Nasdaq (ND) Option Volatility Analysis

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DAILY SUMMARY

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Daily Nasdaq Option Analysis - Mon, June 2, 2003
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Month
JUN
JUL
AUG
SEP
DEC
Futures
Closing Price
1190.500
1193.500
1193.500
1193.500
1197.000
Days Left
18
47
75
109
200
Implied ATM
Volatility
29.41%
29.50%
38.28%
30.00%
29.17%
Last Trading Date
Thu, Jun. 19, 2003
Fri, Jul. 18, 2003
Fri, Aug. 15, 2003
Thu, Sep. 18, 2003
Thu, Dec. 18, 2003

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

JUN Implied Volatility v. 1-Week Historical Volatility
May 23, 2010 - June 2, 2010

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

JUN Futures
May 23, 2010 - June 2, 2010

Days to Options Expiration v. Futures Price

JUL Implied Volatility v. 1-Week Historical Volatility
May 23, 2010 - June 2, 2010

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

AUG Implied Volatility v. 1-Week Historical Volatility
May 23, 2010 - June 2, 2010

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

SEP Implied Volatility v. 1-Week Historical Volatility
May 23, 2010 - June 2, 2010

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

SEP Futures
May 23, 2010 - June 2, 2010

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 1-Week Historical Volatility
May 23, 2010 - June 2, 2010

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

DEC Futures
May 23, 2010 - June 2, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for ND

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

JUN
SEP
DEC
19.72%
19.67%
19.61%
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
n/a
n/a
n/a

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
JUN SEP DEC	19.72% 19.67% 19.61%	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	n/a n/a n/a

Implied Standard Deviations for ND

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

JUN
JUL
AUG
SEP
DEC
18.33
18.43
23.91
18.74
18.28
31.74
31.92
41.42
32.46
31.66
48.49
48.76
63.26
49.59
48.36
68.57
68.96
89.47
70.13
68.39
100.38
100.95
130.97
102.66
100.11
143.13
143.94
186.75
146.39
142.75
174.82
175.81
228.10
178.80
174.35
29.41%
29.50%
38.28%
30.00%
29.17%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
JUN JUL AUG SEP DEC	18.33 18.43 23.91 18.74 18.28	31.74 31.92 41.42 32.46 31.66	48.49 48.76 63.26 49.59 48.36	68.57 68.96 89.47 70.13 68.39	100.38 100.95 130.97 102.66 100.11	143.13 143.94 186.75 146.39 142.75	174.82 175.81 228.10 178.80 174.35	29.41% 29.50% 38.28% 30.00% 29.17%

JUN - ND 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)

890
900
910
950
970
980
990
1000
1010
1020
1040
1050
1060
1070
1080
1090
1100
1110
1130
1140
1150
1170
1180
1190*
1200
1210
1220
1230
1250
1300
1350

---
29050.0
---
---
22075.0
21085.0
20100.0
19115.0
18135.0
---
15225.0
14270.0
13320.0
---
11465.0
10555.0
9665.0
8805.0
7155.0
6375.0
5635.0
4290.0
3685.0
3125.0
2620.0
2180.0
1790.0
1450.0
910.0
250.0
50.0

5.0
10.0
10.0
25.0
40.0
50.0
65.0
80.0
100.0
125.0
185.0
230.0
280.0
345.0
425.0
515.0
625.0
760.0
1110.0
1330.0
1590.0
2240.0
2635.0
3075.0
3570.0
4130.0
---
---
---
---
---

30050.0
29050.0
28050.0
24050.0
22050.0
21050.0
20050.0
19051.5
18055.5
17062.7
15091.4
14116.4
13151.2
12198.8
11262.4
10345.6
9452.4
8587.0
6956.6
6199.8
5486.9
4203.9
3637.7
3122.9
2659.3
2245.8
1880.9
1561.9
1049.6
333.8
85.6

---
---
---
---
1.6
2.9
5.0
8.3
13.6
21.6
51.1
76.0
110.6
157.9
221.0
303.6
409.8
543.6
911.7
1154.1
1440.4
2155.7
2588.6
3072.9
3608.4
4194.1
4828.3
5508.5
6994.5
11275.1
16024.7

---
0.0
---
---
+25.0
+35.0
+50.0
+63.5
+79.5
---
+133.6
+153.6
+168.8
---
+202.6
+209.4
+212.6
+218.1
+198.4
+175.2
+148.1
+86.1
+47.3
+2.1
-39.3
-65.8
-90.9
-111.9
-139.6
-83.8
-35.6

+5.0
+10.0
+10.0
+24.5
+38.4
+47.1
+60.0
+71.7
+86.4
+103.4
+133.9
+154.0
+169.4
+187.1
+204.0
+211.4
+215.2
+216.4
+198.3
+175.9
+149.6
+84.3
+46.4
+2.1
-38.4
-64.1
---
---
---
---
---

----
44.26
----
----
40.45
39.93
39.65
39.02
38.49
----
36.82
36.30
35.63
----
34.60
33.98
33.41
32.99
32.00
31.50
31.04
30.26
29.86
29.43
29.04
28.77
28.49
28.22
27.67
27.39
27.04

44.72
46.06
44.40
41.92
40.81
40.22
39.86
39.21
38.67
38.14
36.77
36.27
35.63
35.11
34.62
34.01
33.45
32.96
32.00
31.51
31.06
30.25
29.86
29.43
29.04
28.79
----
----
----
----
----

