Long Gilt (LG) Option Volatility Analysis

Daily Long Gilt Option Analysis - Mon, December 13, 1999
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Month
JAN
FEB
MAR
MAR
JUN
JUN
Futures
Closing Price
114.57
114.57
114.57
114.57
114.57
114.57
Days Left
9
43
72
108
164
199
Implied ATM
Volatility
9.40%
8.93%
9.30%
7.62%
9.50%
8.65%
Last Trading Date
Tue, Dec. 21, 1999
Mon, Jan. 24, 2000
Tue, Feb. 22, 2000
Wed, Mar. 29, 2000
Wed, May 24, 2000
Wed, Jun. 28, 2000

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

JAN Implied Volatility v. 1-Week Historical Volatility
October 22, 1999 - December 13, 1999

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

JAN Futures
October 22, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 1-Week Historical Volatility
July 7, 1999 - December 13, 1999

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

DEC Futures
July 7, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

FEB Implied Volatility v. 1-Week Historical Volatility
October 25, 1999 - December 13, 1999

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

FEB Futures
October 25, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

MAR Implied Volatility v. 1-Week Historical Volatility
October 22, 1999 - December 13, 1999

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

MAR Futures
October 22, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

APR Implied Volatility v. 1-Week Historical Volatility
October 29, 1999 - December 13, 1999

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

APR Futures
October 29, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

MAR Implied Volatility v. 1-Week Historical Volatility
July 7, 1999 - December 13, 1999

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

MAR Futures
July 7, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

MAY Implied Volatility v. 1-Week Historical Volatility
October 29, 1999 - December 13, 1999

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

MAY Futures
October 29, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

JUN Implied Volatility v. 1-Week Historical Volatility
October 29, 1999 - December 13, 1999

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

JUN Futures
October 29, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

JUL Implied Volatility v. 1-Week Historical Volatility
December 2, 1999 - December 13, 1999

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

JUL Futures
December 2, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

JUN Implied Volatility v. 1-Week Historical Volatility
October 6, 1999 - December 13, 1999

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

JUN Futures
October 6, 1999 - December 13, 1999

Days to Options Expiration v. Futures Price

Historical Volatilities for LG

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

JAN
DEC
FEB
MAR
APR
MAR
MAY
JUN
JUL
JUN
4.96%
4.96%
4.96%
4.96%
4.96%
4.96%
4.96%
4.96%
4.96%
4.96%
6.88%
6.88%
6.88%
6.88%
6.88%
6.88%
6.88%
6.88%
6.88%
6.88%
8.13%
8.13%
8.13%
8.13%
8.13%
8.13%
8.13%
8.13%
n/a
8.13%
7.07%
7.07%
7.07%
7.07%
7.07%
7.07%
7.07%
7.07%
n/a
7.07%
n/a
7.13%
n/a
n/a
n/a
7.13%
n/a
n/a
n/a
7.02%
n/a
6.93%
n/a
n/a
n/a
6.93%
n/a
n/a
n/a
n/a
n/a
8.97%
n/a
n/a
n/a
8.97%
n/a
n/a
n/a
n/a
n/a
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
JAN DEC FEB MAR APR MAR MAY JUN JUL JUN	4.96% 4.96% 4.96% 4.96% 4.96% 4.96% 4.96% 4.96% 4.96% 4.96%	6.88% 6.88% 6.88% 6.88% 6.88% 6.88% 6.88% 6.88% 6.88% 6.88%	8.13% 8.13% 8.13% 8.13% 8.13% 8.13% 8.13% 8.13% n/a 8.13%	7.07% 7.07% 7.07% 7.07% 7.07% 7.07% 7.07% 7.07% n/a 7.07%	n/a 7.13% n/a n/a n/a 7.13% n/a n/a n/a 7.02%	n/a 6.93% n/a n/a n/a 6.93% n/a n/a n/a n/a	n/a 8.97% n/a n/a n/a 8.97% n/a n/a n/a n/a	n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a

