Wheat (WT) 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 Wheat Option Analysis - Thu, January 15, 2004
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Month
FEB
MAR
MAY
JUL
SEP
DEC
Futures
Closing Price
386.02
386.02
390.06
386.06
390.04
397.04
Days Left
7
27
72
117
162
227
Implied ATM
Volatility
28.41%
30.17%
29.93%
29.17%
28.56%
26.54%
Last Trading Date
Fri, Jan. 23, 2004
Fri, Feb. 20, 2004
Fri, Apr. 23, 2004
Fri, Jun. 25, 2004
Fri, Aug. 27, 2004
Fri, Nov. 26, 2004

Historical v. Implied Volatility Graphs
Historical Volatility Tables
Implied 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
August 7, 2010 - January 15, 2010

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

JUL Futures
August 7, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

AUG Futures
August 26, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 2-Week Historical Volatility
August 26, 2010 - January 15, 2010

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

SEP Futures
August 26, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

OCT Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

NOV Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

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

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

DEC Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for WT

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

FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
26.78%
26.78%
25.24%
25.24%
18.95%
18.95%
18.72%
18.72%
26.73%
26.73%
24.16%
24.16%
18.78%
18.78%
n/a
n/a
30.29%
30.29%
26.38%
26.38%
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

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
FEB MAR APR MAY JUN JUL AUG SEP	26.78% 26.78% 25.24% 25.24% 18.95% 18.95% 18.72% 18.72%	26.73% 26.73% 24.16% 24.16% 18.78% 18.78% n/a n/a	30.29% 30.29% 26.38% 26.38% 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 WT

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

FEB
MAR
MAY
JUL
SEP
DEC
6-06
7-02
7-02
7-00
6-07
6-04
11-06
12-04
12-04
12-01
12-00
11-02
18-00
19-01
19-01
18-04
18-02
17-02
25-03
27-00
27-00
26-01
25-06
24-03
37-01
39-04
39-05
38-01
37-06
35-06
53-00
56-02
56-03
54-04
53-07
51-00
64-06
68-06
68-07
66-04
65-06
62-02
28.41%
30.17%
29.93%
29.17%
28.56%
26.54%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
FEB MAR MAY JUL SEP DEC	6-06 7-02 7-02 7-00 6-07 6-04	11-06 12-04 12-04 12-01 12-00 11-02	18-00 19-01 19-01 18-04 18-02 17-02	25-03 27-00 27-00 26-01 25-06 24-03	37-01 39-04 39-05 38-01 37-06 35-06	53-00 56-02 56-03 54-04 53-07 51-00	64-06 68-06 68-07 66-04 65-06 62-02	28.41% 30.17% 29.93% 29.17% 28.56% 26.54%

FEB - WT 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)

340
350
360
365
370
380
390*
400
410
420
430

---
---
---
---
1706
1005
504
204
100
4
1

1
1
3
7
104
403
902
1602
2406
---
---

4602
3603
2606
2201
1707
1005
504
203
7
2
1

0
1
4
100
106
403
902
1601
2405
3400
4306

---
---
---
---
-1
0
0
+1
+1
+2
0

+1
0
-1
-1
-2
0
0
+1
+1
---
---

----
----
----
----
27.35
28.28
28.51
28.99
29.49
32.11
30.87

36.40
29.15
26.78
27.79
27.22
28.25
28.53
29.08
29.72
----
----

*.99
*.98
*.95
*.90
.84
.65
.43
.24
.11
.06
.02

-.02
-.02
-.05
-.10
-.16
-.35
-.57
-.76
-.88
*-.94
*-.98

.00
.00
.01
.01
.01
.02
.02
.02
.01
.01
.00

0.2
0.2
0.6
1
1
2
2
2
1
0.6
0.2

0.4
0.4
1.0
1.8
2.4
3.9
4.2
3.3
2.0
1.3
0.4

---
---
---
---
0
0
0
0
0
---
---

FEB Fut=386.02 Days=7 atmVol=28.41% IntRate = 5.50%

FEB Volatility Skew
Last Trading Date: January 23, 2004

Strike v. Volatilitywww.pmpublishing.com

MAR - WT 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)

270
280
290
300
310
320
330
340
350
355
360
365
370
380
385*
390
400
410
420
430
440
450
460
470
480
500
520
540
560
600

11602
10602
9602
8602
7602
6602
5604
4701
3803
---
3002
2604
2306
1707
---
1301
904
607
500
304
204
106
102
7
5
3
2
1
1
1

1
1
1
1
1
2
3
100
202
300
402
---
704
1106
1402
1607
2302
3004
3804
4700
5600
---
---
---
---
11306
---
---
---
21306

11602
10602
9602
8602
7602
6603
5607
4705
3900
3407
3100
2703
2400
1801
1504
1301
902
603
401
205
105
100
5
3
1
0
0
---
---
---

---
---
0
0
1
3
6
104
207
306
407
602
707
1107
1402
1607
2300
3000
3706
4602
5502
6404
7401
8307
9306
11306
13306
15306
17306
21306

