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Daily Swiss Franc Option Analysis - Wed, April 7, 2004
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Month
MAY
JUN
 Futures
Closing Price
78.450
78.450
 Days Left
23
43
 Implied ATM
Volatility
11.52%
11.55%
 Last Trading Date
Fri, May 7, 2004
Fri, Jun. 4, 2004
ArrowHistorical v. Implied Volatility Graphs
ArrowHistorical Volatility Tables
ArrowImplied Standard Deviations

MAY Implied Volatility v. 1-Month Historical Volatility
February 20, 2010 - April 7, 2010

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

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

Historical Volatilities for SF
1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month
JUN
 25.16%
 16.90%
 14.27%
 17.04%
 15.36%
 n/a
 n/a
 n/a

Implied Standard Deviations for SF
1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.
MAY
JUN
 .56
.56
 .97
.97
 1.48
1.48
 2.09
2.10
 3.06
3.07
 4.37
4.38
 5.34
5.35
 11.52%
11.55%

MAY - SF Next (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) (ticks) (ticks)
71.0
74.0
76.0
77.0
78.0
78.5*
79.0
79.5
80.0
81.0
82.0
84.0
---
---
---
195.0
131.0
104.0
82.0
64.0
50.0
29.0
17.0
6.0
2.0
9.0
28.0
50.0
86.0
---
137.0
169.0
205.0
---
---
---
745.0
448.2
269.0
193.0
130.1
104.1
81.7
63.0
47.6
25.5
12.6
2.4
---
4.7
25.1
48.7
85.3
109.1
136.5
167.5
201.9
279.4
366.2
555.9
---
---
---
+2.0
+0.9
-0.1
+0.3
+1.0
+2.4
+3.5
+4.4
+3.6
+1.9
+4.3
+2.9
+1.3
+0.7
---
+0.5
+1.5
+3.1
---
---
---
----
----
----
11.77
11.62
11.51
11.55
11.64
11.83
12.08
12.53
13.57
15.70
13.23
12.01
11.68
11.60
----
11.58
11.69
11.91
----
----
----
*.99
*.93
*.82
.71
.57
.50
.42
.35
.29
.19
.12
.05
-.02
-.07
-.18
-.29
-.42
*-.50
-.57
-.64
-.70
*-.81
*-.88
*-.95
.01
.03
.06
.08
.09
.09
.09
.09
.08
.06
.05
.02
1
4
9
13
14
15
14
14
12
10
7
3
0.3
0.8
1.6
2.0
2.3
2.3
2.3
2.2
2.1
1.7
1.3
0.7
---
---
---
0
0
---
0
0
0
---
---
---
MAY Fut=78.45 Days=23 atmVol=11.52% IntRate = 6.50%
MAY Volatility Skew
Last Trading Date: May 7, 2004
Strike v. Volatility
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JUN - SF 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)
71.0
72.0
72.5
73.0
73.5
74.0
74.5
75.0
75.5
76.0
77.0
78.0
78.5*
79.0
80.0
81.0
82.0
83.0
84.0
85.0
86.0
87.0
88.0
---
652.0
---
---
---
466.0
---
---
---
299.0
229.0
169.0
143.0
121.0
84.0
57.0
39.0
26.0
18.0
12.0
9.0
6.0
4.0
5.0
8.0
10.0
13.0
17.0
22.0
28.0
35.0
44.0
55.0
84.0
124.0
148.0
176.0
239.0
311.0
---
---
572.0
665.0
762.0
---
957.0
745.0
646.6
598.5
551.2
505.0
460.0
416.4
374.5
334.4
296.4
227.3
168.4
143.0
120.3
82.6
54.5
34.5
20.9
12.2
6.8
3.6
1.9
0.9
2.1
4.6
6.7
9.5
13.2
18.1
24.3
32.1
41.7
53.3
83.5
123.8
148.0
174.8
236.4
307.5
386.8
472.7
563.7
658.3
755.7
855.0
955.0
---
+5.4
---
---
---
+6.0
---
---
---
+2.6
+1.7
+0.6
0.0
+0.7
+1.4
+2.5
+4.5
+5.1
+5.8
+5.2
+5.4
+4.1
+3.1
+2.9
+3.4
+3.3
+3.5
+3.8
+3.9
+3.7
+2.9
+2.3
+1.7
+0.5
+0.2
0.0
+1.2
+2.6
+3.5
---
---
+8.3
+6.7
+6.3
---
+2.0
----
13.65
----
----
----
12.57
----
----
----
11.82
11.70
11.60
11.55
11.61
11.67
11.79
12.08
12.32
12.72
13.00
13.61
13.87
14.13
13.27
12.81
12.55
12.41
12.31
12.22
12.09
11.92
11.81
11.72
11.59
11.57
11.55
11.64
11.77
11.89
----
----
13.22
13.49
14.28
----
15.24
*.98
.94
*.94
*.93
*.91
.88
*.86
*.83
*.79
.75
.66
.55
.50
.45
.35
.26
.19
.13
.10
.07
.05
.03
.02
-.03
-.05
-.06
-.07
-.09
-.11
-.14
-.17
-.20
-.24
-.33
-.44
-.49
-.54
-.65
-.73
*-.81
*-.86
-.89
-.92
-.94
*-.97
-.97
.02
.03
.04
.04
.05
.06
.07
.08
.09
.10
.12
.12
.13
.12
.12
.10
.09
.07
.06
.04
.03
.02
.02
2
2
3
3
4
5
6
7
7
8
10
11
11
11
10
9
7
5
4
3
3
2
2
0.3
0.5
0.5
0.6
0.7
0.9
1.0
1.1
1.2
1.3
1.5
1.7
1.7
1.7
1.6
1.4
1.2
1.0
0.9
0.7
0.6
0.4
0.4
---
1
---
---
---
1
---
---
---
1
0
0
0
0
0
1
---
---
1
2
2
---
2
JUN Fut=78.45 Days=43 atmVol=11.55% IntRate = 6.50%
JUN Volatility Skew
Last Trading Date: June 4, 2004
Strike v. Volatility
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