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Daily Soybeans Option Analysis - Thu, January 15, 2004
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Month
FEB
MAR
MAY
JUL
AUG
SEP
NOV
JAN
 Futures
Closing Price
835.00
835.00
837.00
833.00
798.04
740.02
671.06
672.04
 Days Left
7
27
72
117
137
162
202
247
 Implied ATM
Volatility
21.97%
25.88%
26.99%
27.60%
29.52%
28.19%
26.89%
26.33%
 Last Trading Date
Fri, Jan. 23, 2004
Fri, Feb. 20, 2004
Fri, Apr. 23, 2004
Fri, Jun. 25, 2004
Fri, Jul. 23, 2004
Fri, Aug. 27, 2004
Fri, Oct. 22, 2004
Fri, Dec. 24, 2004
ArrowHistorical v. Implied Volatility Graphs
ArrowHistorical Volatility Tables
ArrowImplied Standard Deviations

FEB Implied Volatility v. 2-Week Historical Volatility
June 17, 2010 - January 15, 2010

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

FEB Futures
June 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

MAR Implied Volatility v. 2-Week Historical Volatility
June 3, 2010 - January 15, 2010

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

MAR Futures
June 3, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

APR Implied Volatility v. 2-Week Historical Volatility
June 17, 2010 - January 15, 2010

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

APR Futures
June 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

MAY Implied Volatility v. 2-Week Historical Volatility
June 3, 2010 - January 15, 2010

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

MAY Futures
June 3, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

JUN Implied Volatility v. 2-Week Historical Volatility
September 17, 2010 - January 15, 2010

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

JUN Futures
September 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

JUL Implied Volatility v. 2-Week Historical Volatility
June 24, 2010 - January 15, 2010

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

JUL Futures
June 24, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

AUG Implied Volatility v. 2-Week Historical Volatility
November 12, 2010 - January 15, 2010

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

AUG Futures
November 12, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 2-Week Historical Volatility
November 12, 2010 - January 15, 2010

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

SEP Futures
November 12, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

OCT Futures
November 12, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

NOV Implied Volatility v. 2-Week Historical Volatility
November 12, 2010 - January 15, 2010

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

NOV Futures
November 12, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for SB
1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
 36.06%
36.06%
35.32%
35.32%
34.47%
34.47%
31.74%
28.05%
 31.78%
31.78%
31.53%
31.53%
30.65%
30.65%
28.46%
n/a
 30.03%
30.03%
29.76%
29.76%
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
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 SB
1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.
FEB
MAR
MAY
JUL
AUG
SEP
NOV
JAN
 11-03
13-03
14-00
14-02
14-05
12-07
11-01
11-00
 19-05
23-01
24-02
24-05
25-02
22-03
19-03
19-00
 30-00
35-03
37-00
37-05
38-05
34-01
29-04
29-00
 42-04
50-00
52-03
53-02
54-05
48-02
41-06
41-00
 62-01
73-02
76-05
77-07
79-07
70-06
61-01
60-00
 88-05
104-04
109-02
111-01
113-07
100-07
87-02
85-04
 108-02
127-05
133-03
135-06
139-01
123-01
106-04
104-04
 21.97%
25.88%
26.99%
27.60%
29.52%
28.19%
26.89%
26.33%