*1.00
1.00
*1.00
*.99
.99
.99
.98
.98
.98
*.97
.95
.94
.93
*.92
.90
.89
.86
.84
.78
.74
.70
.61
.57
.52
.46
.41
.36
.31
.22
.08
.02

-.00
-.00
-.00
-.01
-.01
-.01
-.02
-.02
-.03
-.03
-.04
-.05
-.07
-.08
-.10
-.11
-.14
-.16
-.22
-.26
-.30
-.38
-.43
-.48
-.54
-.59
*-.64
*-.69
*-.78
*-.92
*-.98

.01
.02
.02
.05
.07
.09
.11
.13
.16
.18
.25
.29
.34
.39
.45
.51
.57
.64
.78
.85
.91
1.01
1.04
1.05
1.05
1.03
.99
.93
.79
.39
.13

0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.3
0.4
0.4
0.4
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.4
0.2
0.1

1.4
2.5
2.5
5.4
7.9
9.4
12
14
16
19
25
29
33
38
43
48
53
59
70
75
80
86
87
87
86
83
79
74
61
29
9.0

---
10
---
---
15
15
15
15
15
---
10
10
10
---
10
10
10
5
5
5
5
0
0
0
0
0
---
---
---
---
---

JUN Fut=1190.50 Days=18 atmVol=29.41% IntRate = 2.00%

JUN Volatility Skew
Last Trading Date: June 19, 2003

Strike v. Volatilitywww.pmpublishing.com

JUL - ND 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)

900
1050
1120
1150
1160
1200*
1220
1230
1300

---
---
9710.0
---
---
4690.0
3755.0
3335.0
1270.0

140.0
1060.0
2375.0
3270.0
3625.0
---
---
---
11895.0

29350.0
14970.8
9391.2
7405.9
6805.8
4723.0
3869.6
3488.0
1559.8

13.0
649.3
2057.0
3065.4
3463.1
5371.6
6513.8
7130.0
12187.4

---
---
+318.8
---
---
-33.0
-114.6
-153.0
-289.8

+127.0
+410.7
+318.0
+204.6
+161.9
---
---
---
-292.4

----
----
31.79
----
----
29.31
28.82
28.58
27.18

40.11
34.32
31.78
30.80
30.50
----
----
----
27.16

*.98
*.86
.73
*.65
*.62
.50
.44
.40
.20

-.02
-.13
-.27
-.35
-.38
*-.50
*-.56
*-.59
-.79

.22
.93
1.41
1.58
1.62
1.70
1.68
1.66
1.21

0.0
0.1
0.2
0.3
0.3
0.3
0.3
0.3
0.2

9.1
34
48
52
53
53
52
50
35

---
---
15
---
---
---
---
---
25

JUL Fut=1193.50 Days=47 atmVol=29.50% IntRate = 2.00%

JUL Volatility Skew
Last Trading Date: July 18, 2003

Strike v. Volatilitywww.pmpublishing.com

AUG - ND Next (SEP) - 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)

900*

---

390.0

29662.9

390.0

---

0.0

----

38.28

*.96

-.04

.50

0.0

---

AUG Fut=1193.50 Days=75 atmVol=38.28% IntRate = 2.00%

SEP - ND Next (DEC) - Previous (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)

1000
1050
1100
1150
1160
1200*
1250
1300

---
---
13150.0
9885.0
---
7475.0
5235.0
3515.0

1655.0
2575.0
3850.0
5560.0
6030.0
8120.0
---
---

20538.1
16548.3
13010.8
9976.6
9432.2
7461.3
5445.1
3880.9

1272.5
2264.4
3705.2
5647.6
6098.4
8108.2
11067.9
14480.3

---
---
+139.2
-91.6
---
+13.7
-210.1
-365.9

+382.5
+310.6
+144.8
-87.6
-68.4
+11.8
---
---

----
----
30.64
29.63
----
30.06
29.18
28.44

32.76
31.72
30.66
29.65
29.73
30.05
----
----

*.86
*.79
.71
.62
*.60
.52
.41
.32

-.14
-.20
-.28
-.38
-.40
-.48
*-.58
*-.68

1.45
1.84
2.20
2.47
2.51
2.59
2.53
2.32

0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2

22
27
31
33
34
35
34
30

---
---
50
25
---
5
---
---

SEP Fut=1193.50 Days=109 atmVol=30.00% IntRate = 2.00%

SEP Volatility Skew
Last Trading Date: September 18, 2003

Strike v. Volatilitywww.pmpublishing.com

DEC - ND Previous (SEP) - 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)

900
950
1000
1150
1200*
1300

---
---
---
---
10050.0
5810.0

1800.0
2540.0
3490.0
8090.0
---
---

30463.0
26171.3
22192.3
12502.8
10066.4
6300.0

964.8
1655.0
2647.5
7842.5
10363.9
16513.9

---
---
---
---
-16.4
-490.0

+835.2
+885.0
+842.5
+247.5
---
---

----
----
----
----
29.12
27.71

34.89
33.84
32.78
29.91
----
----

*.89
*.85
*.80
*.61
.53
.38

-.11
-.15
-.19
-.38
*-.46
*-.61

1.64
2.02
2.42
3.36
3.49
3.35

0.1
0.1
0.1
0.1
0.2
0.2

14
17
20
25
25
23

---
---
---
---
---
---

DEC Fut=1197.00 Days=200 atmVol=29.17% IntRate = 2.00%

DEC Volatility Skew
Last Trading Date: December 18, 2003

Strike v. Volatilitywww.pmpublishing.com

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