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Daily 30 Year Bonds Option Analysis 
Thu, January 15, 2004
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Month MAR APR JUN SEP 
Futures Closing Price 112.27 111.13 111.13 110.01 
Days Left 27 52 92 162 
Implied ATM Volatility 0.63% 0.89% 0.73% 1.31% 
Last Trading Date Fri, Feb. 20, 2004 Fri, Mar. 26, 2004 Fri, May 21, 2004 Fri, Aug. 27, 2004 
Historical v. Implied Volatility Graphs Historical Volatility Tables Implied Standard Deviations 
MAR Futures
September 15, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
JUN Futures
November 12, 2010  January 15, 2010
Days to Options Expiration v. Futures Price
Historical Volatilities for US
1Week  2Week  1Month  6Week  2Month  3Month  4Month  6Month  

MAR JUN SEP 
9.08% 9.04% 9.01% 
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 US
1Day  3Day  1Week  2Week  1Month  2Month  3Month  ATM Vol.  

MAR APR JUN SEP 
01 02 02 03 
02 03 03 05 
04 05 04 08 
05 07 06 11 
08 11 09 16 
11 15 13 22 
13 19 15 27 
0.63% 0.89% 0.73% 1.31% 
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)  
















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)  
















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)  
















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)  
















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