41 50Mar4 3978 «85s 7139 49MarS5 3972, «B2s«SS 134 4BMar6 3970 78 60 136 47Mar 7 3990 74 #65 138 46Mar8 4008-71 7114245,Mar11 3993 69 «6613544,
  
 
11.1211.1410.7510.4711.2110.80
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, $ = price corrected at-themoney-straddle, td = number oftrading days till expiry, iv = implied volatility.GOLD 1996
fp max mins td iv
Aprd 3977, §9 36 93 29 8.64Apr2 3966 63 28 86 28 8.24Apr3 3968 462 29 87 27 843Apr 4 3976 «560 31 B84 26 B31Apr8 4007 46 «439 84 24 8.60Apro 3971 57 28 81 23° 8.56Apri0 3975 «54 29 80 22 8.60Apri1 3983 49 32 79 21 8.69Apri2 3971 53 24 73 20 825Apri5 3955 52 21 69 19 7.97Apié 3935 52 18 65 18 7.75Api7 3930 47 #18 #461 «17 °=«=7.51Apri8 3924 46 22 65 16 8.29Apr19 3927. 47 20 63 15 8.33
Apr 22 3936 14
Apr 23 3934 13
Apr 24 3927 12
Apr25 3953 Th
Apr26 3922 10
Apr29 3924 9
Apr30 3935 8
May1 3949 7
May2 3957 6
May3 3941 5
May6 3957 4
May7 3958 3
Mays 3948 2
May9 3945 1
May 10 3920 June 96 option expires
August option and August future
Apr22 3969 86 46 127 58 8.43Apr23. 3967 868 43 124 57 6.27Apr24 3960 83 40 118 56 7.94Apr25 3986 8981 38 4114 «55 «7.69Apr26 3955 78 35 107 54 7.39Apr29. 3957 80 34 108 53 7.49Apr30 3968 «= 78 )«—37-«110 527.68May 1 3982 69 42 108 51 7.61May2 3990 67 46 111 50 7.86May3 3974 75 38 109 49 7.81May6 3990 62 45 105 48 7.62Mey7 = 3901 63 46 107 47 7.85May8 3981 67 42 106 46 7.86May9 3978 70 38 104 45 7.82May 10 3953 72 34 101 44 7.72May 13 3960 75 30 99 43 7.60May 14 3962 74 30 98 42 7.63May 15 3968 65 30 91 41 7.13May 16 3968 64 29 89 40 7.05May 17 3963 66 27 68 39 7.08May 20 3946 63 24 81 38 6.69May 21 3947 63 23 80 37 6.67May 22 3953 36
May 23 3951 35
 
VOLATILITY PROFILESfp max mins tdMay 24 3942 34May 28 3949 32May 29 3945 31May 30 3938 30May 31 3942 29dun3 3936 28wun4 = 3908 27Jun 5 3889 26dun 6 3884 25Jun 7 3876 24Jun 10 3885 23Jun 11 3889 22Jun12 3868 21Jun13 3865 20dun 143871 19Jun17 3873 18Jun18 = 3877 7dun 19-3865 16dun 20-3883 15Jun 21-3888 14Jun 24 3867 13Jun 25-3856 12Jun 26-3847 11Jun 27-3838 10dun 28 3816 9dul 3827 8Jul 2 3833 7Jul 5 3825 5Jul 8 3821 4Jul 9 3835 3Jul 10 3834 2Jul 11 3846 1Jul 12 3844 August 96 option expiresOctober option and October futureMay 22 3975 75 56 129 80May 23 3973 76 56 130 79May 24 3064 81 «53 131 78May 28 3971 76 55 129 76May 29 3967 78 50 125 75May30 3960 80 50 127 74May31 3964 77 52 127 73wun3  - 3988_« 80 47-123 72wn4 3030 85 «636 «114 71wun5 3011. «62-45 «105 70Jun 6 3906 58 48 105 69Jun? 3898 «54 «652 106 «68dun10 3907-60) 49«108_- «67,dun11 3891 §5) — §2.-«107'—s« 66dun12. 3880-65) «552, «1107's:vun13 3887 56 «= 50-105 64wun14 3803-53) 53.106 63.wun17 3895 31104 62.unig 3899 55 49 103 61wuni9 3887 55 48 «102-60
205
iv
7.277.377.497.457.287.457.477.356.916.446.486.596.766.756.816.786.886.776.806.80
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, $ = price corrected at-the-money-straddle, td = number oftrading days till expiry, iv = implied volatility.206 REFERENCE
GOLD 1996td_v
Jun 20 3865 54 46 99 59 6.66Jun21 9880 51 47 98 58 6.59Jun 24 3889 51 46 97 57 6.58
      