FEB - SB Next (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) (ticks) (ticks)
800
810
820
830*
840
850
860
870
880
900
920
3702
2902
2201
1602
1102
705
500
301
106
6
2
103
---
200
---
300
---
403
---
600
---
804
3605
2802
2007
1405
905
600
304
107
100
2
0
105
302
507
905
1405
2100
2804
3607
4600
6501
8500
+5
+100
+102
+105
+105
+105
+104
+102
+6
+4
+2
-2
---
-307
---
-1105
---
-2401
---
-4000
---
-7604
24.15
24.54
24.66
25.05
24.89
25.19
25.51
25.70
25.37
27.31
28.00
20.76
----
13.19
----
----
----
----
----
----
----
----
.86
.78
.68
.57
.45
.34
.25
.17
.11
.05
.02
-.10
*-.22
-.20
*-.43
*-.55
*-.66
*-.75
*-.83
*-.89
*-.95
*-.98
.02
.03
.04
.04
.04
.04
.03
.03
.02
.01
.00
0.6
0.9
2
1
1
1
0.9
0.7
0.5
0.3
0.1
2.8
5.7
2.9
8.0
8.0
7.4
6.4
5.1
3.6
2.0
0.9
7
---
501
---
302
---
2403
---
4006
---
7606
FEB Fut=835.00 Days=7 atmVol=21.97% IntRate = 5.50%
FEB Volatility Skew
Last Trading Date: January 23, 2004
Strike v. Volatility
www.pmpublishing.com
MAR - SB Next (MAY) - 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) (ticks) (ticks)
840*
850
860
880
900
920
940
960
980
1000
1040
2502
2102
1800
1206
900
600
402
207
200
102
5
---
---
---
---
---
---
---
---
---
---
---
2502
2100
1702
1103
702
403
204
103
6
3
1
3002
3507
4201
5601
7107
8900
10701
12600
14503
16501
20500
0
+2
+6
+103
+106
+105
+106
+104
+102
+7
+4
---
---
---
---
---
---
---
---
---
---
---
25.88
26.11
26.57
27.38
28.24
28.56
29.51
30.07
30.82
30.92
32.48
----
----
----
----
----
----
----
----
----
----
----
.49
.43
.38
.29
.22
.16
.11
.08
.06
.04
.02
*-.51
*-.56
*-.62
*-.71
*-.78
*-.84
*-.88
*-.92
*-.94
*-.96
*-.99
1.01
1.00
1.00
.07
.06
.05
.04
.03
.03
.02
.01
0.6
0.6
0.5
0.5
0.4
0.3
0.2
0.2
0.1
0.1
0.1
4.1
4.1
4.0
3.7
3.3
2.7
2.3
1.8
1.4
1.0
0.6
---
---
---
---
---
---
---
---
---
---
---
MAR Fut=835.00 Days=27 atmVol=25.88% IntRate = 5.50%
MAR Volatility Skew
Last Trading Date: February 20, 2004
Strike v. Volatility
www.pmpublishing.com
MAY - SB Next (JUL) - 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) (ticks) (ticks)
460
480
500
520
540
560
580
600
620
640
660
680
700
720
740
760
780
800
820
840*
860
880
900
920
940
960
980
1000
1040
1080
---
---
33700
31700
29700
27700
25700
23700
21700
19700
17702
15800
13900
12100
10500
8904
7600
6400
5400
4504
3802
3200
2606
2202
1804
1504
1206
1005
702
501
1
1
1
1
1
1
1
1
2
4
7
104
206
500
804
1300
1904
2704
3704
4804
---
7406
---
---
12100
---
---
---
---
---
37700
35700
33700
31700
29700
27700
25700
23700
21700
19701
17706
15901
14100
12307
10706
9205
7806
6602
5501
4503
3607
2905
2305
1804
1403
1101
804
603
304
107
---
---
---
0
0
1
1
3
5
101
200
303
502
800
1106
1604
2204
2906
3803
4803
5905
7201
8507
10005
11603
13207
15001
16707
20500
24304
---
---
0
0
0
0
0
0
0
-1
-4
-101
-200
-207
-206
-301
-206
-202
-101
+1
+103
+203
+301
+306
+401
+403
+402
+402
+306
+302
+1
+1
+1
+1
+1
0
0
-2
-3