Implied Standard Deviations for LG

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

JAN
FEB
MAR
MAR
JUN
JUN
.56
.54
.56
.46
.57
.52
.98
.93
.97
.79
.99
.90
1.49
1.42
1.48
1.21
1.51
1.37
2.11
2.00
2.09
1.71
2.13
1.94
3.09
2.93
3.06
2.50
3.12
2.84
4.40
4.18
4.36
3.57
4.45
4.05
5.38
5.11
5.32
4.36
5.43
4.95
9.40%
8.93%
9.30%
7.62%
9.50%
8.65%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
JAN FEB MAR MAR JUN JUN	.56 .54 .56 .46 .57 .52	.98 .93 .97 .79 .99 .90	1.49 1.42 1.48 1.21 1.51 1.37	2.11 2.00 2.09 1.71 2.13 1.94	3.09 2.93 3.06 2.50 3.12 2.84	4.40 4.18 4.36 3.57 4.45 4.05	5.38 5.11 5.32 4.36 5.43 4.95	9.40% 8.93% 9.30% 7.62% 9.50% 8.65%

JAN - LG Next (FEB) - 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)

111.5
112.0
112.5
113.0
113.5
114.0
114.5*
115.0
115.5
116.0
116.5
117.0
117.5

309
261
216
173
133
99
71
48
31
19
11
6
3

2
4
9
16
26
42
64
91
124
162
204
249
296

309
261
216
173
134
100
71
48
31
19
11
6
3

2
5
9
16
27
43
64
91
124
162
204
249
296

0
0
0
0
-1
-1
0
0
0
0
0
0
0

0
-1
0
0
-1
-1
0
0
0
0
0
0
0

9.47
9.27
9.54
9.47
9.29
9.33
9.41
9.37
9.38
9.40
9.41
9.41
9.37

9.28
9.16
9.48
9.44
9.27
9.32
9.41
9.38
9.39
9.42
9.45
9.49
9.51

.97
.94
.89
.82
.74
.64
.52
.40
.29
.20
.13
.08
.04

-.03
-.06
-.11
-.17
-.26
-.36
-.48
-.60
-.70
-.80
-.87
-.92
-.95

.01
.02
.03
.05
.06
.07
.07
.07
.06
.05
.04
.03
.02

4
7
11
15
19
22
24
23
20
17
13
9
6

0.6
1.0
1.7
2.4
3.0
3.6
3.8
3.7
3.3
2.7
2.0
1.4
0.9

0
0
0
0
0
0
0
0
0
0
0
0
0

JAN Fut=114.57 Days=9 atmVol=9.40% IntRate = 4.50%

JAN Volatility Skew
Last Trading Date: December 21, 1999

Strike v. Volatilitywww.pmpublishing.com

FEB - LG Next (MAR) - Previous (JAN) - 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)

107.5
108.0
108.5
109.0
109.5
110.0
110.5
111.0
111.5
112.0
112.5
113.0
113.5
114.0
114.5*
115.0
115.5
116.0
116.5
117.0
117.5
118.0
118.5
119.0
119.5
120.0
120.5
121.0

709
660
612
564
517
472
427
384
342
303
266
231
199
169
143
119
98
80
65
52
41
31
24
18
14
10
7
5

2
3
5
7
10
15
20
27
35
46
59
74
92
112
136
162
191
223
258
295
334
374
417
461
507
553
600
648

708
659
610
563
516
470
425
382
341
302
265
230
199
169
143
119
99
80
65
52
41
32
24
18
14
10
7
5

2
4
5
7
11
15
20
27
36
46
59
74
92
113
136
162
191
223
257
294
333
373
416
460
505
551
599
646

+1
+1
+2
+1
+1
+2
+2
+2
+1
+1
+1
+1
0
0
0
0
-1
0
0
0
0
-1
0
0
0
0
0
0

0
-1
0
0
-1
0
0
0
-1
0
0
0
0
-1
0
0
0
0
+1
+1
+1
+1
+1
+1
+2
+2
+1
+2

9.68
9.46
9.44
9.26
9.16
9.24
9.12
9.09
9.00
9.01
9.00
8.97
8.96
8.91
8.93
8.91
8.89
8.90
8.93
8.95
8.95
8.86
8.89
8.86
8.95
8.88
8.81
8.81

8.73
8.71
8.88
8.82
8.82
8.98
8.92
8.94
8.88
8.92
8.94
8.92
8.93
8.89
8.93
8.92
8.92
8.94
8.99
9.03
9.05
8.99
9.06
9.09
9.24
9.24
9.28
9.39