0
0
0
0
0
-1
-3
-4
-5
---
-6
-7
-2
-2
---
0
+2
+4
+7
+7
+7
+6
+5
+4
+4
+3
+2
+1
+1
+1

+1
+1
+1
+1
0
-1
-3
-4
-5
-6
-5
---
-3
-1
0
0
+2
+4
+6
+6
+6
---
---
---
---
0
---
---
---
0

47.32
42.47
37.91
33.38
29.09
24.83
26.94
27.39
27.96
----
27.91
27.82
29.47
29.76
----
30.11
30.66
31.48
32.44
32.97
33.77
34.38
35.14
35.74
36.44
38.64
41.09
41.77
45.68
52.95

46.14
41.90
37.79
33.78
29.86
28.74
26.39
27.09
27.86
27.63
28.29
----
29.30
29.96
30.19
30.14
30.79
31.43
32.17
32.76
33.64
----
----
----
----
----
----
----
----
----

1.00
1.00
1.00
1.00
1.00
1.00
.97
.93
.87
*.84
.79
.75
.69
.58
*.53
.48
.38
.29
.23
.17
.13
.09
.07
.05
.04
.02
.01
.01
.01
.01

-.01
-.01
-.01
-.01
-.01
-.02
-.03
-.07
-.13
-.16
-.21
*-.25
-.31
-.41
-.47
-.52
-.62
-.70
-.77
-.83
-.87
*-.91
*-.93
*-.95
*-.97
*-.98
*-.99
*-1.00
*-1.00
*-1.00

.00
.00
.00
.00
.00
.00
.01
.01
.02
.02
.03
.03
.03
.04
.04
.04
.04
.03
.03
.02
.02
.02
.01
.01
.01
.01
.00
.00
.00
.00

0.0
0.0
0.0
0.1
0.1
0.1
0.2
0.4
0.6
0.7
0.8
0.9
1.0
1
1
1
1.0
0.9
0.7
0.6
0.5
0.4
0.3
0.2
0.2
0.1
0.1
0.0
0.0
0.0

0.1
0.1
0.1
0.1
0.1
0.2
0.3
0.6
1.1
1.2
1.5
1.6
1.9
2.1
2.2
2.2
2.2
2.0
1.8
1.5
1.3
1.0
0.8
0.7
0.5
0.4
0.3
0.2
0.2
0.2

1
1
1
1
1
2
1
1
1
---
2
---
0
1
---
0
0
1
2
2
2
---
---
---
---
3
---
---
---
1

MAR Fut=386.02 Days=27 atmVol=30.17% IntRate = 5.50%

MAR Volatility Skew
Last Trading Date: February 20, 2004

Strike v. Volatilitywww.pmpublishing.com

MAY - WT 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)

300
320
330
340
350
360
370
380
390*
400
410
420
430
440
450
460
480
500
520
540

9100
---
---
5406
4702
4004
3402
2900
2404
2006
1702
1404
1200
1000
802
606
404
301
200
104

3
104
206
404
606
906
1306
1802
2306
2906
3604
4304
---
---
---
---
---
---
---
---

9101
7206
6401
5600
4804
4104
3502
2904
2404
2001
1603
1302
1005
803
604
501
300
106
100
4

100
205
400
507
801
1101
1406
1807
2306
2903
3504
4201
4903
5701
6502
7305
9104
11001
12904
14902

-1
---
---
-102
-102
-100
-100
-4
0
+5
+7
+102
+103
+105
+106
+105
+104
+103
+100
+100

-5
-101
-102
-103
-103
-103
-100
-5
0
+3
+100
+103
---
---
---
---
---
---
---
---

28.70
----
----
27.23
27.79
28.38
28.62
29.23
29.88
30.64
30.98
31.60
31.94
32.42
32.76
33.01
33.52
34.41
34.58
35.87

25.10
25.91
26.67
27.20
27.47
27.87
28.65
29.08
29.87
30.46
31.25
31.70
----
----
----
----
----
----
----
----

.97
*.94
*.90
.85
.79
.73
.66
.60
.53
.47
.41
.36
.31
.27
.23
.19
.14
.10
.07
.05

-.02
-.06
-.10
-.15
-.20
-.26
-.33
-.39
-.46
-.52
-.58
-.63
*-.68
*-.72
*-.76
*-.80
*-.86
*-.90
*-.94
*-.96

.01
.02
.03
.04
.05
.05
.06
.06
.06
.06
.06
.06
.06
.05
.05
.04
.04
.03
.02
.02

0.1
0.2
0.3
0.4
0.5
0.6
0.6
0.6
0.6
0.6
0.6
0.6
0.5
0.5
0.4
0.4
0.3
0.2
0.2
0.1

0.1
0.4
0.5
0.7
0.9
1.0
1.2
1.2
1.3
1.3
1.4
1.3
1.3
1.2
1.1
1.0
0.8
0.7
0.5
0.4

1
---
---
4
2
0
2
0
0
2
0
2
---
---
---
---
---
---
---
---

MAY Fut=390.06 Days=72 atmVol=29.93% IntRate = 5.50%

MAY Volatility Skew
Last Trading Date: April 23, 2004

Strike v. Volatilitywww.pmpublishing.com

JUL - WT Next (SEP) - 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)