-5
-101
-107
-204
-300
-302
-304
-300
-202
-7
+1
---
+205
---
---
+405
---
---
---
---
---
----
----
47.63
44.01
40.50
37.12
33.88
30.76
27.74
24.78
24.65
24.45
23.60
23.49
24.46
24.53
25.06
25.55
26.31
27.08
27.79
28.40
28.99
29.50
29.99
30.57
30.91
31.38
32.10
33.04
41.53
38.78
36.13
33.59
31.13
28.75
26.44
24.20
23.87
23.69
23.21
22.79
22.89
23.37
23.98
24.27
24.97
25.60
26.49
27.10
----
28.54
----
----
30.42
----
----
----
----
----
*1.00
*1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
.98
.96
.93
.90
.84
.79
.72
.65
.58
.51
.45
.39
.34
.29
.25
.22
.18
.16
.11
.08
-.00
-.00
-.00
-.00
-.00
-.00
-.00
-.00
-.01
-.01
-.02
-.04
-.06
-.10
-.15
-.20
-.27
-.34
-.41
-.48
*-.54
-.60
*-.65
*-.70
-.73
*-.77
*-.81
*-.84
*-.88
*-.92
.00
.00
.00
.00
.00
.00
.00
.00
.01
.01
.02
.03
.04
.06
1.00
1.02
1.04
1.05
1.06
1.06
1.06
1.05
1.05
1.04
1.03
1.02
1.01
1.00
.07
.05
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.2
0.2
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.2
0.2
0.2
0.2
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.3
0.4
0.7
1.0
1.3
1.7
2.0
2.2
2.5
2.6
2.6
2.6
2.6
2.4
2.4
2.2
2.0
1.8
1.5
1.2
---
---
1
1
1
1
1
1
2
4
5
4
6
100
4
4
4
4
4
0
---
2
---
---
4
---
---
---
---
---
MAY Fut=837.00 Days=72 atmVol=26.99% IntRate = 5.50%
MAY Volatility Skew
Last Trading Date: April 23, 2004
Strike v. Volatility
www.pmpublishing.com
JUL - SB Next (AUG) - 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) (ticks) (ticks)
480
500
520
540
560
580
600
620
640
660
680
700
720
740
760
780
800
820
840*
860
880
900
920
940
960
1000
1040
1080
---
33300
31300
29300
---
25302
23302
21304
19306
17406
15604
13906
12400
10904
9604
8406
7406
6504
5704
5004
4404
3902
3402
2904
2600
1906
1500
1100
1
1
1
2
3
5
7
102
200
301
501
802
1202
1706
2404
3204
4200
5206
6404
7704
---
---
---
---
---
---
---
---
35300
33300
31300
29300
27300
25300
23301
21307
19502
17703
16001
14307
12803
11307
10003
8800
7605
6603
5701
4806
4104
3501
2904
2406
2005
1400
903
602
0
1
2
3
6
102
200
300
405
605
903
1207
1701
2203
2805
3507
4402
5304
6400
7503
8706
10100
11501
13000
14504
17804
21305
25002
---
0
0
0
---
+2
+1
-3
-104
-205
-305
-401
-403
-403
-307
-302
-107
-7
+3
+106
+300
+401
+406
+406
+503
+506
+505
+406
+1
0
-1
-1
-3
-5
-101
-106
-205
-304
-402
-405
-407
-405
-401
-303
-202
-6
+4
+201
---
---
---
---
---
---
---
---
----
39.97
36.87
33.92
----
30.85
28.06
26.35
24.41
23.84
23.61
24.13
24.50
24.90
25.45
25.95
26.70
27.21
27.80
28.37
28.99
29.58
29.96
30.12
30.63
31.27
31.87
32.09
30.15
28.08
26.08
26.09
25.33
24.99
24.09
23.31
23.07
22.87
23.17
23.73
24.12
24.73
25.32
25.87
26.54
27.22
27.85
28.59
----
----
----
----
----
----
----
----
*1.00
1.00
1.00
1.00
*1.00
.98
.98
.97
.96
.94
.91
.87
.83
.78
.72
.67
.61
.56
.51
.46
.42
.38
.34
.30
.27
.22
.17
.13
-.00
-.00
-.00
-.01
-.01
-.01
-.02
-.02
-.04
-.05
-.08
-.12
-.16
-.21
-.26
-.31
