Live Cattle (LC) Option Volatility Analysis

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DAILY SUMMARY

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Daily Live Cattle Option Analysis - Wed, April 7, 2004
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Month
JUN
AUG
Futures
Closing Price
76.075
75.475
Days Left
43
88
Implied ATM
Volatility
17.46%
18.61%
Last Trading Date
Fri, Jun. 4, 2004
Fri, Aug. 6, 2004

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

JUN 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

JUN 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 LC

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

JUN
AUG
13.39%
5.21%
20.56%
7.97%
16.72%
9.32%
14.84%
8.95%
13.50%
8.65%
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 AUG	13.39% 5.21%	20.56% 7.97%	16.72% 9.32%	14.84% 8.95%	13.50% 8.65%	n/a n/a	n/a n/a	n/a n/a

Implied Standard Deviations for LC

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

JUN
AUG
.82
.87
1.42
1.51
2.18
2.30
3.08
3.25
4.50
4.76
6.42
6.79
7.85
8.29
17.46%
18.61%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
JUN AUG	.82 .87	1.42 1.51	2.18 2.30	3.08 3.25	4.50 4.76	6.42 6.79	7.85 8.29	17.46% 18.61%

JUN - LC Next (AUG) - 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)

56
58
60
62
64
66
67
68
69
70
71
72
73
74
75
76*
77
78
79
80
81
82
83
84
86
88
90

---
---
---
---
---
---
---
840.0
---
655.0
---
492.5
417.5
342.5
280.0
217.5
165.0
130.0
95.0
70.0
55.0
40.0
30.0
25.0
20.0
15.0
10.0

10.0
12.5
15.0
17.5
20.0
25.0
30.0
35.0
40.0
50.0
60.0
85.0
110.0
135.0
172.5
210.0
257.5
322.5
---
462.5
---
---
---
---
---
---
---

2007.5
1807.5
1607.5
1407.5
1207.5
1008.0
910.4
815.1
722.5
633.5
548.9
469.4
395.9
329.1
269.3
216.9
171.8
133.8
102.4
77.0
56.9
41.4
29.5
20.7
9.7
4.2
1.7

---
---
---
---
1.2
4.2
7.3
12.2
19.6
30.3
45.2
65.1
90.9
123.3
162.7
209.4
263.5
324.7
392.5
466.4
545.7
629.5
717.2
808.1
997.1
1192.8
1392.5

---
---
---
---
---
---
---
+24.9
---
+21.5
---
+23.1
+21.6
+13.4
+10.7
+0.6
-6.8
-3.8
-7.4
-7.0
-1.9
-1.4
+0.5
+4.3
+10.3
+10.8
+8.3

+10.0
+12.5
+14.9
+17.2
+18.8
+20.8
+22.7
+22.8
+20.4
+19.7
+14.8
+19.9
+19.1
+11.7
+9.8
+0.6
-6.0
-2.2
---
-3.9
---
---
---
---
---
---
---

----
----
----
----
----
----
----
23.18
----
20.77
----
20.00
19.56
18.66
18.36
17.52
16.90
17.14
16.77
16.73
17.23
17.28
17.54
18.31
20.32
21.80
22.63

38.79
36.31
33.54
30.57
27.42
24.73
23.77
22.60
21.26
20.48
19.39
19.65
19.32
18.51
18.29
17.51
16.97
17.27
----
17.06
----
----
----
----
----
----
----

*.98
*.98
*.97
*.96
*.95
*.93
*.91
.89
*.88
.84
*.82
.76
.71
.65
.59
.52
.44
.37
.30
.24
.19
.15
.12
.10
.07
.05
.04

-.02
-.03
-.03
-.04
-.05
-.07
-.09
-.10
-.12
-.15
-.18
-.23
-.28
-.34
-.41
-.48
-.55
-.62
*-.69
-.75
*-.80
*-.85
*-.88
*-.90
*-.93
*-.95
*-.97

.02
.02
.02
.03
.03
.04
.05
.06
.06
.07
.08
.09
.10
.11
.12
.12
.12
.12
.11
.10
.08
.07
.06
.05
.04
.03
.02

0.4
0.6
0.7
1.0
1
2
2
3
3
4
4
5
6
6
7
7
7
7
7
6
5
4
4
3
2
2
1

0.7
0.8
0.9
1.0
1.1
1.2
1.3
1.4
1.5
1.7
1.8
2.1
2.3
2.4
2.5
2.5
2.4
2.3
2.1
1.9
1.7
1.4
1.2
1.1
1.0
0.8
0.6

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

JUN Fut=76.075 Days=43 atmVol=17.46% IntRate = 6.50%

JUN Volatility Skew
Last Trading Date: June 4, 2004

Strike v. Volatilitywww.pmpublishing.com

AUG - LC 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)

58
60
62
64
66
68
70
72
74
76*
78
80
82
84
86

---
---
---
---
---
---
685.0
535.0
412.5
290.0
190.0
130.0
82.5
50.0
42.5

22.5
27.5
40.0
50.0
82.5
95.0
140.0
190.0
265.0
342.5
---
---
---
---
---

1747.5
1547.5
1348.3
1156.4
974.5
804.9
650.2
512.9
394.5
295.7
215.9
153.5
106.3
71.8
47.2

1.7
4.4
9.9
20.4
38.6
67.7
110.8
170.8
249.4
347.4
464.4
599.1
749.3
912.6
1086.6

---
---
---
---
---
---
+34.8
+22.1
+18.0
-5.7
-25.9
-23.5
-23.8
-21.8
-4.7

+20.8
+23.1
+30.1
+29.6
+43.9
+27.3
+29.2
+19.2
+15.6
-4.9
---
---
---
---
---

----
----
----
----
----
----
21.22
20.05
19.68
18.27
17.05
17.05
16.76
16.52
18.06

27.75
25.89
25.07
23.31
23.61
21.13
20.80
19.86
19.54
18.32
----
----
----
----
----

*.96
*.95
*.92
*.90
*.85
*.81
.74
.67
.58
.49
.38
.29
.21
.14
.11

-.04
-.05
-.08
-.10
-.14
-.18
-.24
-.32
-.40
-.50
*-.60
*-.70
*-.78
*-.85
*-.88

.04
.05
.06
.08
.10
.11
.14
.15
.17
.17
.17
.15
.12
.10
.08

0.7
1.0
1
2
2
3
3
4
4
5
5
5
4
3
2

0.6
0.7
0.9
1.0
1.3
1.3
1.6
1.7
1.8
1.7
1.6
1.4
1.2
0.9
0.9

---
---
---
---
---
---
3
3
0
0
---
---
---
---
---

AUG Fut=75.475 Days=88 atmVol=18.61% IntRate = 6.50%

AUG Volatility Skew
Last Trading Date: August 6, 2004

Strike v. Volatilitywww.pmpublishing.com

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