Lean Hogs (LH) 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

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Daily Lean Hogs Option Analysis - Wed, April 7, 2004
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Month
APR
MAY
JUN
JUL
AUG
AUG
Futures
Closing Price
62.325
67.800
73.700
72.500
70.300
70.300
Days Left
6
28
49
72
93
93
Implied ATM
Volatility
19.85%
25.09%
24.31%
25.71%
25.34%
25.34%
Last Trading Date
Wed, Apr. 14, 2004
Fri, May 14, 2004
Mon, Jun. 14, 2004
Thu, Jul. 15, 2004
Fri, Aug. 13, 2004
Fri, Aug. 13, 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

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

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

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

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 LH

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

APR
MAY
JUN
JUL
AUG
AUG
51.09%
24.75%
34.17%
18.59%
17.32%
17.32%
27.78%
14.78%
23.86%
16.16%
13.47%
13.47%
22.06%
14.46%
19.72%
14.77%
13.15%
13.15%
21.64%
14.70%
18.25%
13.66%
12.02%
12.02%
21.20%
14.54%
17.07%
13.45%
12.49%
12.49%
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
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 JUN JUL AUG AUG	51.09% 24.75% 34.17% 18.59% 17.32% 17.32%	27.78% 14.78% 23.86% 16.16% 13.47% 13.47%	22.06% 14.46% 19.72% 14.77% 13.15% 13.15%	21.64% 14.70% 18.25% 13.66% 12.02% 12.02%	21.20% 14.54% 17.07% 13.45% 12.49% 12.49%	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 n/a n/a n/a n/a

Implied Standard Deviations for LH

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

APR
MAY
JUN
JUL
AUG
AUG
.77
1.05
1.11
1.15
1.10
1.10
1.33
1.82
1.92
2.00
1.91
1.91
2.03
2.79
2.93
3.05
2.92
2.92
2.86
3.94
4.15
4.32
4.13
4.13
4.19
5.77
6.07
6.32
6.04
6.04
5.98
8.22
8.66
9.01
8.61
8.61
7.30
10.04
10.58
11.01
10.52
10.52
19.85%
25.09%
24.31%
25.71%
25.34%
25.34%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
APR MAY JUN JUL AUG AUG	.77 1.05 1.11 1.15 1.10 1.10	1.33 1.82 1.92 2.00 1.91 1.91	2.03 2.79 2.93 3.05 2.92 2.92	2.86 3.94 4.15 4.32 4.13 4.13	4.19 5.77 6.07 6.32 6.04 6.04	5.98 8.22 8.66 9.01 8.61 8.61	7.30 10.04 10.58 11.01 10.52 10.52	19.85% 25.09% 24.31% 25.71% 25.34% 25.34%

APR - LH 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)

56
57
58
59
60
61
62*
63
64
65
66
67

635.0
537.5
440.0
342.5
245.0
155.0
92.5
45.0
20.0
10.0
5.0
2.5

2.5
5.0
7.5
10.0
12.5
22.5
60.0
112.5
187.5
277.5
365.0
---

632.5
532.5
432.7
334.6
241.3
158.2
91.9
46.2
19.7
7.1
2.1
0.5

---
---
0.5
2.5
9.0
25.8
59.4
113.6
187.0
274.3
369.2
467.7

+2.5
+5.0
+7.3
+7.9
+3.7
-3.2
+0.6
-1.2
+0.3
+2.9
+2.9
+2.0

+2.5
+4.9
+7.0
+7.5
+3.5
-3.3
+0.6
-1.1
+0.5
+3.2
-4.2
---

36.14
34.47
31.24
27.01
21.93
18.73
20.02
19.51
19.95
21.71
23.30
24.76

34.91
33.77
30.80
26.75
21.78
18.67
20.00
19.54
20.04
21.89
----
----

.98
.96
.94
.91
.88
.78
.57
.36
.19
.10
.05
.03

-.02
-.04
-.06
-.08
-.12
-.22
-.43
-.64
-.80
-.89
*-.95
*-.97

.01
.01
.01
.01
.02
.03
.04
.04
.03
.02
.01
.01

1
3
4
6
10
17
21
20
15
9
5
3

1.2
2.0
2.7
3.1
3.4
4.4
6.4
6.0
4.4
3.0
1.9
1.1

0
0
0
0
0
0
0
0
0
0
7
---

APR Fut=62.325 Days=6 atmVol=19.85% IntRate = 6.50%

APR Volatility Skew
Last Trading Date: April 14, 2004

Strike v. Volatilitywww.pmpublishing.com

MAY - LH Next (JUN) - 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)