-.37
-.42
-.47
-.52
*-.56
*-.61
*-.64
*-.68
*-.71
*-.77
*-.82
*-.86
.00
.00
.00
.01
.01
.02
.02
.03
.04
.05
.07
1.01
1.03
1.05
1.06
2.00
2.01
2.01
2.01
2.01
2.01
2.01
2.00
1.07
1.07
1.05
1.03
1.02
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.3
0.3
0.3
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.1
0.1
0.0
0.0
0.0
0.1
0.1
0.1
0.2
0.2
0.3
0.5
0.7
0.9
1.1
1.3
1.5
1.7
1.8
1.9
2.0
2.1
2.1
2.1
2.0
2.0
1.9
1.7
1.5
1.3
---
1
1
2
---
3
5
6
102
103
105
104
102
102
100
6
2
2
0
0
---
---
---
---
---
---
---
---
JUL Fut=833.00 Days=117 atmVol=27.60% IntRate = 5.50%
JUL Volatility Skew
Last Trading Date: June 25, 2004
Strike v. Volatility
www.pmpublishing.com
AUG - SB 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) (ticks) (ticks)
520
580
600
620
640
660
680
700
720
740
760
780
800*
820
840
860
880
900
920
940
960
1000
1080
---
---
20004
---
16500
14806
13304
11904
10600
9400
8400
7404
6600
5804
5200
4600
4006
3602
3200
2802
2500
1904
1204
6
204
400
504
704
1102
1506
2104
2800
3600
---
---
6704
---
---
---
---
---
---
---
---
---
---
27804
22000
20106
18402
16704
15104
13604
12202
10901
9607
8505
7502
6507
5704
4907
4301
3701
3107
2702
2302
1906
1401
700
101
402
601
804
1105
1504
2001
2505
3201
3904
4707
5701
6703
7804
9004
10303
11700
13103
14604
16201
17802
21202
28406
---
---
-102
---
-204
-206
-300
-206
-301
-207
-105
-6
+1
+100
+201
+207
+305
+403
+406
+500
+502
+503
+504
-3
-106
-201
-300
-401
-402
-403
-401
-401
-304
---
---
+1
---
---
---
---
---
---
---
---
---
---
----
----
27.51
----
27.23
27.39
27.58
27.90
27.89
28.12
28.79
29.18
29.57
29.99
30.47
30.83
31.21
31.65
31.94
32.23
32.54
33.06
34.50
27.71
26.39
26.63
26.14
25.72
26.29
26.63
27.09
27.34
27.80
----
----
29.58
----
----
----
----
----
----
----
----
----
----
*1.00
*.98
.94
*.92
.88
.85
.81
.76
.72
.67
.62
.57
.53
.48
.44
.40
.37
.33
.30
.27
.25
.20
.14
-.01
-.04
-.06
-.07
-.10
-.13
-.17
-.22
-.26
-.31
*-.36
*-.41
-.45
*-.50
*-.54
*-.58
*-.61
*-.65
*-.68
*-.71
*-.74
*-.79
*-.86
.01
.04
.05
.06
1.00
1.02
1.04
1.06
1.07
2.00
2.01
2.02
2.02
2.02
2.02
2.02
2.01
2.01
2.00
1.07
1.06
1.05
1.02
0.0
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.1
0.1
0.1
0.4
0.5
0.6
0.7
0.9
1.1
1.3
1.5
1.6
1.7
1.8
1.9
1.9
1.9
1.9
1.9
1.9
1.8
1.8
1.7
1.5
1.3
---
---
200
---
100
100
6
4
4
4
---
---
0
---
---
---
---
---
---
---
---
---
---
AUG Fut=798.04 Days=137 atmVol=29.52% IntRate = 5.50%
AUG Volatility Skew
Last Trading Date: July 23, 2004
Strike v. Volatility
www.pmpublishing.com
SEP - SB Next (NOV) - 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) (ticks) (ticks)
560
580
600
620
640
660
680
700
720
740*
760
800
840
880
---
---
---
---
---
10500
9206
8200
7204
6400
5604
4404
3406
2606
402
604
906
1400
1902
2600
3304
4204
---
---
---
---
---
---
18401
16700
15006
13503
12100
10704
9501
8306
7303
6400
5504
4102
3001
2106
700
906
1302
1705
2207
