Mini S&P 500 (ES) 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

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HO CL NG HU

COMEX

GC SI HG

DAILY SUMMARY

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Daily Mini S&P 500 Option Analysis - Wed, April 7, 2004
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Month
JUN
SEP
Futures
Closing Price
1142.25
1141.00
Days Left
52
118
Implied ATM
Volatility
15.09%
16.18%
Last Trading Date
Thu, Jun. 17, 2004
Fri, Sep. 17, 2004

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

JUN Implied Volatility v. 1-Month Historical Volatility
January 28, 2010 - April 7, 2010

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

JUN Futures
January 28, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 1-Month Historical Volatility
April 5, 2010 - April 7, 2010

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

Historical Volatilities for ES

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

JUN
SEP
8.52%
8.57%
13.25%
n/a
14.74%
n/a
11.86%
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	8.52% 8.57%	13.25% n/a	14.74% n/a	11.86% n/a	n/a n/a	n/a n/a	n/a n/a	n/a n/a

Implied Standard Deviations for ES

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

JUN
SEP
10.67
11.43
18.48
19.80
28.23
30.24
39.92
42.77
58.44
62.60
83.33
89.27
101.77
109.03
15.09%
16.18%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
JUN SEP	10.67 11.43	18.48 19.80	28.23 30.24	39.92 42.77	58.44 62.60	83.33 89.27	101.77 109.03	15.09% 16.18%

JUN - ES 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)

940
950
960
970
980
990
1000
1010
1020
1030
1035
1040
1045
1050
1055
1060
1065
1070
1075
1080
1085
1090
1095
1100
1105
1110
1115
1120
1125
1130
1135
1140*
1145
1150
1155
1160
1165
1170
1175
1180
1185
1190
1195
1200
1205
1210
1220
1230
1240
1250
1290
1300

20400
19400
---
---
---
---
14650
---
12775
11850
---
10950
---
10050
---
9175
---
8325
7900
---
7075
6675
6275
5900
5500
5150
4775
4425
4100
3775
3475
3175
2875
2625
2350
2125
1900
1675
1475
1300
1150
1000
850
750
625
550
375
275
200
125
50
25

200
225
275
300
350
400
450
525
600
650
700
750
800
850
925
975
1050
1125
1200
1275
1375
1450
1550
1675
1800
1925
2050
2200
2375
2550
2750
2950
3150
3400
3625
3875
4150
4450
4750
---
---
---
---
6500
---
---
---
---
---
10875
---
15775

20225
19225
18225
17225
16225
15225
14231
13252
12288
11343
10878
10419
9966
9520
9081
8649
8226
7811
7405
7009
6623
6247
5883
5529
5188
4859
4541
4237
3945
3666
3400
3147
2907
2679
2464
2262
2072
1894
1727
1572
1427
1294
1170
1055
950
853
684
543
428
334
114
85

4
7
11
18
28
43
65
96
138
195
231
271
317
369
428
494
568
650
741
841
951
1071
1202
1345
1499
1665
1843
2034
2237
2453
2682
2924
3179
3447
3727
4020
4325
4642
4970
5311
5662
6023
6395
6776
7167
7567
8390
9244
10123
11026
14810
15788

+175
+175
---
---
---
---
+419
---
+487
+507
---
+531
---
+530
---
+526
---
+514
+495
---
+452
+428
+392
+371
+312
+291
+234
+188
+155
+109
+75
+28
-32
-54
-114
-137
-172
-219
-252
-272
-277
-294
-320
-305
-325
-303
-309
-268
-228
-209
-64
-60

+196
+218
+264
+282
+322
+357
+385
+429
+462
+455
+469
+479
+483
+481
+497
+481
+482
+475
+459
+434
+424
+379
+348
+330
+301
+260
+207
+166
+138
+97
+68
+26
-29
-47
-102
-145
-175
-192
-220
---
---
---
---
-276
---
---
---
---
---
-151
---
-13

27.67
26.35
----
----
----
----
23.48
----
22.05
21.34
----
20.77
----
20.08
----
19.49
----
18.95
18.63
----
18.04
17.77
17.45
17.24
16.85
16.68
16.34
16.07
15.88
15.64
15.46
15.23
14.93
14.82
14.52
14.39
14.20
13.94
13.73
13.58
13.49
13.33
13.08
13.07
12.81
12.84
12.44
12.42
12.42
12.08
13.17
12.60

25.32
24.74
24.59
23.85
23.47
22.97
22.38
22.00
21.50
20.65
20.44
20.20
19.92
19.62
19.48
19.12
18.91
18.66
18.37
18.05
17.86
17.46
17.19
17.01
16.79
16.51
16.19
15.96
15.80
15.58
15.43
15.22
14.95
14.86
14.58
14.36
14.19
14.08
13.90
----
----
----
----
13.27
----
----
----
----
----
12.92
----
13.74

.95
.95
*.95
*.94
*.93
*.92
.90
*.90
.88
.87
*.87
.85
*.85
.83
*.83
.81
*.80
.79
.77
*.76
.75
.73
.71
.70
.68
.66
.64
.62
.59
.57
.55
.52
.49
.47
.44
.41
.39
.36
.33
.30
.28
.25
.23
.21
.18
.16
.12
.09
.07
.05
.02
.01