300
310
320
330
340
350
360
370
380
390*
400
410
420
430
440
450
460
480
500
520

---
7804
7002
6202
5500
4802
4202
3700
3204
2802
2404
2102
1802
1506
1304
1104
906
702
502
306

104
204
400
600
806
1200
1600
2004
2506
3104
3706
---
---
---
---
---
---
---
---
---

8805
7907
7105
6307
5605
4906
4304
3707
3206
2801
2400
2003
1701
1403
1200
1000
802
505
306
203

300
402
507
800
1005
1305
1702
2103
2601
3102
3700
4302
4907
5700
6403
7202
8003
9704
11504
13402

---
-103
-103
-105
-105
-104
-102
-7
-2
+1
+4
+7
+101
+103
+104
+104
+104
+105
+104
+103

-104
-106
-107
-200
-107
-105
-102
-7
-3
+2
+6
---
---
---
---
---
---
---
---
---

----
25.73
26.51
26.63
27.05
27.31
27.72
28.27
28.96
29.33
29.69
30.07
30.28
30.61
30.83
30.99
31.10
31.76
32.11
32.34

24.72
25.07
25.57
26.01
26.69
27.16
27.77
28.23
28.84
29.39
29.92
----
----
----
----
----
----
----
----
----

*.95
.91
.87
.83
.78
.73
.67
.62
.56
.51
.46
.42
.37
.33
.30
.26
.23
.18
.14
.10

-.05
-.08
-.11
-.16
-.20
-.26
-.31
-.36
-.42
-.47
-.52
*-.57
*-.61
*-.65
*-.69
*-.73
*-.76
*-.81
*-.86
*-.90

.02
.03
.04
.05
.06
.07
.07
1.00
1.00
1.00
1.00
1.00
1.00
.07
.07
.07
.06
.05
.04
.04

0.2
0.2
0.3
0.4
0.4
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.4
0.4
0.4
0.3
0.3
0.2

0.2
0.3
0.4
0.5
0.7
0.8
0.8
0.9
1.0
1.0
1.0
1.0
1.0
1.0
0.9
0.9
0.8
0.7
0.6
0.5

---
6
4
4
4
4
4
2
0
0
0
---
---
---
---
---
---
---
---
---

JUL Fut=386.06 Days=117 atmVol=29.17% IntRate = 5.50%

JUL Volatility Skew
Last Trading Date: June 25, 2004

Strike v. Volatilitywww.pmpublishing.com

SEP - WT Next (DEC) - 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)

310
320
330
340
350
380
390*
400
420
440
460
480
500
520
540

---
---
---
---
---
3804
3404
3006
2400
1806
1404
1102
804
604
500

304
502
706
1004
1400
---
---
---
---
---
---
---
---
---
---

8500
7700
6904
6204
5507
3900
3403
3001
2207
1701
1205
902
605
406
303

600
800
1003
1301
1603
2806
3307
3903
5105
6504
8005
9607
11401
13201
15006

---
---
---
---
---
-4
+1
+5
+101
+105
+107
+200
+107
+106
+105

-204
-206
-205
-205
-203
---
---
---
---
---
---
---
---
---
---

----
----
----
----
----
28.10
28.69
29.11
29.54
30.06
30.42
30.83
30.95
31.21
31.52

24.10
24.56
25.32
25.66
26.20
----
----
----
----
----
----
----
----
----
----

*.90
*.86
*.82
*.77
*.72
.58
.53
.49
.41
.34
.28
.23
.18
.15
.12

-.09
-.13
-.17
-.21
-.26
*-.40
*-.44
*-.48
*-.57
*-.64
*-.70
*-.76
*-.81
*-.85
*-.89

.04
.05
.06
.07
1.00
1.01
1.02
1.02
1.01
1.01
1.00
.07
.06
.06
.05

0.2
0.3
0.3
0.4
0.4
0.4
0.4
0.4
0.4
0.4
0.4
0.3
0.3
0.2
0.2

0.3
0.4
0.5
0.5
0.6
0.8
0.8
0.8
0.8
0.8
0.8
0.7
0.6
0.5
0.5

---
---
---
---
---
---
---
---
---
---
---
---
---
---
---

SEP Fut=390.04 Days=162 atmVol=28.56% IntRate = 5.50%

SEP Volatility Skew
Last Trading Date: August 27, 2004

Strike v. Volatilitywww.pmpublishing.com

DEC - WT 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)

420*
480

2900
1504

---
---

2900
1303

5006
9305

0
+201

---
---

26.54
28.33

----
----

.45
.27

*-.52
*-.71

1.03
1.02

0.4
0.3

0.6
0.6

---
---

DEC Fut=397.04 Days=227 atmVol=26.54% IntRate = 5.50%

DEC Volatility Skew
Last Trading Date: November 26, 2004

Strike v. Volatilitywww.pmpublishing.com

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