.98
.97
.96
.94
.93
.90
.88
.85
.81
.77
.72
.68
.62
.57
.51
.46
.40
.35
.30
.25
.21
.17
.14
.11
.09
.07
.05
.04

-.02
-.02
-.04
-.05
-.07
-.09
-.12
-.15
-.18
-.22
-.27
-.32
-.37
-.43
-.48
-.54
-.60
-.65
-.70
-.74
-.78
-.82
-.86
-.88
-.90
-.92
-.94
-.95

.02
.03
.04
.04
.05
.07
.08
.09
.10
.12
.13
.14
.15
.15
.16
.16
.15
.14
.14
.13
.11
.10
.09
.08
.07
.05
.04
.04

1
2
2
3
4
5
6
7
8
9
9
10
11
11
11
11
11
10
10
9
8
7
6
5
5
4
3
3

0.2
0.2
0.3
0.4
0.5
0.7
0.8
0.9
1.1
1.2
1.3
1.5
1.5
1.6
1.6
1.6
1.6
1.5
1.4
1.3
1.2
1.0
0.9
0.8
0.7
0.6
0.5
0.4

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

FEB Fut=114.57 Days=43 atmVol=8.93% IntRate = 4.50%

FEB Volatility Skew
Last Trading Date: January 24, 2000

Strike v. Volatilitywww.pmpublishing.com

MAR - LG Next (MAR) - Previous (FEB) - 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)

104.5
105.0
105.5
106.0
106.5
107.0
107.5
108.0
108.5
109.0
109.5
110.0
110.5
111.0
111.5
112.0
112.5
113.0
113.5
114.0
114.5*
115.0
115.5
116.0
116.5
117.0
117.5
118.0
118.5
119.0
119.5
120.0
120.5
121.0
121.5
122.0
122.5
123.0
123.5
124.0
124.5
125.0
125.0

1009
960
911
862
814
766
719
672
627
582
538
496
455
415
378
342
307
275
245
217
191
167
145
126
108
92
78
66
55
46
38
31
25
21
17
13
10
8
6
5
4
3
3

2
3
4
5
7
9
12
15
20
25
31
39
48
58
71
85
100
118
138
160
184
210
238
269
301
335
371
409
448
489
531
574
618
664
710
756
803
851
899
948
997
1046
1046

1007
957
908
859
810
763
715
669
624
579
536
494
453
414
376
340
306
274
245
217
191
167
146
126
108
93
79
67
56
47
39
32
26
21
17
14
11
9
7
5
4
3
3

2
3
4
5
7
9
12
16
20
25
32
39
48
59
71
85
101
119
138
160
184
210
238
268
300
334
370
407
446
487
528
571
615
660
706
753
800
848
896
945
994
1043
1043

+2
+3
+3
+3
+4
+3
+4
+3
+3
+3
+2
+2
+2
+1
+2
+2
+1
+1
0
0
0
0
-1
0
0
-1
-1
-1
-1
-1
-1
-1
-1
0
0
-1
-1
-1
-1
0
0
0
0

0
0
0
0
0
0
0
-1
0
0
-1
0
0
-1
0
0
-1
-1
0
0
0
0
0
+1
+1
+1
+1
+2
+2
+2
+3
+3
+3
+4
+4
+3
+3
+3
+3
+3
+3
+3
+3

10.91
10.76
10.53
10.25
10.15
9.97
9.88
9.71
9.71
9.61
9.52
9.50
9.46
9.40
9.42
9.40
9.34
9.33
9.33
9.32
9.31
9.29
9.27
9.30
9.28
9.26
9.25
9.27
9.25
9.26
9.26
9.24
9.21
9.30
9.31
9.22
9.16
9.19
9.12
9.24
9.29
9.25
9.25

9.28
9.38
9.35
9.23
9.30
9.24
9.28
9.20
9.29
9.26
9.23
9.26
9.27
9.24
9.29
9.30
9.26
9.27
9.29
9.30
9.30
9.31
9.30
9.35
9.35
9.35
9.37
9.41
9.42
9.48
9.51
9.54
9.57
9.72
9.80
9.80
9.85
10.00
10.07
10.31
10.51
10.66
10.66

