Heating Oil (HO) Option Volatility Analysis

Daily Heating Oil Option Analysis - Mon, November 26, 2001
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Month
DEC
Futures
Closing Price
52.17
Days Left
2
Implied ATM
Volatility
50.79%
Last Trading Date
Tue, Nov. 27, 2001

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

Historical Volatilities for HO

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

Implied Standard Deviations for HO

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

DEC
1.64
2.84
4.34
6.14
8.98
12.81
15.65
50.79%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
DEC	1.64	2.84	4.34	6.14	8.98	12.81	15.65	50.79%

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)

48
50
51
52*
53
54
55
56
57

---
238
---
179
58
30
14
6
2

3
21
45
84
141
213
297
389
485

419
237
162
101
58
30
14
6
2

3
21
45
84
141
213
297
389
485

---
+1
---
+78
0
0
0
0
0

0
0
0
0
0
0
0
0
0

----
51.26
----
93.73
51.05
51.08
51.13
51.40
50.38

51.97
51.18
51.03
50.74
51.07
51.14
51.26
51.69
51.06

*.97
.83
*.70
.53
.37
.23
.12
.06
.02

-.03
-.17
-.30
-.46
-.63
-.77
-.88
-.94
-.97

.00
.01
.02
.02
.02
.01
.01
.01
.00

3
11
15
17
16
13
9
5
3

2.8
14
22
27
25
18
11
5.3
2.0

---
0
---
78
0
0
0
0
0

DEC Fut=52.17 Days=2 atmVol=50.79% IntRate = 6.50%

DEC Volatility Skew
Last Trading Date: November 27, 2001

Strike v. Volatilitywww.pmpublishing.com

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