Lumber (LB) 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

NYCE

OJ CT

NYMEX

HO CL NG HU

COMEX

GC SI HG

DAILY SUMMARY

Main Page
Opt Calc
NEW - Web POP
Bookstore

	Sponsored by PMpublishing

Daily Lumber Option Analysis - Wed, April 7, 2004
Hit reload on your browser if the date is incorrect.
Help
FREE Email Summaries

Month
MAY
JUL
Futures
Closing Price
389.30
374.80
Days Left
18
61
Implied ATM
Volatility
35.02%
30.24%
Last Trading Date
Fri, Apr. 30, 2004
Wed, Jun. 30, 2004

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

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

JUL 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

JUL Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for LB

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

MAY
JUL
20.06%
24.71%
38.71%
32.30%
35.52%
30.36%
32.97%
27.36%
29.20%
23.56%
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
MAY JUL	20.06% 24.71%	38.71% 32.30%	35.52% 30.36%	32.97% 27.36%	29.20% 23.56%	n/a n/a	n/a n/a	n/a n/a

Implied Standard Deviations for LB

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

MAY
JUL
8.44
7.01
14.62
12.15
22.33
18.56
31.58
26.25
46.22
38.42
65.91
54.79
80.51
66.91
35.02%
30.24%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
MAY JUL	8.44 7.01	14.62 12.15	22.33 18.56	31.58 26.25	46.22 38.42	65.91 54.79	80.51 66.91	35.02% 30.24%

MAY - LB Next (JUL) - 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)

300
310
320
330
340
350
360
370
380
390*
400
410
420
430
440
450

8930
7940
6960
6000
5060
4180
3340
2580
1910
1390
1000
710
490
330
230
150

10
20
40
80
140
250
410
650
980
1460
---
---
---
---
---
---

8930
7930
6936
5962
5019
4124
3296
2555
1917
1389
971
655
426
267
161
94

2
7
19
47
104
207
376
632
990
1459
2037
2717
3485
4323
5215
6147

0
+10
+24
+38
+41
+56
+44
+25
-7
+1
+29
+55
+64
+63
+69
+56

+8
+13
+21
+33
+36
+43
+34
+18
-10
+1
---
---
---
---
---
---

40.94
41.72
40.41
39.46
37.99
37.74
36.61
35.74
34.84
35.04
35.75
36.57
37.13
37.58
38.57
38.91

41.31
40.16
39.27
38.77
37.62
37.12
36.24
35.54
34.75
35.05
----
----
----
----
----
----

1.00
.99
.97
.95
.92
.87
.80
.72
.62
.51
.40
.31
.23
.17
.12
.09

-.01
-.01
-.03
-.05
-.08
-.13
-.19
-.28
-.38
-.49
*-.59
*-.69
*-.76
*-.83
*-.87
*-.91

.02
.04
.06
.10
.15
.22
.28
.34
.39
.41
.39
.36
.31
.26
.21
.16

0.0
0.1
0.1
0.2
0.4
0.5
0.7
0.9
1
1
1
0.9
0.8
0.7
0.5
0.4

2.1
3.7
6.3
11
15
22
28
34
38
40
40
37
32
27
22
17

10
10
10
10
10
0
0
0
0
0
---
---
---
---
---
---

MAY Fut=389.30 Days=18 atmVol=35.02% IntRate = 6.50%

MAY Volatility Skew
Last Trading Date: April 30, 2004

Strike v. Volatilitywww.pmpublishing.com

JUL - LB 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)

270
280
290
300
310
320
330
340
350
360
370*
380
390
400
410
420
430
440
450

---
---
---
---
---
---
5090
4330
3620
2970
2400
1920
1550
1240
990
780
620
480
380

60
100
150
220
320
450
630
860
1150
1500
1920
---
---
---
---
---
---
---
---

10480
9481
8503
7556
6647
5782
4971
4220
3538
2927
2390
1925
1531
1202
932
714
540
404
299

20
40
76
135
225
356
537
778
1085
1464
1915
2439
3034
3694
4414
5186
6004
6861
7750

---
---
---
---
---
---
+119
+110
+82
+43
+10
-5
+19
+38
+58
+66
+80
+76
+81

+40
+60
+74
+85
+95
+94
+93
+82
+65
+36
+5
---
---
---
---
---
---
---
---

----
----
----
----
----
----
32.78
32.23
31.57
30.88
30.38
30.16
30.50
30.80
31.17
31.41
31.83
31.97
32.38

35.70
35.45
34.71
33.98
33.39
32.70
32.22
31.73
31.28
30.78
30.31
----
----
----
----
----
----
----
----

*.99
*.97
*.95
*.92
*.89
*.85
.80
.75
.69
.63
.56
.49
.42
.35
.30
.25
.20
.17
.14

-.02
-.04
-.05
-.07
-.10
-.14
-.18
-.24
-.30
-.36
-.43
*-.50
*-.57
*-.64
*-.69
*-.74
*-.79
*-.83
*-.86

.10
.14
.19
.25
.32
.40
.48
.56
.62
.67
.71
.71
.70
.67
.62
.57
.51
.45
.39

0.1
0.1
0.2
0.2
0.3
0.4
0.5
0.5
0.6
0.7
0.7
0.7
0.7
0.7
0.6
0.6
0.5
0.4
0.4

2.9
4.2
5.5
7.0
8.8
11
13
14
16
17
17
17
17
17
16
15
13
12
10

---
---
---
---
---
---
20
10
10
10
0
---
---
---
---
---
---
---
---

JUL Fut=374.80 Days=61 atmVol=30.24% IntRate = 6.50%

JUL Volatility Skew
Last Trading Date: June 30, 2004

Strike v. Volatilitywww.pmpublishing.com

PMpublishing's Daily Options Summary Home Page

Click Here for FREE Options Summaries Emailed Directly to you

E-mail: info@pmpublishing.com

We are currently in the process of adding features to the site. Please do not hesitate to let us know what trading tools you would like to have. You can submit your email address if you want a reply or if you want to be informed of future updates.
Suggestions:
E-mail: