10 Year Notes (TY) Option Volatility Analysis

CME

SP ES NK ND ED EY
JY BP AD CD MP SF
LC FC LH LB

CBOT

DJ US TY WT
SB BO SM C

CBOE

SX OX

CSCE

CA CF HS

NYCE

OJ CT

NYMEX

HO CL NG HU

COMEX

GC SI HG

DAILY SUMMARY

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Daily 10 Year Notes Option Analysis - Thu, January 15, 2004
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Month
FEB
MAR
APR
JUN
Futures
Closing Price
114.205
114.205
113.200
113.200
Days Left
7
27
52
92
Implied ATM
Volatility
6.01%
7.42%
7.75%
8.08%
Last Trading Date
Fri, Jan. 23, 2004
Fri, Feb. 20, 2004
Fri, Mar. 26, 2004
Fri, May 21, 2004

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

FEB 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

MAR Implied Volatility v. 2-Week Historical Volatility
August 11, 2010 - January 15, 2010

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

MAR Futures
August 11, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

APR 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

JUN 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 TY

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

MAR
6.23%
6.66%
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
MAR	6.23%	6.66%	n/a	n/a	n/a	n/a	n/a	n/a

Implied Standard Deviations for TY

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

FEB
MAR
APR
JUN
-14
-17
-17
-18
-24
-29
-30
-31
1-04
1-12
1-14
1-16
1-19
1-31
2-01
2-04
2-10
2-28
2-31
3-03
3-10
4-03
4-08
4-14
4-02
5-00
5-06
5-13
6.01%
7.42%
7.75%
8.08%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
FEB MAR APR JUN	-14 -17 -17 -18	-24 -29 -30 -31	1-04 1-12 1-14 1-16	1-19 1-31 2-01 2-04	2-10 2-28 2-31 3-03	3-10 4-03 4-08 4-14	4-02 5-00 5-06 5-13	6.01% 7.42% 7.75% 8.08%

FEB - TY 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)

102
103
104
105
106
107
108
109
110
111
112
113
114*
115
116
117
118

---
---
---
---
---
---
641.0
541.0
441.0
342.0
242.0
145.0
55.0
18.0
4.0
1.0
1.0

1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
4.0
14.0
41.0
127.0
---
---

1241.0
1141.0
1041.0
941.0
841.0
741.0
641.0
541.0
441.0
341.0
241.0
143.0
53.5
19.0
4.0
0.5
---

---
---
---
---
---
---
---
---
---
---
---
2.5
13.0
41.5
127.0
223.5
323.0

---
---
---
---
---
---
0.0
0.0
0.0
+1.0
+1.0
+2.0
+1.5
-1.0
0.0
+0.5
+1.0

+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.5
+1.0
-0.5
0.0
---
---

----
----
----
----
----
----
13.74
11.64
9.56
10.25
7.75
7.00
6.33
5.84
5.97
6.70
8.95

30.05
27.82
25.60
23.38
21.16
18.93
16.70
14.45
12.18
9.87
7.51
6.93
6.32
5.85
6.02
----
----

*.99
*.99
*.99
*.99
*.99
*.99
1.00
1.00
1.00
.97
.97
.90
.71
.37
.11
.03
.02

-.01
-.01
-.01
-.01
-.01
-.01
-.01
-.02
-.02
-.02
-.03
-.10
-.29
-.63
-.88
*-.97
*-.98

.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.02
.04
.05
.03
.01
.01

0.4
0.5
0.5
0.6
0.7
0.9
1
1
2
3
5
14
29
34
17
6
3

0.5
0.5
0.5
0.5
0.5
0.5
0.4
0.4
0.4
0.4
0.4
1.0
1.9
2.0
1.0
0.4
0.4

---
---
---
---
---
---
1
1
1
0
0
0
0
0
0
---
---

FEB Fut=114.205 Days=7 atmVol=6.01% IntRate = 6.50%

FEB Volatility Skew
Last Trading Date: January 23, 2004

Strike v. Volatilitywww.pmpublishing.com

MAR - TY Next (APR) - 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)

78
94
95
96
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114*
115
116
117
118
119
120
121
124
126
127

---
---
---
---
---
---
---
---
---
---
---
941.0
---
742.0
643.0
545.0
448.0
352.0
260.0
209.0
129.0
58.0
33.0
17.0
8.0
4.0
1.0
1.0
1.0
1.0
1.0

