Feeder Cattle (FC) Option Volatility Analysis

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DAILY SUMMARY

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Daily Feeder Cattle Option Analysis - Wed, April 7, 2004
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Month
APR
MAY
AUG
Futures
Closing Price
90.550
86.800
87.575
Days Left
17
37
102
Implied ATM
Volatility
10.28%
17.57%
18.04%
Last Trading Date
Thu, Apr. 29, 2004
Thu, May 27, 2004
Thu, Aug. 26, 2004

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

APR 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

APR Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

MAY 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

MAY Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

AUG 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

AUG Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for FC

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

APR
MAY
AUG
5.98%
16.42%
16.06%
14.23%
13.77%
10.81%
15.85%
17.52%
14.29%
15.53%
16.29%
13.29%
14.04%
14.69%
11.58%
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
APR MAY AUG	5.98% 16.42% 16.06%	14.23% 13.77% 10.81%	15.85% 17.52% 14.29%	15.53% 16.29% 13.29%	14.04% 14.69% 11.58%	n/a n/a n/a	n/a n/a n/a	n/a n/a n/a

Implied Standard Deviations for FC

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

APR
MAY
AUG
.58
.94
.98
1.00
1.64
1.69
1.52
2.50
2.59
2.16
3.53
3.66
3.15
5.17
5.35
4.50
7.37
7.64
5.49
9.01
9.33
10.28%
17.57%
18.04%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
APR MAY AUG	.58 .94 .98	1.00 1.64 1.69	1.52 2.50 2.59	2.16 3.53 3.66	3.15 5.17 5.35	4.50 7.37 7.64	5.49 9.01 9.33	10.28% 17.57% 18.04%

APR - FC Next (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)

70
72
74
76
78
80
82
84
85
86
88
89
90
91*
92
93
94
96

---
---
1657.5
---
---
1067.5
872.5
675.0
---
490.0
280.0
215.0
130.0
65.0
35.0
12.5
10.0
2.5

5.0
5.0
5.0
7.5
10.0
12.5
17.5
20.0
30.0
35.0
40.0
60.0
80.0
---
180.0
---
---
---

2055.0
1855.0
1655.0
1455.0
1255.0
1055.0
855.0
655.0
555.0
456.2
270.5
190.4
124.0
73.9
39.9
19.3
8.4
1.1

---
---
---
---
---
---
---
---
0.6
2.1
16.4
35.9
69.2
118.7
184.4
263.5
352.3
545.2

---
---
+2.5
---
---
+12.5
+17.5
+20.0
---
+33.8
+9.5
+24.6
+6.0
-8.9
-4.9
-6.8
+1.6
+1.4

+5.0
+5.0
+5.0
+7.5
+10.0
+12.5
+17.5
+19.9
+29.4
+32.9
+23.6
+24.1
+10.8
---
-4.4
---
---
---

----
----
38.41
----
----
30.39
27.04
22.40
----
19.96
12.01
13.46
10.94
9.29
9.64
8.95
10.74
11.60

46.47
41.98
37.58
35.43
32.53
29.12
26.21
21.86
21.58
19.68
14.27
13.39
11.48
----
9.70
----
----
----

*.99
*.99
.98
*.98
*.97
.95
.93
.91
*.88
.85
.83
.70
.59
.42
.26
.12
.09
.02

-.01
-.01
-.02
-.02
-.03
-.04
-.06
-.08
-.12
-.15
-.21
-.30
-.41
*-.58
-.73
*-.87
*-.91
*-.98

.01
.01
.01
.01
.02
.02
.03
.04
.05
.05
.07
.08
.09
.09
.08
.05
.04
.01

0.3
0.4
0.5
0.7
1.0
1
2
3
4
5
9
11
15
18
15
10
6
2

1.0
1.0
1.0
1.3
1.6
1.8
2.2
2.3
2.9
3.1
2.8
3.2
3.1
2.5
2.2
1.2
1.1
0.4

---
---
2
---
---
0
0
0
---
0
15
0
5
---
0
---
---
---

APR Fut=90.550 Days=17 atmVol=10.28% IntRate = 6.50%

APR Volatility Skew
Last Trading Date: April 29, 2004

Strike v. Volatilitywww.pmpublishing.com

MAY - FC Next (AUG) - Previous (APR) - 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
78
80
82
83
84
86*
88
90
92
94
96
98
100

