Natural Gas (NG) Option Volatility Analysis

Daily Natural Gas Option Analysis - Mon, November 26, 2001
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Month
DEC
Futures
Closing Price
26.96
Days Left
2
Implied ATM
Volatility
73.28%
Last Trading Date
Tue, Nov. 27, 2001

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

DEC Implied Volatility v. 1-Week Historical Volatility
November 28, 2000 - November 26, 2001

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

DEC Futures
November 28, 2000 - November 26, 2001

Days to Options Expiration v. Futures Price

Historical Volatilities for NG

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

DEC
39.09%
73.58%
74.58%
71.50%
63.89%
65.08%
61.96%
56.88%

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
DEC	39.09%	73.58%	74.58%	71.50%	63.89%	65.08%	61.96%	56.88%

Implied Standard Deviations for NG

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

DEC
1.22
2.12
3.24
4.58
6.70
9.55
11.66
73.28%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
DEC	1.22	2.12	3.24	4.58	6.70	9.55	11.66	73.28%

DEC - NG 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)

23.5
24.0
24.5
25.0
25.5
26.0
26.5
27.0*
27.5
28.0
28.5
29.0
29.5
30.0
30.5

---
301
---
208
164
126
94
67
47
31
20
12
7
5
2

3
5
8
12
18
30
48
71
101
135
174
216
261
309
356

347
298
251
206
164
126
94
67
46
30
19
11
7
4
2

1
2
5
10
18
30
48
71
100
134
173
215
260
308
356

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

+2
+3
+3
+2
0
0
0
0
+1
+1
+1
+1
+1
+1
0

----
86.23
----
78.12
73.55
72.98
73.51
73.26
74.43
74.28
74.80
74.40
74.42
78.35
73.83

88.63
85.78
82.48
77.95
73.45
72.93
73.48
73.26
74.46
74.34
74.90
74.57
74.70
78.77
74.64

*.96
.94
*.91
.87
.81
.73
.62
.50
.39
.29
.21
.14
.09
.06
.03

-.04
-.06
-.09
-.13
-.18
-.27
-.38
-.50
-.61
-.71
-.79
-.86
-.91
-.93
-.97

.00
.00
.00
.00
.01
.01
.01
.01
.01
.01
.01
.01
.00
.00
.00

4
6
8
11
15
19
22
23
22
20
16
13
9
7
4

2.7
4.3
6.4
8.8
12
16
19
20
19
16
13
8.9
5.8
4.4
2.0

---
0
---
0
0
0
0
0
0
0
0
0
0
0
0

DEC Fut=26.96 Days=2 atmVol=73.28% IntRate = 6.50%

DEC Volatility Skew
Last Trading Date: November 27, 2001

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