1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
3.0
4.0
7.0
11.0
19.0
32.0
52.0
117.0
156.0
---
331.0
427.0
---
---
---
---
---

3641.0
2041.0
1941.0
1841.0
1641.0
1541.0
1441.0
1341.0
1241.0
1141.0
1041.0
941.0
841.0
741.0
641.0
541.0
443.0
347.0
255.0
205.5
127.5
58.5
35.0
19.0
9.5
4.5
2.0
0.5
---
---
---

---
---
---
---
---
---
---
---
---
---
---
---
---
---
0.5
1.0
3.0
7.0
15.0
29.0
51.0
117.5
157.5
241.5
331.5
426.5
524.0
623.0
923.0
1123.0
1223.0

---
---
---
---
---
---
---
---
---
---
---
0.0
---
+1.0
+2.0
+4.0
+5.0
+5.0
+5.0
+3.5
+1.5
-0.5
-2.0
-2.0
-1.5
-0.5
-1.0
+0.5
+1.0
+1.0
+1.0

+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+1.0
+2.5
+3.0
+4.0
+4.0
+4.0
+3.0
+1.0
-0.5
-1.5
---
-0.5
+0.5
---
---
---
---
---

----
----
----
----
----
----
----
----
----
----
----
11.96
----
11.06
10.39
9.90
9.34
8.64
8.23
7.88
7.58
7.34
7.18
7.08
7.03
7.24
6.71
7.74
10.68
12.54
13.45

44.75
24.53
23.36
22.19
19.87
18.72
17.58
16.44
15.30
14.17
13.04
11.91
10.78
9.64
10.10
9.29
8.96
8.40
8.09
7.81
7.55
7.35
7.24
----
7.26
7.65
----
----
----
----
----

*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
.98
.97
.94
.92
.88
.81
.72
.59
.45
.31
.19
.10
.06
.02
.02
.01
.01
.01

-.00
-.01
-.01
-.01
-.01
-.01
-.01
-.01
-.01
-.01
-.01
-.01
-.01
-.01
-.03
-.04
-.07
-.11
-.18
-.28
-.40
-.55
-.69
*-.81
-.89
-.93
*-.99
*-.99
*-1.00
*-1.00
*-1.00

.00
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.01
.02
.03
.04
.05
.07
.08
.09
.10
.09
.07
.05
.03
.01
.01
.01
.01
.01

0.1
0.2
0.2
0.2
0.2
0.3
0.3
0.3
0.4
0.5
0.5
0.6
0.7
0.9
2
3
4
6
9
12
14
15
13
10
7
5
2
1
0.8
0.6
0.5

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
0.3
0.4
0.5
0.7
0.9
1.1
1.3
1.3
1.1
0.8
0.6
0.4
0.1
0.1
0.1
0.1
0.1

---
---
---
---
---
---
---
---
---
---
---
1
---
0
1
0
0
0
0
0
0
0
0
---
0
0
---
---
---
---
---

MAR Fut=114.205 Days=27 atmVol=7.42% IntRate = 6.50%

MAR Volatility Skew
Last Trading Date: February 20, 2004

Strike v. Volatilitywww.pmpublishing.com

APR - TY Next (JUN) - 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)

104
105
106
107
108
109
110
111
112
113*
114
115
116
118
119

---
---
---
---
---
---
342.0
258.0
215.0
142.0
111.0
51.0
33.0
12.0
7.0

3.0
5.0
8.0
12.0
18.0
26.0
38.0
54.0
111.0
138.0
---
---
---
---
---

940.0
840.0
740.0
641.5
545.0
451.0
361.0
311.0
230.5
156.0
124.0
62.5
42.5
17.5
10.5

