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Daily Soy Meal Option Analysis - Thu, January 15, 2004
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Month
FEB
MAR
MAY
JUL
AUG
SEP
OCT
DEC
JAN
 Futures
Closing Price
257.10
257.10
257.70
254.00
243.30
227.20
201.00
198.80
198.80
 Days Left
7
27
72
117
137
162
182
227
247
 Implied ATM
Volatility
33.87%
29.97%
27.80%
26.38%
27.84%
26.81%
25.97%
22.27%
19.76%
 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, Sep. 24, 2004
Fri, Nov. 26, 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 17, 2010 - January 15, 2010

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

MAY Futures
June 17, 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
August 7, 2010 - January 15, 2010

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

AUG Futures
August 7, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 2-Week Historical Volatility
September 9, 2010 - January 15, 2010

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

SEP Futures
September 9, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

OCT Implied Volatility v. 2-Week Historical Volatility
January 14, 2010 - January 15, 2010

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

NOV Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 2-Week Historical Volatility
January 14, 2010 - January 15, 2010

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

JAN Implied Volatility v. 2-Week Historical Volatility
January 14, 2010 - January 15, 2010

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

Historical Volatilities for SM
1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
 42.44%
42.44%
38.23%
38.23%
35.50%
35.50%
33.11%
28.96%
 37.87%
37.87%
34.59%
34.59%
32.01%
32.01%
29.95%
n/a
 34.97%
34.97%
32.23%
32.23%
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 SM
1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.
FEB
MAR
MAY
JUL
AUG
SEP
OCT
DEC
JAN
 5.39
4.77
4.44
4.15
4.19
3.77
3.23
2.74
2.43
 9.33
8.26
7.68
7.18
7.26
6.53
5.60
4.75
4.21
 14.26
12.62
11.73
10.98
11.09
9.98
8.55
7.25
6.43
 20.17
17.85
16.59
15.52
15.69
14.11
12.09
10.25
9.10
 29.52
26.13
24.29
22.72
22.97
20.65
17.70
15.01
13.32
 42.09
37.26
34.64
32.40
32.75
29.45
25.23
21.40
18.99
 51.41
45.50
42.31
39.57
40.00
35.97
30.82
26.14
23.19
 33.87%
29.97%
27.80%
26.38%
27.84%
26.81%
25.97%
22.27%
19.76%

FEB - SM 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)
220
230
240
250
260*
270
300
---
2735
1775
950
450
200
5
10
25
75
250
---
---
---
3710
2719
1779
985
438
151
1
1
11
71
276
728
1440
4290
---
+16
-4
-35
+12
+49
+4
+9
+14
+4
-26
---
---
---
----
39.67
33.34
31.46
34.59
37.89
39.41
44.46
38.87
34.40
32.10
----
----
----
*.99
.96
.90
.71
.43
.22
.01
-.01
-.04
-.11
-.29
*-.57
*-.77
*-.99
.02
.04
.08
.14
.17
.13
.01
0.2
0.5
1
3
3
2
0.1
4.3
8.8
18
34
42
34
2.4
---
0
10
10
---
---
---
FEB Fut=257.10 Days=7 atmVol=33.87% IntRate = 5.50%
FEB Volatility Skew
Last Trading Date: January 23, 2004
Strike v. Volatility
www.pmpublishing.com
MAR - SM 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)
140
145
150
155
160
165
170
175
180
185
190
195
200
210
220
230
240
250
260*
270
280
290
300
310
320
330
340
---
---
---
---
9710
9210
8710
8210
7710
7210
6710
6210
5710
4715
3750
2815
1975
1325
870
565
365
250
175
130
90
50
25
5
5
5
5
5
5
5
5
5
5
5
5
5
20
40
110
275
615
1155
---
---
---
4465
---
---
---
---
11710
11210
10710
10210
9710
9210
8710
8210
7710
7210
6710
6210
5710
4714
3748
2842
2035
1364
852
494
266
133
62
27
11
4
2
---
---
---
---
---
---
---
---
---
---
1
1
3
14
51
143
332
657
1140
1778
2546
3410
4337
5302
6291
7290
8290
---
---
---
---
0
0
0
0
0
0
0
0
0
+1
+2
-27
-60
-39
+18
+71
+99
+117
+113
+103
+79
+46
+23
+5
+5
+5
+5
+5
+5
+5
+5
+5
+5
+4
+4
+2
+6
-11
-33
-57
-42
+15
---
---
---
+128
---
---
---
---
----
----
----
----
----
----
----
----
----
----
----
----
----
30.49
30.21
28.18
27.48
28.71
30.53
32.37
34.07
36.36
38.54
40.99
42.46
42.08
41.30
70.74
66.94
63.27
59.71
56.25
52.89
49.62
46.44
43.33
40.29
37.33
34.42
31.57
31.49
28.55
27.77
27.59
28.60
30.42
----
----
----
39.58
----
----
----
----
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
.99
.95
.90
.79
.63
.47
.34
.23
.16
.12
.09
.06
.04
.02
-.00
-.00
-.00
-.00
-.00
-.00
-.00
-.00
-.00
-.00
-.00
-.01
-.01
-.02
-.04
-.10
-.21
-.36
-.52
*-.66
*-.76
*-.83
-.87
*-.91
*-.94
*-.96
*-.98
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.04
.08
.14
.23
.31
.33
.30
.25
.20
.17
.13
.10
.07
.04
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.2
0.4
0.8
1
2
2
1
1
0.8
0.6
0.5
0.3
0.2
0.1
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
2.3
3.7
7.3
12
16
18
18
16
14
12
9.9
7.8
5.2
3.0
---
---
---
---
5
5
5
5
5
5
5
5
5
15
0
5
10
0
5
---
---
---
0
---
---
---
---
MAR Fut=257.10 Days=27 atmVol=29.97% IntRate = 5.50%
MAR Volatility Skew
Last Trading Date: February 20, 2004
Strike v. Volatility
www.pmpublishing.com
MAY - SM 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)
145
150
155
160
165
170
175
180
185
190
195
200
210
220
230
240
250
260*
270
280
290
300
320
---
---
---
9770
---
8770
8275
7780
7285
6790
---
5800
4825
3900
3025
2375
1800
1400
1100
850
675
550
400
5
5
5
5
5
5
10
15
20
25
35
50
90
175
310
600
1040
---
2300
---
---
4780
---
11270
10770
10270
9770
9270
8770
8270
7770
7270
6770
6274
5788
4852
3977
3178
2473
1872
1378
986
687
466
309
126
---
---
---
---
1
2
4
7
13
22
35
55
123
244
438
723
1111
1605
2203
2893
3662
4497
6306
---
---
---
0
---
0
+5
+10
+15
+20
---
+12
-27
-77
-153
-98
-72
+22
+114
+163
+209
+241
+274
+5
+5
+5
+5
+4
+3
+6
+8
+7
+3
0
-5
-33
-69
-128
-123
-71
---
+97
---
---
+283
---
----
----
----
----
----
----
38.60
37.06
35.25
33.29
----
29.18
26.05
24.72
23.41
25.62
26.40
28.22
29.99
31.19
32.69
34.32
38.02
41.10
38.86
36.68
34.57
32.51
30.52
30.98
30.51
29.61
28.44
27.80
27.31
25.85
25.14
24.20
25.07
26.42
----
29.68
----
----
35.41
----
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
.99
.98
.98
.97
*.99
.96
.94
.90
.83
.72
.61
.50
.41
.33
.27
.22
.16
-.00
-.00
-.00
-.00
-.00
-.00
-.01
-.01
-.01