.98
.97
.97
.96
.95
.94
.93
.92
.90
.88
.86
.83
.81
.78
.74
.71
.67
.63
.59
.55
.51
.47
.43
.39
.35
.31
.27
.24
.21
.18
.16
.13
.11
.10
.08
.06
.05
.04
.03
.03
.02
.02
.02

-.01
-.02
-.02
-.03
-.04
-.05
-.06
-.07
-.09
-.11
-.13
-.16
-.18
-.21
-.25
-.28
-.32
-.36
-.40
-.44
-.48
-.52
-.57
-.61
-.64
-.68
-.72
-.75
-.78
-.81
-.83
-.85
-.88
-.89
-.91
-.92
-.93
-.94
-.95
-.96
-.96
-.97
-.97

.02
.03
.03
.04
.05
.06
.07
.07
.09
.10
.11
.12
.14
.15
.16
.17
.18
.19
.20
.20
.20
.20
.20
.19
.19
.18
.17
.16
.15
.14
.12
.11
.10
.09
.08
.07
.06
.05
.05
.04
.04
.03
.03

0.7
0.9
1
1
2
2
2
3
3
4
4
5
6
6
7
7
8
8
8
8
8
8
8
8
8
7
7
7
6
6
5
5
4
4
3
3
3
2
2
2
2
1
1

0.1
0.1
0.2
0.2
0.3
0.3
0.4
0.4
0.5
0.6
0.7
0.8
0.9
0.9
1.0
1.1
1.2
1.2
1.3
1.3
1.3
1.3
1.3
1.3
1.2
1.2
1.1
1.0
1.0
0.9
0.8
0.7
0.7
0.6
0.6
0.5
0.4
0.4
0.4
0.3
0.3
0.3
0.3

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

MAR Fut=114.57 Days=72 atmVol=9.30% IntRate = 4.50%

MAR Volatility Skew
Last Trading Date: February 22, 2000

Strike v. Volatilitywww.pmpublishing.com

MAR - LG Next (JUN) - Previous (MAR) - 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)

1009
960
911
862
814
766
719
672
627
582
538
496
455
415
378
342
307
275
245
217
191
167
145
126
108
92
78
66
55
46
38
31
25
21
17
13
10
8
6
5
4
3
3

2
3
4
5
7
9
12
15
20
25
31
39
48
58
71
85
100
118
138
160
184
210
238
269
301
335
371
409
448
489
531
574
618
664
710
756
803
851
899
948
997
1046
1046

1007
957
907
858
809
762
714
668
622
578
535
493
452
413
375
340
306
274
244
217
191
167
146
126
109
93
79
67
56
47
39
32
26
21
17
14
11
9
7
5
4
3
3

2
3
4
5
7
9
12
16
20
26
32
40
49
59
71
85
101
119
138
160
184
210
238
268
300
334
369
407
445
486
527
570
614
659
705
751
799
847
895
944
993
1043
1043

+2
+3
+4
+4
+5
+4
+5
+4
+5
+4
+3
+3
+3
+2
+3
+2
+1
+1
+1
0
0
0
-1
0
-1
-1
-1
-1
-1
-1
-1
-1
-1
0
0
-1
-1
-1
-1
0
0
0
0

0
0
0
0
0
0
0
-1
0
-1
-1
-1
-1
-1
0
0
-1
-1
0
0
0
0
0
+1
+1
+1
+2
+2
+3
+3
+4
+4
+4
+5
+5
+5
+4
+4
+4
+4
+4
+3
+3

9.28
9.11
8.90
8.64
8.53
8.35
8.25
8.09
8.07
7.97
7.88
7.85
7.80
7.74
7.75
7.73
7.67
7.66
7.65
7.64
7.62
7.61
7.59
7.61
7.59
7.57
7.57
7.58
7.56
7.57
7.57
7.55
7.53
7.60
7.61
7.53
7.48
7.51
7.45
7.54
7.58
7.56
7.56

7.57
7.66
7.63
7.53
7.59
7.55
7.58
7.52
7.59
7.57
7.54
7.57
7.58
7.55
7.60
7.61
7.57
7.59
7.60
7.61
7.62
7.63
7.63
7.67
7.67
7.68
7.71
7.75
7.77
7.82
7.86
7.90
7.94
8.08
8.17
8.19
8.25
8.39
8.48
8.70
8.89
9.04
9.04