0.5
1.0
2.0
4.0
7.5
13.5
23.0
36.5
55.5
116.5
148.0
221.5
301.0
439.5
532.0

---
---
---
---
---
---
-19.0
-17.0
-15.5
-14.0
-13.0
-11.5
-9.5
-5.5
-3.5

+2.5
+4.0
+6.0
+8.0
+10.5
+12.5
+15.0
+17.5
+19.5
+21.5
---
---
---
---
---

----
----
----
----
----
----
4.60
5.93
6.39
6.63
6.73
6.81
6.85
6.90
6.98

10.15
10.08
10.00
9.82
9.69
9.52
9.46
9.40
9.39
9.45
----
----
----
----
----

*.99
*.97
*.94
*.92
*.88
*.84
.95
.81
.69
.57
.46
.35
.25
.11
.07

-.02
-.04
-.06
-.08
-.11
-.16
-.21
-.28
-.35
-.44
*-.53
*-.64
*-.74
*-.88
*-.93

.02
.03
.04
.05
.07
.08
.10
.11
.12
.13
.13
.12
.11
.06
.05

1
2
2
3
4
5
6
7
8
8
12
11
9
5
4

0.2
0.3
0.4
0.5
0.6
0.7
0.8
1.0
1.1
1.1
0.8
0.8
0.7
0.4
0.3

---
---
---
---
---
---
36
36
36
36
---
---
---
---
---

APR Fut=113.200 Days=52 atmVol=7.75% IntRate = 6.50%

APR Volatility Skew
Last Trading Date: March 26, 2004

Strike v. Volatilitywww.pmpublishing.com

JUN - TY Previous (APR) - 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)

98
100
101
102
103
104
105
106
107
108
109
110
111
112
113*
114
115
116
117
118
119
120
122
124
129

---
---
---
---
---
---
---
---
---
---
456.0
408.0
328.0
252.0
216.0
148.0
123.0
101.0
47.0
34.0
24.0
17.0
7.0
3.0
1.0

1.0
3.0
4.0
6.0
9.0
13.0
17.0
23.0
31.0
41.0
53.0
105.0
125.0
148.0
212.0
---
---
361.0
---
---
---
---
---
---
---

1540.0
1340.0
1240.0
1140.0
1040.0
940.0
842.0
745.5
651.5
560.0
507.5
422.5
341.5
301.0
229.0
161.5
134.5
112.0
57.5
43.0
31.5
22.5
11.0
5.0
0.5

---
0.5
1.0
1.5
2.5
4.0
7.0
11.0
17.0
25.0
36.0
50.0
104.5
127.0
153.5
221.0
257.0
333.5
414.5
462.5
550.5
641.0
829.0
1024.5
1524.0

---
---
---
---
---
---
---
---
---
---
-15.5
-14.5
-13.5
-13.0
-13.0
-13.5
-11.5
-11.0
-10.5
-9.0
-7.5
-5.5
-4.0
-2.0
+0.5

+1.0
+2.5
+3.0
+4.5
+6.5
+9.0
+10.0
+12.0
+14.0
+16.0
+17.0
+19.0
+20.5
+21.0
+22.5
---
---
+27.5
---
---
---
---
---
---
---

----
----
----
----
----
----
----
----
----
----
6.57
6.93
7.14
7.26
7.31
7.28
7.37
7.36
7.31
7.35
7.38
7.45
7.34
7.44
8.79

10.22
10.43
10.18
10.15
10.17
10.15
9.93
9.82
9.74
9.64
9.50
9.45
9.45
9.40
9.41
----
----
9.81
----
----
----
----
----
----
----

*1.00
*1.00
*1.00
*.98
*.96
*.94
*.91
*.89
*.85
*.81
.86
.78
.71
.63
.55
.47
.39
.32
.25
.20
.15
.11
.05
.02
.01

-.01
-.02
-.02
-.03
-.05
-.07
-.08
-.11
-.14
-.18
-.22
-.27
-.32
-.38
-.44
*-.51
*-.59
-.62
*-.73
*-.79
*-.84
*-.89
*-.96
*-1.00
*-1.00

.01
.02
.03
.03
.05
.06
.07
.08
.10
.11
.13
.14
.16
.16
.17
.17
.17
.16
.14
.12
.10
.08
.05
.03
.01

0.3
0.6
0.8
1
1
2
2
3
3
4
5
5
6
6
6
8
8
6
6
6
5
4
2
1
0.4

0.0
0.1
0.1
0.2
0.2
0.3
0.4
0.4
0.5
0.6
0.6
0.7
0.8
0.8
0.8
0.7
0.6
0.8
0.5
0.5
0.4
0.3
0.2
0.1
0.0

---
---
---
---
---
---
---
---
---
---
37
37
37
36
36
---
---
36
---
---
---
---
---
---
---

JUN Fut=113.200 Days=92 atmVol=8.08% IntRate = 6.50%

JUN Volatility Skew
Last Trading Date: May 21, 2004

Strike v. Volatilitywww.pmpublishing.com

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