-.02
-.02
-.03
-.06
-.10
-.17
-.27
-.38
*-.49
-.58
*-.66
*-.72
-.76
*-.83
.01
.01
.01
.01
.01
.01
.03
.05
.06
.07
.07
.10
.15
.24
.34
.45
.51
.53
.52
.49
.45
.41
.33
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.2
0.3
0.5
0.8
1.0
1
1
1.0
0.9
0.7
0.6
0.5
0.3
0.3
0.3
0.3
0.3
0.3
0.6
0.8
0.9
1.1
1.4
1.9
2.7
4.2
5.6
7.7
9.3
10
11
10
10
10
8.6
---
---
---
5
---
5
5
5
5
5
---
20
35
45
55
5
10
---
30
---
---
0
---
MAY Fut=257.70 Days=72 atmVol=27.80% IntRate = 5.50%
MAY Volatility Skew
Last Trading Date: April 23, 2004
Strike v. Volatility
www.pmpublishing.com
JUL - SM 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)
145
150
160
165
170
175
180
185
190
195
200
210
220
230
240
250*
260
270
280
300
310
340
---
---
9400
---
8410
---
7420
6925
6430
---
5450
4525
3675
2940
2385
1900
1575
1325
1100
800
725
600
10
15
20
25
---
35
40
50
60
75
100
190
325
575
1000
1500
---
---
---
5400
---
---
10900
10400
9400
8900
8400
7900
7400
6904
6420
5948
5491
4623
3826
3110
2482
1945
1496
1132
841
444
316
105
1
1
5
9
14
23
36
55
80
114
159
287
480
750
1106
1552
2086
2704
3398
4973
5836
8625
---
---
0
---
+10
---
+20
+21
+10
---
-41
-98
-151
-170
-97
-45
+79
+193
+259
+356
+409
+495
+9
+14
+15
+16
---
+12
+4
-5
-20
-39
-59
-97
-155
-175
-106
-52
---
---
---
+427
---
---
----
----
36.20
----
34.52
----
31.04
29.20
27.34
----
24.21
23.09
22.75
23.15
24.80
25.70
27.57
29.37
30.62
33.40
35.35
41.41
34.06
33.84
31.26
30.35
----
28.09
26.82
25.96
24.93
24.10
23.62
23.28
22.69
23.06
24.65
25.60
----
----
----
34.76
----
----
*1.00
*1.00
1.00
*1.00
.98
*1.00
.97
.97
.96
*.97
.94
.90
.84
.75
.65
.56
.48
.41
.35
.26
.23
.18
-.01
-.01
-.01
-.01
*-.03
-.02
-.02
-.03
-.03
-.04
-.05
-.10
-.15
-.23
-.33
-.42
*-.50
*-.57
*-.64
-.72
*-.76
*-.82
.02
.03
.05
.06
.12
.08
.09
.11
.13
.15
.19
.29
.40
.51
.61
.66
.67
.65
.62
.55
.51
.44
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.3
0.4
0.6
0.8
0.9
0.9
0.8
0.8
0.7
0.6
0.5
0.4
0.4
0.5
0.6
0.7
1.8
0.9
1.0
1.2
1.3
1.6
1.9
2.8
3.8
5.0
6.3
7.0
7.6
8.0
8.0
8.2
7.6
7.7
---
---
20
---
---
---
20
25
30
---
50
65
50
35
15
0
---
---
---
0
---
---
JUL Fut=254.00 Days=117 atmVol=26.38% IntRate = 5.50%
JUL Volatility Skew
Last Trading Date: June 25, 2004
Strike v. Volatility
www.pmpublishing.com
AUG - SM 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)
150
160
170
175
180
185
190
195
200
210
220
230
240*
250
260
270
280
290
300
---
---
7370
---
---
---
5420
---
4525
3700
3000
2465
2050
1700
1450
1250
1090
940
825
25
30
35
45
75
105
135
175
240
420
700
---
---
---
---
---
---
---
6495
9330
8330
7332
6847
6375
5917
5474
5047
4638
3873
3187
2585
2066
1629
1267
973
739
555
412
11
27
61
88
123
168
226
296
382
605
903
1281
1743
2286
2904
3592
4340
5141
5987
---
---
+38
---
---
---
-54
---
-113
-173
-187
-120
-16
+71
+183
+277
+351
+385
+413
+14
+3
-26
-43
-48
-63
-91
-121
-142
-185
-203
---
---
---
---
---
---
---
+508
----
----
32.28
----
----
----
25.61
----
24.65
24.11
24.52
25.97
27.60
28.87
30.56
32.15
33.69
34.83
36.08
31.24
28.28
25.28
24.53
25.04
24.88
24.32
23.86
23.88
23.89
24.26
----
----
----
----
----
----
----
37.95
*1.00
*1.00
.96
*1.00
*.97
*.95
.92
*.91
.88
.81
.73
.64
.56
.48
.42
.36
.32
.28
.25
-.01
-.02
-.02
-.03
-.04
-.05
-.07
-.08
-.11
-.17
-.25
*-.34
*-.42
*-.50
*-.56
*-.62
*-.66
*-.71
-.73
.06
.07
.13
.10
.15
.19
.23
.27
.33
.44
.55
.64
.68
.69
.68
.65
.62
.59
.56
0.1
0.1
0.1
0.1
0.2
0.2
0.3
0.4
0.4
0.6
0.7
0.8
0.8
0.8
0.7
0.7
0.6
0.5
0.5
0.6
0.7
0.8
0.9
1.3
1.7
2.0
2.3
2.8
3.8
4.8
5.9
6.6
7.0
7.3
7.5
7.5
7.3
7.7
---
---
5
---
---
---
45
---
45
50
30
---
---
---
---
---
---
---
0
AUG Fut=243.30 Days=137 atmVol=27.84% IntRate = 5.50%
AUG Volatility Skew
Last Trading Date: July 23, 2004