-.04
-.04
-.05
-.06
-.06
-.07
-.08
-.10
-.11
-.12
-.13
-.14
-.15
-.16
-.17
-.18
-.19
-.20
-.22
-.23
-.24
-.26
-.27
-.29
-.31
-.33
-.35
-.37
-.40
-.42
-.45
-.47
-.50
-.52
-.55
-.58
-.60
-.63
-.66
*-.69
*-.71
*-.74
*-.77
-.78
*-.81
*-.83
*-.87
*-.90
*-.93
-.94
*-1.00
-1.00

.47
.48
.53
.57
.64
.71
.81
.86
.96
1.04
1.07
1.14
1.17
1.23
1.27
1.33
1.38
1.44
1.49
1.54
1.60
1.65
1.70
1.75
1.79
1.84
1.88
1.92
1.95
1.98
2.00
2.01
2.01
2.01
1.99
1.97
1.94
1.89
1.84
1.77
1.70
1.62
1.53
1.45
1.33
1.25
1.03
.86
.70
.56
.25
.15

0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.4
0.4
0.4
0.4
0.4
0.4
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.4
0.4
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1

9.9
11
12
13
14
15
17
18
19
20
21
22
22
23
24
24
25
26
26
26
27
27
28
28
29
29
29
29
29
29
29
29
29
28
28
27
26
25
24
23
22
21
19
18
16
15
12
10
8.3
7.6
3.1
3.0

25
50
---
---
---
---
25
---
50
25
---
25
---
25
---
25
---
25
25
---
25
0
0
0
25
0
0
0
0
0
0
0
0
0
0
25
25
0
0
---
---
---
---
25
---
---
---
---
---
25
---
25

JUN Fut=1142.25 Days=52 atmVol=15.09% IntRate = 6.50%

JUN Volatility Skew
Last Trading Date: June 17, 2004

Strike v. Volatilitywww.pmpublishing.com

SEP - ES 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)

940
950
960
970
980
990
1000
1010
1030
1040
1050
1060
1070
1075
1080
1090
1100
1110
1115
1120
1125
1130
1140*
1150
1160
1170
1175
1180
1190
1200
1210
1220
1250
1290

---
19925
---
---
---
16300
15425
---
---
12025
11225
10450
9675
9300
8925
---
7475
6800
---
6125
5825
---
4925
4375
3850
3400
3175
2950
2550
2150
1850
1550
900
375

850
925
1000
1100
1200
1300
1400
1550
1825
2000
2175
2400
2600
2725
2850
3100
3400
3700
3875
4050
4225
4400
4800
5250
5750
---
---
---
---
---
---
---
---
---

20105
19127
18165
17221
16295
15389
14503
13638
11979
11187
10421
9684
8976
8633
8298
7650
7034
6450
6170
5898
5635
5379
4891
4435
4011
3616
3430
3251
2915
2606
2323
2065
1427
839

166
212
268
335
416
511
623
753
1076
1271
1492
1739
2014
2162
2318
2652
3017
3413
3623
3841
4067
4301
4793
5317
5872
6457
6761
7072
7717
8389
9088
9812
12127
15495

---
+798
---
---
---
+911
+922
---
---
+838
+804
+766
+699
+667
+627
---
+441
+350
---
+227
+190
---
+34
-60
-161
-216
-255
-301
-365
-456
-473
-515
-527
-464

+684
+713
+732
+765
+784
+789
+777
+797
+749
+729
+683
+661
+586
+563
+532
+448
+383
+287
+252
+209
+158
+99
+7
-67
-122
---
---
---
---
---
---
---
---
---

----
24.61
----
----
----
22.48
22.02
----
----
20.15
19.77
19.42
18.99
18.81
18.60
----
17.77
17.41
----
16.96
16.83
----
16.30
15.98
15.64
15.45
15.31
15.14
14.89
14.51
14.37
14.11
13.63
12.97

23.49
23.09
22.65
22.33
21.95
21.53
21.05
20.79
19.96
19.63
19.23
18.97
18.54
18.40
18.23
17.84
17.56
17.19
17.05
16.90
16.72
16.52
16.21
15.96
15.78
----
----
----
----
----
----
----
----
----

*.90
.88
*.88
*.87
*.86
.84
.82
*.82
*.79
.76
.74
.72
.70
.69
.68
*.66
.63
.60
*.59
.58
.56
*.55
.51
.48
.45
.42
.40
.38
.35
.31
.28
.25
.17
.08

-.09
-.10
-.11
-.12
-.13
-.14
-.15
-.17
-.20
-.22
-.23
-.25
-.28
-.29
-.30
-.32
-.35
-.38
-.39
-.40
-.42
-.43
-.47
-.50
-.53
*-.56
*-.58
*-.60
*-.63
*-.67
*-.70
*-.73
*-.82
*-.92

1.28
1.41
1.44
1.53
1.63
1.75
1.85
1.92
2.12
2.24
2.35
2.45
2.54
2.59
2.64
2.72
2.80
2.87
2.90
2.92
2.95
2.96
2.99
2.99
2.98
2.94
2.91
2.88
2.80
2.68
2.56
2.41
1.91
1.18

0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.2
0.2

13
13
14
14
15
15
16
17
18
18
19
19
20
20
20
20
20
20
20
20
20
20
20
20
19
19
18
18
17
16
15
14
11
6.4

---
100
---
---
---
100
75
---
---
75
50
50
25
25
25
---
25
0
---
25
0
---
25
25
0
---
---
---
---
---
---
---
---
---

SEP Fut=1141.00 Days=118 atmVol=16.18% IntRate = 6.50%

SEP Volatility Skew
Last Trading Date: September 17, 2004

Strike v. Volatilitywww.pmpublishing.com

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