.97
.97
.96
.96
.95
.94
.92
.91
.89
.88
.85
.83
.80
.77
.74
.71
.67
.63
.59
.55
.51
.47
.43
.39
.35
.31
.27
.24
.21
.18
.16
.13
.11
.10
.08
.06
.05
.04
.03
.03
.02
.02
.02

-.01
-.02
-.02
-.03
-.04
-.05
-.06
-.07
-.09
-.11
-.13
-.15
-.18
-.21
-.25
-.28
-.32
-.36
-.40
-.44
-.48
-.52
-.56
-.60
-.64
-.68
-.71
-.75
-.78
-.80
-.83
-.85
-.87
-.89
-.90
-.92
-.93
-.94
-.95
-.95
-.96
-.97
-.97

.03
.04
.04
.05
.06
.07
.08
.09
.11
.12
.14
.15
.17
.18
.20
.21
.22
.23
.24
.24
.25
.25
.24
.24
.23
.22
.21
.19
.18
.17
.15
.14
.12
.11
.10
.09
.08
.07
.06
.05
.05
.04
.04

0.7
0.9
1
1
2
2
2
3
3
4
4
5
6
6
7
7
8
8
8
8
8
8
8
8
8
7
7
6
6
6
5
5
4
4
3
3
3
2
2
2
2
2
2

0.1
0.1
0.1
0.1
0.2
0.2
0.3
0.3
0.4
0.4
0.5
0.5
0.6
0.6
0.7
0.7
0.8
0.8
0.8
0.8
0.9
0.9
0.8
0.8
0.8
0.8
0.7
0.7
0.6
0.6
0.6
0.5
0.5
0.4
0.4
0.4
0.3
0.3
0.3
0.3
0.2
0.2
0.2

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

MAR Fut=114.57 Days=108 atmVol=7.62% IntRate = 4.50%

MAR Volatility Skew
Last Trading Date: March 29, 2000

Strike v. Volatilitywww.pmpublishing.com

JUN - LG Next (JUN) - Previous (MAR) - 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)

99.0
99.5
100.0
100.5
101.0
101.5
102.0
102.5
103.0
103.5
104.0
104.5
105.0
105.5
106.0
106.5
107.0
107.5
108.0
108.5
109.0
109.5
110.0
110.5
111.0
111.5
112.0
112.5
113.0
113.5
114.0
114.5*
115.0
115.5
116.0
116.5
117.0
117.5
118.0
118.5
119.0
119.5
120.0
120.5
121.0
121.5
122.0
122.5
123.0
123.5
124.0
124.5
125.0
125.0

1559
1510
1461
1412
1363
1314
1265
1217
1170
1122
1075
1029
983
937
893
849
806
763
722
682
642
604
567
531
496
463
430
400
370
342
316
290
266
244
223
203
184
167
151
136
123
110
99
88
78
70
62
55
48
42
37
32
28
28

2
3
4
5
6
7
8
10
13
15
18
22
26
30
36
42
49
56
65
75
85
97
110
124
139
156
173
193
213
235
259
283
309
337
366
396
427
460
494
529
566
603
642
681
721
763
805
848
891
935
980
1025
1071
1071

1557
1507
1457
1407
1357
1307
1258
1209
1161
1113
1066
1020
974
929
884
841
798
756
715
675
636
598
562
526
492
459
428
397
369
341
315
290
266
244
223
204
185
168
153
138
124
112
100
90
80
71
63
56
50
44
38
34
30
30

3
3
4
5
6
7
9
11
13
16
19
23
27
32
37
43
50
58
67
76
87
98
111
125
140
157
175
194
214
236
259
283
309
336
364
394
425
457
491
525
561
598
636
675
714
755
797
839
882
926
971
1016
1061
1061

+2
+3
+4
+5
+6
+7
+7
+8
+9
+9
+9
+9
+9
+8
+9
+8
+8
+7
+7
+7
+6
+6
+5
+5
+4
+4
+2
+3
+1
+1
+1
0
0
0
0
-1
-1
-1
-2
-2
-1
-2
-1
-2
-2
-1
-1
-1
-2
-2
-1
-2
-2
-2

