, 2000

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

DEC Implied Volatility v. 1-Week Historical Volatility
January 27, 1999 - December 13, 1999

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

DEC Futures
January 27, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

JAN Implied Volatility v. 1-Week Historical Volatility
June 7, 1999 - December 13, 1999

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

JAN Futures
June 7, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

FEB Implied Volatility v. 1-Week Historical Volatility
June 7, 1999 - December 13, 1999

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

FEB Futures
June 7, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

MAR Implied Volatility v. 1-Week Historical Volatility
March 4, 1999 - December 13, 1999

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

MAR Futures
March 4, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

APR Implied Volatility v. 1-Week Historical Volatility
June 7, 1999 - December 13, 1999

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

APR Futures
June 7, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

MAY Implied Volatility v. 1-Week Historical Volatility
June 22, 1999 - December 13, 1999

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

MAY Futures
June 22, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

JUN Implied Volatility v. 1-Week Historical Volatility
March 4, 1999 - December 13, 1999

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

JUN Futures
March 4, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

JUL Implied Volatility v. 1-Week Historical Volatility
October 29, 1999 - December 13, 1999

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

JUL Futures
October 29, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

AUG Implied Volatility v. 1-Week Historical Volatility
October 29, 1999 - December 13, 1999

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

AUG Futures
October 29, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 1-Week Historical Volatility
October 22, 1999 - December 13, 1999

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

SEP Futures
October 22, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

Historical Volatilities for EL

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

DEC
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
2.87%
3.70%
5.58%
7.65%
10.28%
10.28%
10.28%
12.30%
12.30%
12.30%
3.14%
5.40%
7.97%
13.36%
20.94%
20.94%
20.94%
24.04%
24.04%
24.04%
4.03%
5.07%
128.01%
10.93%
16.36%
16.36%
16.36%
18.65%
18.65%
18.65%
8.10%
9.11%
106.62%
12.97%
18.59%
18.59%
18.59%
20.97%
20.97%
20.97%
11.64%
20.11%
92.80%
15.87%
20.10%
20.10%
20.10%
n/a
n/a
n/a
14.50%
21.04%
76.32%
18.33%
20.43%
20.43%
20.43%
n/a
n/a
n/a
23.09%
29.65%
70.51%
28.02%
29.82%
29.82%
29.82%
n/a
n/a
n/a
20.24%
26.79%
58.11%
25.63%
27.39%
27.39%
27.39%
n/a
n/a
n/a

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
DEC JAN FEB MAR APR MAY JUN JUL AUG SEP	2.87% 3.70% 5.58% 7.65% 10.28% 10.28% 10.28% 12.30% 12.30% 12.30%	3.14% 5.40% 7.97% 13.36% 20.94% 20.94% 20.94% 24.04% 24.04% 24.04%	4.03% 5.07% 128.01% 10.93% 16.36% 16.36% 16.36% 18.65% 18.65% 18.65%	8.10% 9.11% 106.62% 12.97% 18.59% 18.59% 18.59% 20.97% 20.97% 20.97%	11.64% 20.11% 92.80% 15.87% 20.10% 20.10% 20.10% n/a n/a n/a	14.50% 21.04% 76.32% 18.33% 20.43% 20.43% 20.43% n/a n/a n/a	23.09% 29.65% 70.51% 28.02% 29.82% 29.82% 29.82% n/a n/a n/a	20.24% 26.79% 58.11% 25.63% 27.39% 27.39% 27.39% n/a n/a n/a

Implied Standard Deviations for EL

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

JAN
FEB
MAR
JUN
SEP
.09
.02
.03
.04
.05
.16
.04
.05
.07
.08
.24
.06
.08
.10
.12
.34
.09
.11
.14
.17
.50
.13
.16
.21
.25
.71
.19
.23
.30
.36
.87
.23
.28
.37
.44
52.83%
13.33%
15.66%
18.93%
21.21%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
JAN FEB MAR JUN SEP	.09 .02 .03 .04 .05	.16 .04 .05 .07 .08	.24 .06 .08 .10 .12	.34 .09 .11 .14 .17	.50 .13 .16 .21 .25	.71 .19 .23 .30 .36	.87 .23 .28 .37 .44	52.83% 13.33% 15.66% 18.93% 21.21%

JAN - EL Next (FEB) - 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)

96.25
96.38
96.50
96.63*

21.5
11.0
4.0
1.5

1.5
3.5
9.0
19.0

51.6
42.0
33.3
25.5

7.6
10.5
14.3
19.0

-30.1
-31.0
-29.3
-24.0

-6.1
-7.0
-5.3
0.0

----
----
----
----

30.37
32.12
39.46
52.83

*.90
*.80
*.65
*.51

-.10
-.20
-.35
-.49

.00
.00
.00
.00

57
83
90
73

0.1
0.1
0.2
0.3

24
24
14
11

JAN Fut=96.69 Days=36 atmVol=52.83% IntRate = 0.00%

JAN Volatility Skew
Last Trading Date: January 17, 2000

Strike v. Volatilitywww.pmpublishing.com

FEB - EL Next (MAR) - Previous (JAN) - 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)

