Orange Juice (OJ) Option Volatility Analysis

Daily Orange Juice Option Analysis - Mon, July 30, 2001
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Month
SEP
NOV
JAN
Futures
Closing Price
79.55
82.80
85.50
Days Left
19
82
145
Implied ATM
Volatility
31.16%
24.94%
23.69%
Last Trading Date
Fri, Aug. 17, 2001
Fri, Oct. 19, 2001
Fri, Dec. 21, 2001

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

SEP Implied Volatility v. 1-Week Historical Volatility
January 11, 2001 - July 30, 2001

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

SEP Futures
January 11, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

OCT Implied Volatility v. 1-Week Historical Volatility
January 11, 2001 - July 30, 2001

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

OCT Futures
January 11, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

NOV Implied Volatility v. 1-Week Historical Volatility
January 11, 2001 - July 30, 2001

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

NOV Futures
January 11, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 1-Week Historical Volatility
January 11, 2001 - July 30, 2001

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

DEC Futures
January 11, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

JAN Implied Volatility v. 1-Week Historical Volatility
January 11, 2001 - July 30, 2001

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

JAN Futures
January 11, 2001 - July 30, 2001

Days to Options Expiration v. Futures Price

Historical Volatilities for OJ

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

SEP
OCT
NOV
DEC
JAN
20.11%
16.81%
16.81%
15.33%
15.33%
17.25%
14.47%
14.47%
13.72%
13.72%
15.52%
13.16%
13.16%
12.37%
12.37%
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
n/a
n/a
n/a
n/a

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
SEP OCT NOV DEC JAN	20.11% 16.81% 16.81% 15.33% 15.33%	17.25% 14.47% 14.47% 13.72% 13.72%	15.52% 13.16% 13.16% 12.37% 12.37%	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 n/a n/a n/a n/a

Implied Standard Deviations for OJ

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

SEP
NOV
JAN
1.30
1.08
1.06
2.25
1.87
1.84
3.43
2.86
2.81
4.85
4.04
3.97
7.11
5.92
5.81
10.13
8.44
8.28
12.38
10.31
10.12
31.16%
24.94%
23.69%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
SEP NOV JAN	1.30 1.08 1.06	2.25 1.87 1.84	3.43 2.86 2.81	4.85 4.04 3.97	7.11 5.92 5.81	10.13 8.44 8.28	12.38 10.31 10.12	31.16% 24.94% 23.69%

SEP - OJ Next (NOV) - 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)

65
70
75
80*
85
90
95
100
105
110
115

1455
955
500
205
55
25
10
5
5
5
5

5
5
55
275
640
1070
1550
2045
2545
3045
3545

1455
961
517
204
55
10
1
---
---
---
---

---
8
63
249
599
1053
1545
2045
2545
3045
3545

0
-6
-17
+1
0
+15
+9
+5
+5
+5
+5

+5
-3
-8
+26
+41
+17
+5
0
0
0
0

35.05
22.30
27.69
31.31
31.12
37.84
41.72
46.22
54.43
62.07
69.24

42.88
29.00
29.61
34.79
38.95
38.61
39.78
39.48
47.81
----
----

1.00
1.00
.83
.48
.18
.08
.03
.02
.01
.01
.01

-.02
-.02
-.18
-.51
-.76
-.91
-.97
-1.00
-1.00
*-.99
*-.99

.01
.01
.05
.07
.06
.03
.01
.01
.01
.01
.01

0.5
1
5
6
4
2
0.9
0.2
0.2
0.3
0.2

0.8
0.8
3.7
6.7
5.8
2.9
1.2
0.3
0.4
1.0
1.0

5
5
10
25
40
0
5
5
5
5
5

SEP Fut=79.55 Days=19 atmVol=31.16% IntRate = 5.50%

SEP Volatility Skew
Last Trading Date: August 17, 2001

Strike v. Volatilitywww.pmpublishing.com

NOV - OJ Next (JAN) - 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)

65
70
75
80
85*
90
95
100
105
110
115

1785
1305
880
545
290
165
90
55
35
20
10

10
35
100
260
505
875
1290
1750
2225
2725
3225

1780
1302
877
535
292
143
63
25
9
3
1

6
31
104
257
510
857
1273
1734
2221
2720
3220

+5
+3
+3
+10
-2
+22
+27
+30
+26
+17
+9

+4
+4
-4
+3
-5
+18
+17
+16
+4
+5
+5

28.56
25.52
25.24
25.65
24.80
26.67
27.94
30.00
31.95
32.92
33.10

26.76
25.65
24.58
25.13
24.60
26.40
26.89
28.09
27.54
32.46
37.13

.97
.92
.81
.63
.43
.27
.16
.10
.07
.04
.02

-.02
-.07
-.18
-.36
-.56
-.72
-.84
-.91
-.97
-.97
-.97

.02
.05
.10
.15
.15
.13
.10
.07
.05
.03
.02

0.5
1
3
4
4
3
2
1
0.8
0.6
0.6

0.4
0.9
1.5
2.2
2.3
2.1
1.5
1.1
0.6
0.6
0.7

5
10
0
5
5
10
20
25
30
15
5

NOV Fut=82.80 Days=82 atmVol=24.94% IntRate = 5.50%

NOV Volatility Skew
Last Trading Date: October 19, 2001

Strike v. Volatilitywww.pmpublishing.com

JAN - OJ Previous (NOV) - 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)

65
70
75
80
85*
90
95
100
105
110
115

2050
1560
1150
800
525
365
300
240
180
130
95

15
45
120
255
470
845
1225
1640
2050
2485
2950

2051
1580
1158
803
524
322
187
103
54
27
13

14
48
123
261
475
765
1123
1534
1982
2456
2950

-1
-20
-8
-3
+1
+43
+113
+137
+126
+103
+82

+1
-3
-3
-6
-5
+80
+102
+106
+68
+29
0

22.42
20.37
23.08
23.55
23.74
25.78
29.89
32.65
34.04
34.81
35.60

23.88
23.36
23.47
23.36
23.46
27.57
29.32
30.91
30.14
28.46
24.23

1.00
.95
.83
.69
.54
.40
.32
.25
.19
.15
.11

-.03
-.07
-.17
-.29
-.45
-.57
-.68
-.75
-.83
-.91
-1.00

.04
.08
.13
.18
.21
.21
.19
.17
.15
.12
.10

0.5
1
2
3
3
3
2
2
1
1
0.5

0.3
0.6
1.1
1.5
1.7
1.9
1.9
1.7
1.3
0.9
0.3

15
35
20
5
5
30
25
50
80
95
95

JAN Fut=85.50 Days=145 atmVol=23.69% IntRate = 5.50%

JAN Volatility Skew
Last Trading Date: December 21, 2001

Strike v. Volatilitywww.pmpublishing.com

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