-1
0
0
0
0
0
-1
-1
0
-1
-1
-1
-1
-2
-1
-1
-1
-2
-2
-1
-2
-1
-1
-1
-1
-1
-2
-1
-1
-1
0
0
0
+1
+2
+2
+2
+3
+3
+4
+5
+5
+6
+6
+7
+8
+8
+9
+9
+9
+9
+9
+10
+10

12.24
12.12
11.95
11.75
11.52
11.27
11.02
10.88
10.83
10.62
10.50
10.43
10.32
10.17
10.14
10.06
10.00
9.90
9.87
9.84
9.76
9.74
9.71
9.68
9.64
9.63
9.58
9.59
9.55
9.53
9.54
9.50
9.49
9.49
9.49
9.47
9.45
9.45
9.44
9.43
9.45
9.43
9.45
9.42
9.40
9.43
9.43
9.44
9.40
9.39
9.40
9.37
9.37
9.37

9.22
9.43
9.51
9.52
9.48
9.39
9.28
9.32
9.44
9.36
9.36
9.42
9.41
9.36
9.41
9.41
9.43
9.39
9.41
9.44
9.42
9.43
9.45
9.45
9.44
9.47
9.44
9.48
9.47
9.48
9.51
9.50
9.51
9.54
9.56
9.57
9.57
9.60
9.62
9.64
9.69
9.71
9.76
9.78
9.80
9.88
9.93
9.99
10.02
10.07
10.15
10.19
10.28
10.28

.98
.97
.97
.96
.96
.96
.95
.94
.94
.93
.92
.91
.90
.89
.88
.86
.85
.83
.82
.80
.78
.76
.74
.71
.69
.67
.64
.62
.59
.56
.54
.51
.48
.46
.43
.40
.38
.35
.33
.30
.28
.26
.24
.22
.20
.18
.17
.15
.13
.12
.11
.10
.09
.09

-.01
-.01
-.01
-.02
-.02
-.02
-.03
-.03
-.04
-.05
-.06
-.07
-.08
-.09
-.10
-.12
-.13
-.15
-.16
-.18
-.20
-.22
-.25
-.27
-.29
-.32
-.34
-.37
-.40
-.42
-.45
-.48
-.50
-.53
-.56
-.58
-.61
-.63
-.66
-.68
-.70
-.72
-.74
-.76
-.78
-.80
-.81
-.83
-.84
-.86
-.87
-.88
-.89
-.89

.03
.04
.05
.05
.06
.06
.07
.07
.09
.09
.10
.11
.12
.13
.15
.16
.17
.18
.19
.21
.22
.23
.24
.25
.26
.27
.28
.29
.29
.30
.30
.30
.30
.30
.30
.29
.29
.28
.28
.27
.26
.25
.24
.23
.22
.21
.20
.19
.17
.16
.15
.14
.13
.13

0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1
1
2
2
2
2
2
3
3
3
3
4
4
4
4
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
4
4
4
4
4
3
3
3
3
3
2
2
2

0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.3
0.3
0.3
0.4
0.4
0.5
0.5
0.5
0.6
0.6
0.6
0.7
0.7
0.7
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.9
0.9
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.7
0.7
0.7
0.6
0.6
0.6
0.6
0.5
0.5
0.5
0.5
0.4
0.4

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

JUN Fut=114.57 Days=164 atmVol=9.50% IntRate = 4.50%

JUN Volatility Skew
Last Trading Date: May 24, 2000

Strike v. Volatilitywww.pmpublishing.com

JUN - LG 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)

2
3
4
5
6
7
8
10
13
15
18
22
26
30
36
42
49
56
65
75
85
97
110
124
139
156
173
193
213
235
259
283
309
337
366
396
427
460
494
529
566
603
642
681
721
763
805
848
891
935
980
1025
1071
1071

1557
1507
1457
1407
1357
1307
1257
1208
1160
1112
1065
1018
972
927
883
839
796
755
714
674
635
598
561
526
492
459
427
397
368
341
315
290
266
244
223
204
186
169
153
138
125
112
101
90
80
72
64
56
50
44
39
34
30
30