2901
3602
4403
5305
6306
7406
9905
12706
15804
---
---
---
---
---
-204
-203
-106
-7
0
+100
+302
+405
+500
-206
-302
-304
-305
-305
-301
-206
-107
---
---
---
---
---
---
----
----
----
----
----
26.81
27.00
27.37
27.80
28.21
28.63
29.65
30.40
30.87
24.82
24.98
25.33
25.69
26.00
26.52
26.81
27.29
----
----
----
----
----
----
*.94
*.91
*.87
*.83
*.78
.73
.68
.63
.58
.53
.49
.40
.33
.27
-.06
-.09
-.12
-.16
-.20
-.25
-.30
-.35
*-.40
*-.44
*-.49
*-.57
*-.65
*-.71
.06
.07
1.01
1.03
1.05
1.07
2.00
2.01
2.02
2.02
2.02
2.02
2.01
1.07
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.4
0.6
0.7
0.9
1.0
1.2
1.3
1.4
1.5
1.5
1.5
1.6
1.5
1.4
---
---
---
---
---
102
100
6
---
---
---
---
---
---
SEP Fut=740.02 Days=162 atmVol=28.19% IntRate = 5.50%
SEP Volatility Skew
Last Trading Date: August 27, 2004
Strike v. Volatility
www.pmpublishing.com
NOV - SB 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) (ticks) (ticks)
480
500
520
540
560
580
600
620
640
660
680*
700
720
740
760
780
800
820
840
880
900
1000
---
17402
15606
---
12406
11104
9806
8702
7700
6606
5800
5004
4304
3704
3204
2800
2400
2004
1706
1302
1102
506
206
402
606
1000
1404
2006
2706
3602
4503
5500
6602
7804
9104
---
---
---
---
---
---
---
---
---
19301
17501
15800
14107
12606
11205
9904
8704
7605
6606
5706
4907
4207
3605
3102
2604
2203
1807
1507
1101
902
305
405
606
905
1302
1706
2302
2906
3702
4506
5502
6507
7703
8906
10300
11701
13107
14703
16304
18001
21500
23300
32802
---
-7
-102
---
-200
-101
-6
-2
+3
0
+2
+5
+5
+7
+102
+104
+105
+105
+107
+201
+200
+201
-107
-204
-207
-302
-302
-204
-200
-100
-3
-2
+3
+101
+106
---
---
---
---
---
---
---
---
---
----
25.72
25.62
----
25.56
26.25
26.47
26.75
27.07
26.91
26.97
27.16
27.18
27.28
27.49
27.63
27.72
27.79
28.01
28.40
28.44
29.66
23.97
23.83
24.14
24.32
24.70
25.43
25.85
26.42
26.72
26.76
27.07
27.40
27.66
----
----
----
----
----
----
----
----
----
*.98
.92
.89
*.86
.81
.76
.71
.66
.61
.56
.51
.46
.42
.38
.34
.30
.27
.24
.21
.16
.14
.08
-.04
-.06
-.09
-.13
-.17
-.21
-.26
-.31
-.36
-.41
-.46
-.51
-.55
*-.60
*-.64
*-.68
*-.71
*-.75
*-.78
*-.83
*-.85
*-.95
.04
.06
1.00
1.02
1.04
1.06
1.07
2.00
2.01
2.02
2.02
2.02
2.02
2.02
2.01
2.00
1.07
1.06
1.05
1.04
1.03
.07
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.1
0.1
0.1
0.3
0.3
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.1
1.2
1.2
1.2
1.1
1.1
1.1
1.0
1.0
0.9
0.8
0.7
0.5
---
106
106
---
104
100
6
6
1
0
0
2
2
---
---
---
---
---
---
---
---
---
NOV Fut=671.06 Days=202 atmVol=26.89% IntRate = 5.50%
NOV Volatility Skew
Last Trading Date: October 22, 2004
Strike v. Volatility
www.pmpublishing.com
JAN - SB 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) (ticks) (ticks)
640*
---
5000
8103
5000
---
0
----
26.33
*.61
-.36
2.03
0.2
1.0
---
JAN Fut=672.04 Days=247 atmVol=26.33% IntRate = 5.50%
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