---
---
---
---
---
742.5
572.5
---
410.0
275.0
165.0
90.0
47.5
27.5
12.5
7.5
2.5

35.0
37.5
40.0
45.0
50.0
65.0
92.5
107.5
130.0
195.0
285.0
410.0
---
---
---
---
---

1680.0
1480.0
1280.0
1080.8
887.7
704.5
536.6
460.2
389.7
268.2
174.3
106.5
61.2
33.0
16.7
7.9
3.6

---
---
1.4
4.4
12.1
28.7
59.8
82.8
111.6
188.8
293.4
424.3
577.7
748.5
931.8
1123.2
1320.1

---
---
---
---
---
+38.0
+35.9
---
+20.3
+6.8
-9.3
-16.5
-13.7
-5.5
-4.2
-0.4
-1.1

+34.9
+37.1
+38.6
+40.6
+37.9
+36.3
+32.7
+24.7
+18.4
+6.2
-8.4
-14.3
---
---
---
---
---

----
----
----
----
----
23.06
21.44
----
19.36
18.10
16.84
16.09
16.00
16.70
16.52
17.40
16.73

38.74
35.26
31.71
28.53
25.14
22.81
21.10
19.96
19.19
18.06
16.91
16.30
----
----
----
----
----

*.94
*.93
*.92
*.90
*.88
.83
.77
*.73
.68
.56
.42
.28
.17
.11
.06
.03
.01

-.06
-.07
-.08
-.10
-.12
-.16
-.22
-.26
-.31
-.43
-.57
-.71
*-.82
*-.89
*-.95
*-.97
*-1.00

.04
.04
.05
.06
.06
.08
.10
.11
.11
.13
.13
.11
.08
.06
.04
.02
.01

0.9
1
1
2
2
3
4
5
6
7
7
6
5
3
2
1
0.6

2.0
2.1
2.1
2.2
2.2
2.4
2.8
2.8
3.0
3.1
2.9
2.4
1.8
1.4
0.8
0.6
0.2

---
---
---
---
---
2
0
---
0
0
0
0
---
---
---
---
---

MAY Fut=86.800 Days=37 atmVol=17.57% IntRate = 6.50%

MAY Volatility Skew
Last Trading Date: May 27, 2004

Strike v. Volatilitywww.pmpublishing.com

AUG - FC 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)

72
74
76
78
80
82
84
86
88*
90
92
94
96
98
100

---
---
---
---
902.5
755.0
610.0
465.0
367.5
270.0
190.0
125.0
75.0
45.0
25.0

67.5
75.0
90.0
115.0
150.0
200.0
255.0
307.5
410.0
510.0
---
---
---
---
---

1559.2
1368.5
1186.7
1015.2
855.8
710.2
579.7
465.1
366.7
284.0
216.1
161.6
118.7
85.8
60.9

14.8
26.5
45.0
72.3
110.8
162.3
228.5
310.4
408.4
522.2
650.9
793.1
947.5
1112.2
1285.7

---
---
---
---
+46.7
+44.8
+30.3
-0.1
+0.8
-14.0
-26.1
-36.6
-43.7
-40.8
-35.9

+52.7
+48.5
+45.0
+42.7
+39.2
+37.7
+26.5
-2.9
+1.6
-12.2
---
---
---
---
---

----
----
----
----
21.06
20.56
19.58
18.03
18.07
17.37
16.71
15.97
15.14
14.73
14.30

25.70
23.74
22.30
21.33
20.58
20.16
19.38
17.90
18.11
17.46
----
----
----
----
----

*.90
*.88
*.85
*.82
.76
.71
.65
.58
.50
.41
.33
.25
.17
.12
.07

-.10
-.11
-.14
-.17
-.22
-.27
-.34
-.41
-.49
-.57
*-.65
*-.74
*-.82
*-.88
*-.93

.09
.10
.12
.14
.16
.18
.20
.21
.21
.21
.20
.17
.14
.11
.08

1
1
2
2
3
3
3
4
4
4
4
4
3
2
2

1.1
1.2
1.3
1.4
1.6
1.8
1.8
1.8
1.8
1.8
1.6
1.3
1.0
0.8
0.5

---
---
---
---
5
2
3
0
0
3
---
---
---
---
---

AUG Fut=87.575 Days=102 atmVol=18.04% IntRate = 6.50%

AUG Volatility Skew
Last Trading Date: August 26, 2004

Strike v. Volatilitywww.pmpublishing.com

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