50
52
54
56
57
58
60
62
63
64
65
66
68*
70

---
---
---
---
---
1007.5
820.0
642.5
560.0
480.0
400.0
332.5
210.0
125.0

5.0
10.0
12.5
20.0
25.0
30.0
42.5
62.5
80.0
100.0
120.0
152.5
---
---

1780.0
1580.0
1380.0
1180.0
1080.5
982.5
792.3
614.3
531.8
454.6
383.5
319.1
211.5
131.9

---
---
---
1.7
3.2
5.7
15.7
37.2
54.3
76.6
105.1
140.1
231.4
350.7

---
---
---
---
---
+25.0
+27.7
+28.2
+28.2
+25.4
+16.5
+13.4
-1.5
-6.9

+5.0
+9.9
+12.1
+18.3
+21.8
+24.3
+26.8
+25.3
+25.7
+23.4
+14.9
+12.4
---
---

----
----
----
----
----
36.09
32.92
30.56
29.76
28.78
27.25
26.71
24.92
24.26

43.74
43.32
39.62
37.77
36.80
35.47
32.60
30.02
29.36
28.49
27.05
26.59
----
----

*.99
*.98
*.97
*.95
*.93
.91
.88
.82
.79
.74
.69
.63
.50
.36

-.01
-.03
-.03
-.05
-.07
-.08
-.11
-.17
-.21
-.25
-.30
-.36
*-.50
*-.64

.01
.01
.02
.02
.03
.03
.04
.06
.06
.07
.08
.08
.09
.08

0.4
0.6
0.9
1
2
2
3
4
4
5
6
6
7
7

0.6
1.0
1.2
1.6
1.9
2.1
2.5
3.0
3.3
3.6
3.7
3.9
3.9
3.6

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

MAY Fut=67.800 Days=28 atmVol=25.09% IntRate = 6.50%

MAY Volatility Skew
Last Trading Date: May 14, 2004

Strike v. Volatilitywww.pmpublishing.com

JUN - LH Next (JUL) - 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)

50
52
54
56
58
60
62
64
66
68
70
72
74*
76
78
80

---
---
---
---
---
1400.0
1217.5
1037.5
862.5
705.0
547.5
410.0
290.0
200.0
120.0
80.0

10.0
15.0
17.5
25.0
30.0
35.0
50.0
70.0
95.0
137.5
180.0
240.0
320.0
---
---
---

2370.0
2170.0
1970.0
1770.0
1570.0
1370.9
1177.7
992.8
818.9
659.4
517.2
394.6
292.5
210.6
147.1
99.9

---
---
---
1.0
2.7
6.7
14.9
29.9
55.3
94.4
150.6
226.2
322.2
438.4
573.2
724.3

---
---
---
---
---
+29.1
+39.8
+44.7
+43.6
+45.6
+30.3
+15.4
-2.5
-10.6
-27.1
-19.9

+10.0
+14.9
+17.2
+24.0
+27.3
+28.3
+35.1
+40.1
+39.7
+43.1
+29.4
+13.8
-2.2
---
---
---

----
----
----
----
----
34.94
33.72
31.96
30.04
29.13
27.05
25.57
24.11
23.45
21.85
22.20

44.84
43.75
40.82
39.50
36.78
33.80
32.52
31.15
29.54
28.86
26.97
25.44
24.13
----
----
----

*.99
*.98
*.97
*.96
*.94
.92
.89
.86
.81
.75
.69
.60
.50
.40
.29
.21

-.02
-.03
-.03
-.05
-.06
-.07
-.10
-.13
-.18
-.24
-.31
-.39
-.49
*-.59
*-.70
*-.78

.01
.02
.02
.03
.04
.04
.06
.07
.08
.10
.11
.12
.13
.12
.11
.09

0.3
0.4
0.6
0.8
1.0
1
2
2
3
3
4
5
5
5
5
4

0.6
0.9
0.9
1.2
1.3
1.4
1.8
2.1
2.5
2.9
3.0
3.1
3.1
2.9
2.4
2.1

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

JUN Fut=73.700 Days=49 atmVol=24.31% IntRate = 6.50%

JUN Volatility Skew
Last Trading Date: June 14, 2004

Strike v. Volatilitywww.pmpublishing.com

JUL - LH Next (AUG) - 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)