Strike v. Volatility
www.pmpublishing.com
SEP - SM Next (OCT) - 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)
150
160
170
175
180
185
190
195
200
210
220
230*
240
260
270
280
300
---
---
---
5300
---
---
---
---
3260
2635
2150
1770
1520
1100
950
850
700
35
60
100
140
185
240
330
425
550
925
---
---
---
---
---
---
7960
7720
6728
5790
5345
4917
4507
4116
3745
3394
2758
2208
1742
1356
791
594
441
237
36
79
158
214
284
370
473
594
734
1077
1504
2016
2606
3999
4784
5618
7399
---
---
---
-45
---
---
---
---
-134
-123
-58
+28
+164
+309
+356
+409
+463
-1
-19
-58
-74
-99
-130
-143
-169
-184
-152
---
---
---
---
---
---
+561
----
----
----
24.93
----
----
----
----
24.27
24.82
25.96
27.21
29.19
31.77
33.01
34.59
37.56
26.72
25.38
24.08
23.96
23.61
23.23
23.42
23.26
23.32
24.35
----
----
----
----
----
----
40.01
*1.00
*.99
*.96
.92
*.91
*.88
*.85
*.81
.76
.68
.59
.51
.44
.33
.29
.26
.21
-.02
-.03
-.05
-.07
-.09
-.11
-.14
-.17
-.21
-.30
*-.39
*-.47
*-.54
*-.65
*-.69
*-.73
-.76
.08
.13
.19
.23
.28
.33
.40
.45
.52
.61
.67
.70
.69
.64
.60
.57
.52
0.1
0.2
0.2
0.3
0.4
0.4
0.5
0.6
0.7
0.8
0.8
0.8
0.7
0.6
0.6
0.5
0.4
0.7
1.0
1.4
1.7
2.0
2.4
2.8
3.2
3.6
4.5
5.2
5.6
6.0
6.1
6.0
6.0
6.5
---
---
---
60
---
---
---
---
10
10
---
---
---
---
---
---
20
SEP Fut=227.20 Days=162 atmVol=26.81% IntRate = 5.50%
SEP Volatility Skew
Last Trading Date: August 27, 2004
Strike v. Volatility
www.pmpublishing.com
OCT - SM Next (DEC) - 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)
150
155
160
165
170
175
190
200*
210
---
---
---
---
---
---
2100
1700
1400
80
110
165
235
340
460
---
---
---
5164
4722
4299
3898
3519
3162
2233
1733
1323
150
209
285
378
490
624
1161
1636
2200
---
---
---
---
---
---
-133
-33
+77
-70
-99
-120
-143
-150
-164
---
---
---
----
----
----
----
----
----
23.77
25.45
27.16
22.39
21.89
22.00
22.01
22.40
22.53
----
----
----
*.97
*.94
*.91
*.87
*.83
*.78
.63
.54
.46
-.05
-.06
-.09
-.12
-.16
-.20
*-.34
*-.44
*-.52
.16
.21
.27
.33
.40
.46
.61
.65
.65
0.3
0.3
0.4
0.5
0.6
0.7
0.9
0.9
0.9
1.0
1.2
1.6
2.0
2.4
2.8
3.8
4.3
4.7
---
---
---
---
---
---
---
---
---
OCT Fut=201.00 Days=182 atmVol=25.97% IntRate = 5.50%
OCT Volatility Skew
Last Trading Date: September 24, 2004
Strike v. Volatility
www.pmpublishing.com
DEC - SM Next (JAN) - Previous (OCT) - 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)
145
150
155
160
165
170
175
180
185
190
195
200*
210
230
---
---
---
---
3630
3245
2865
2490
2200
---
1725
1550
1250
875
95
120
160
240
325
425
---
650
---
1075
---
1675
---
---
5393
4926
4481
4058
3657
3280
2927
2599
2296
2018
1765
1537
1149
610
96
140
198
273
366
480
616
775
958
1165
1397
1653
2235
3641
---
---
---
---
-27
-35
-62
-109
-96
---
-40
+13
+101
+265
-1
-20
-38
-33
-41
-55
---
-125
---
-90
---
+22
---
---
----
----
----
----
21.61
21.55
21.13
20.44
20.78
----
21.69
22.45
23.70
26.54
22.22
21.42
20.96
21.35
21.30
21.14
----
20.18
----
20.94
----
22.57
----
----
*.97
*.95
*.92
*.88
.84
.80
.76
.71
.66
*.61
.56
.51
.43
.31
-.05
-.06
-.08
-.11
-.14
-.18
*-.22
-.26
*-.31
-.36
*-.41
-.46
*-.54
*-.67
.19
.23
.28
.35
.42
.48
.54
.59
.64
.68
.70
.71
.71
.64
0.2
0.3
0.4
0.5
0.6
0.7
0.7
0.9
0.9
0.9
1.0
0.9
0.9
0.7
0.9
1.1
1.3
1.6
1.9
2.2
2.4
2.5
2.8
3.0
3.2
3.3
3.5
3.6
---
---
---
---
75
60
---
40
---
---
---
5
---
---
DEC Fut=198.80 Days=227 atmVol=22.27% IntRate = 5.50%
DEC Volatility Skew
Last Trading Date: November 26, 2004
Strike v. Volatility
www.pmpublishing.com
JAN - SM Previous (DEC) - 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)
190*
---
1050
1901
1050
---
0
----
19.76
*.61
-.36
.70
1.0
2.7
---
JAN Fut=198.80 Days=247 atmVol=19.76% IntRate = 5.50%
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