3
3
4
5
6
8
9
11
14
16
19
23
27
32
37
44
51
58
67
77
87
99
112
126
141
157
175
194
214
236
259
283
309
336
364
394
424
457
490
525
560
597
635
674
713
754
795
838
881
925
969
1014
1060
1060

+2
+3
+4
+5
+6
+7
+8
+9
+10
+10
+10
+11
+11
+10
+10
+10
+10
+8
+8
+8
+7
+6
+6
+5
+4
+4
+3
+3
+2
+1
+1
0
0
0
0
-1
-2
-2
-2
-2
-2
-2
-2
-2
-2
-2
-2
-1
-2
-2
-2
-2
-2
-2

-1
0
0
0
0
-1
-1
-1
-1
-1
-1
-1
-1
-2
-1
-2
-2
-2
-2
-2
-2
-2
-2
-2
-2
-1
-2
-1
-1
-1
0
0
0
+1
+2
+2
+3
+3
+4
+4
+6
+6
+7
+7
+8
+9
+10
+10
+10
+10
+11
+11
+11
+11

11.41
11.28
11.11
10.91
10.69
10.46
10.21
10.07
10.01
9.82
9.69
9.61
9.50
9.36
9.32
9.24
9.17
9.07
9.04
9.00
8.93
8.90
8.87
8.84
8.80
8.79
8.73
8.74
8.70
8.69
8.69
8.65
8.64
8.64
8.63
8.62
8.59
8.59
8.59
8.57
8.59
8.57
8.59
8.56
8.54
8.57
8.57
8.57
8.54
8.53
8.54
8.51
8.51
8.51

8.37
8.56
8.63
8.64
8.60
8.53
8.43
8.46
8.58
8.50
8.50
8.55
8.55
8.50
8.55
8.55
8.56
8.53
8.56
8.58
8.56
8.58
8.59
8.59
8.59
8.61
8.59
8.62
8.62
8.63
8.66
8.65
8.66
8.69
8.71
8.72
8.73
8.76
8.78
8.80
8.85
8.87
8.92
8.95
8.97
9.05
9.10
9.16
9.20
9.25
9.33
9.38
9.47
9.47

.98
.97
.97
.96
.96
.95
.95
.94
.93
.93
.92
.91
.90
.89
.87
.86
.84
.83
.81
.79
.78
.76
.73
.71
.69
.66
.64
.61
.59
.56
.53
.51
.48
.45
.43
.40
.38
.35
.33
.30
.28
.26
.24
.22
.20
.18
.16
.15
.13
.12
.11
.10
.09
.09

-.01
-.01
-.01
-.02
-.02
-.02
-.03
-.03
-.04
-.05
-.06
-.07
-.08
-.09
-.10
-.12
-.13
-.15
-.16
-.18
-.20
-.22
-.25
-.27
-.29
-.32
-.34
-.37
-.39
-.42
-.45
-.47
-.50
-.53
-.55
-.58
-.61
-.63
-.65
-.68
-.70
-.72
-.74
-.76
-.78
-.79
-.81
-.82
-.84
-.85
-.86
-.88
-.89
-.89

.04
.04
.05
.06
.06
.07
.07
.08
.10
.10
.11
.13
.14
.15
.16
.17
.19
.20
.21
.23
.24
.25
.27
.28
.29
.30
.31
.32
.32
.33
.33
.33
.33
.33
.33
.32
.32
.31
.30
.29
.28
.27
.26
.25
.24
.23
.22
.21
.19
.18
.17
.16
.15
.15

0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1
1
2
2
2
2
2
3
3
3
3
4
4
4
4
4
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
4
4
4
4
4
3
3
3
3
3
2
2
2

0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.3
0.3
0.3
0.3
0.4
0.4
0.4
0.5
0.5
0.5
0.6
0.6
0.6
0.6
0.6
0.7
0.7
0.7
0.7
0.7
0.7
0.7
0.7
0.7
0.7
0.7
0.7
0.6
0.6
0.6
0.6
0.6
0.5
0.5
0.5
0.5
0.5
0.4
0.4
0.4
0.4
0.4

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
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JUN Fut=114.57 Days=199 atmVol=8.65% IntRate = 4.50%

JUN Volatility Skew
Last Trading Date: June 28, 2000

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