96.13
96.25
96.38
96.50
96.63*

34.0
23.0
13.5
6.5
3.0

1.5
3.0
6.0
11.5
20.5

46.6
34.4
22.9
13.0
5.9

---
---
1.4
4.0
9.4

-12.6
-11.4
-9.4
-6.5
-2.9

+1.4
+2.6
+4.6
+7.5
+11.1

----
----
----
----
8.01

22.99
23.16
24.26
27.02
33.02

*.90
*.82
*.71
*.57
.37

-.10
-.18
-.29
-.43
-.56

.00
.00
.00
.01
.01

54
78
99
102
84

0.0
0.1
0.1
0.1
0.1

14
14
14
4
14

FEB Fut=96.59 Days=64 atmVol=13.33% IntRate = 0.00%

FEB Volatility Skew
Last Trading Date: February 14, 2000

Strike v. Volatilitywww.pmpublishing.com

MAR - EL Next (JUN) - Previous (FEB) - 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)

96.00
96.13
96.25
96.38
96.50*
96.63
96.75

47.0
35.5
25.0
15.0
9.0
4.5
2.0

2.0
3.0
5.0
7.5
14.0
22.0
32.0

45.8
34.4
24.1
15.4
8.7
4.3
1.8

0.8
1.9
4.1
7.9
13.7
21.8
31.8

+1.2
+1.1
+0.9
-0.4
+0.3
+0.2
+0.2

19.53
18.09
17.17
15.09
16.04
16.06
16.33

.88
.82
.72
.59
.41
.25
.13

-.12
-.18
-.28
-.41
-.59
-.75
-.87

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

58
81
109
144
136
112
73

0.0
0.0
0.1
0.1
0.1
0.0
0.0

0
0
0
0
0
0
0

MAR Fut=96.45 Days=92 atmVol=15.66% IntRate = 0.00%

MAR Volatility Skew
Last Trading Date: March 13, 2000

Strike v. Volatilitywww.pmpublishing.com

JUN - EL Next (SEP) - Previous (MAR) - 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)

95.00
95.25
95.50
95.75
96.00*
96.25
96.50
96.75

112.0
88.0
65.0
44.5
27.0
14.0
6.5
2.5

2.0
3.0
5.0
9.5
17.0
29.0
46.5
67.5

110.8
87.0
64.3
43.9
26.9
14.2
6.1
2.1

0.8
2.0
4.3
8.9
16.9
29.2
46.1
67.1

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

22.62
21.09
19.85
19.52
19.04
18.76
19.39
19.95

.93
.89
.82
.71
.55
.36
.20
.09

-.07
-.11
-.18
-.29
-.45
-.64
-.80
-.91

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

22
32
46
63
74
71
51
29

0.0
0.0
0.0
0.0
0.1
0.1
0.0
0.0

0
0
0
0
0
0
0
0

JUN Fut=96.10 Days=190 atmVol=18.93% IntRate = 0.00%

JUN Volatility Skew
Last Trading Date: June 19, 2000

Strike v. Volatilitywww.pmpublishing.com

SEP - EL 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)

94.25
94.50
94.75
95.00
95.25
95.50
95.75*
96.00
96.25
96.50
96.75
97.00

163.5
139.5
116.5
94.5
73.5
54.5
37.5
23.5
13.5
7.5
3.5
2.0

2.0
3.0
5.0
8.0
12.0
18.0
26.0
37.0
52.0
71.0
92.0
115.5

162.9
138.9
115.6
93.3
72.4
53.5
37.2
23.9
13.9
7.1
3.1
1.1

1.4
2.4
4.1
6.8
10.9
17.0
25.7
37.4
52.4
70.6
91.6
114.6

+0.6
+0.6
+0.9
+1.2
+1.1
+1.0
+0.3
-0.4
-0.4
+0.4
+0.4
+0.9

22.77
22.30
22.44
22.49
22.15
21.95
21.44
20.94
20.87
21.61
21.85
23.87

.94
.91
.87
.81
.73
.63
.52
.39
.27
.16
.09
.05

-.06
-.09
-.13
-.19
-.27
-.37
-.48
-.61
-.73
-.84
-.91
-.95

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

15
20
26
34
41
47
51
51
43
32
20
12

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

0
0
0
0
0
0
0
0
0
0
0
0

SEP Fut=95.86 Days=281 atmVol=21.21% IntRate = 0.00%

SEP Volatility Skew
Last Trading Date: September 18, 2000

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