44
46
54
56
58
60
62
64
66
68
70
72*
74
76
78

---
---
---
---
1515.0
1332.5
1157.5
995.0
830.0
677.5
535.0
410.0
305.0
220.0
140.0

2.5
15.0
45.0
55.0
70.0
87.5
112.5
150.0
182.5
230.0
---
---
---
---
---

2850.0
2650.0
1850.0
1650.5
1456.5
1270.1
1093.0
927.1
774.4
636.4
514.4
408.8
319.4
245.3
185.4

---
---
4.3
9.1
17.8
32.1
54.5
87.2
132.5
192.2
267.7
359.4
467.4
590.8
728.3

---
---
---
---
+58.5
+62.4
+64.5
+67.9
+55.6
+41.1
+20.6
+1.2
-14.4
-25.3
-45.4

+2.5
+14.9
+40.7
+45.9
+52.2
+55.4
+58.0
+62.8
+50.0
+37.8
---
---
---
---
---

----
----
----
----
37.53
35.36
33.62
32.53
30.51
28.85
27.16
25.79
24.75
23.94
22.25

38.48
45.55
39.54
37.51
35.92
34.18
32.80
32.01
30.03
28.60
----
----
----
----
----

*1.00
*.99
*.94
*.92
.89
.86
.83
.78
.74
.68
.62
.54
.46
.37
.28

-.01
-.02
-.06
-.08
-.10
-.12
-.16
-.20
-.25
-.30
*-.37
*-.45
*-.53
*-.62
*-.71

.01
.02
.05
.06
.07
.08
.09
.11
.12
.13
.14
.15
.15
.14
.13

0.1
0.3
0.8
1
1
2
2
2
3
3
4
4
4
4
4

0.1
0.6
1.3
1.4
1.6
1.8
2.1
2.3
2.5
2.6
2.6
2.6
2.5
2.3
1.9

---
---
---
---
5
5
5
5
2
2
---
---
---
---
---

JUL Fut=72.500 Days=72 atmVol=25.71% IntRate = 6.50%

JUL Volatility Skew
Last Trading Date: July 15, 2004

Strike v. Volatilitywww.pmpublishing.com

AUG - LH Next (AUG) - Previous (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)

50
54
56
58
60
62
64
66
68
70*
72
76

---
---
1517.5
1342.5
1170.0
1000.0
847.5
697.5
557.5
430.0
325.0
167.5

52.5
77.5
95.0
120.0
145.0
175.0
220.0
270.0
330.0
---
---
---

2030.0
1632.2
1441.9
1260.4
1088.9
929.1
782.4
650.0
532.6
430.4
343.1
209.4

3.8
15.1
27.1
45.9
73.3
111.6
162.3
227.0
306.4
400.9
510.3
770.3

---
---
+75.6
+82.1
+81.1
+70.9
+65.1
+47.5
+24.9
-0.4
-18.1
-41.9

+48.7
+62.4
+67.9
+74.1
+71.7
+63.4
+57.7
+43.0
+23.6
---
---
---

----
----
37.10
35.43
33.55
31.46
30.24
28.57
26.92
25.31
24.23
22.48

40.90
37.25
35.59
34.33
32.58
30.81
29.69
28.27
26.83
----
----
----

*.94
*.90
.87
.84
.80
.77
.72
.67
.60
.53
.46
.30

-.06
-.10
-.12
-.15
-.18
-.22
-.26
-.32
-.38
*-.45
*-.53
*-.69

.05
.07
.08
.10
.11
.12
.14
.15
.16
.16
.16
.14

0.7
1
1
2
2
2
3
3
3
4
4
4

1.1
1.4
1.6
1.7
1.9
2.0
2.1
2.2
2.2
2.2
2.1
1.7

---
---
7
7
5
5
2
3
3
---
---
---

AUG Fut=70.300 Days=93 atmVol=25.34% IntRate = 6.50%

AUG Volatility Skew
Last Trading Date: August 13, 2004

Strike v. Volatilitywww.pmpublishing.com

AUG - LH Previous (AUG) - Top