Sep11 3838 1Sep 12 3830 October 96 option expires
Jun 2 3878 57 41 96 56 6.65] December option and December futureJun 26 3869 61 35 93 55 6.49
Jun 27 3858 68 31 94 54 6.65 Jul 15 3907 66 120 84 6.70Jun 28 3838 71 29 94 53 6.74 Jul 16 3892 64 121 83 8.85Jul 3849 75 28 96 52 6.92 Jul 17 3892 62 117 82 6.67Jul 2 3855 69 28 91 51 6.83 Jul 18 3896 58 116 81 6.62Jul 5 3847 73 24 89 49 6.82 Jul 19 3903 59 114 80 6.51Jul 6 3843, 71 24 88 48 «6.58 Jul 22 3905 60 112, 79 6.48Jul 9 3857 64 27 86 47 «6.51 Jul 23 3905 59 113° 78 «46.53Jul 10 3856 65 26 86 46 «6.54 Jul 24 3913 64 112. 77 + «6.50Jul 11 3868 57 31 B5 45 6.56 Jul 25 3907 60 109 76 6.41Jul 12 3866 58 28 82 44 «6.42 Jul 26 3907 61 111.75 ~=«6.57Jul 15 3879 43 Jul 29 3900 58 110 74 6.55
SSSSSEBRRASKEREASSLBRSESS
Jul 16 3864 42 Jul30 388454 106 73 6.36Juli7 = 3864 4 Jub 3t 3925 68 103. 72 «6.16Juli8 3668 40 Aug! 3922 62 102. 71 «6.17Jul19 3875 39 Aug2 3934 68 102. 70 6.20Jul 22 3877 38 Augs 395178 107 69 «6.55Jul23. 3877 37 Aug6 394581 106 68 6.52Jul24 3865 36 Aug7  3842”—s«81 106 67 6.58Jul25 3879 35 Aug8 394581 103 66 6.46Jul26 3879 34 Aug9 3933's 81 103 65 «6.53Jul29 3872 33 Augi2 393482 104 64 6,62Jul30 3866 32 Aug13 393281 103 83 «6.83Jul31 3897 31 Aug14 3917 80 103. 62 «6.86Aug1 3894 30 Aug15 3916 80 103. 61 «6.71Aig2 3906 29 Aug16 «391378 100 60 6.58Augs 3923 28 Aug19 3923 78 27 «97 «59 6.44Aug6 3917 27 Aug20 3928 «75 «426 «693 (58 (6.24Aug7 3914 26 Aug21 3917 75 28 93 57 6.32Aug8 3917 25 Aug22 3024 75 «25 92 56 6.27Aug 3805 24 Aug23 3930 «730 «24 89S C11Aug 12 3908 23 Aug26 3942 730 «240 «8954.15Aug13 3904 22 Aug27 3937 «72023 B87 53 6.06Aug 14 3889 21 Aug28 43928 «6©720«622 (85 G2 «6.03Aug15 3888 20 Aug29 3922 73° «230 BB C51 «6.26Aua 16 3865 19 Aug30 3911 45 33° #77 «50 5.56Aug 19 3895 18 Sep3 3903 41 3677) 48 5.66Aug 20 3900 17 Sep4 3897 39 36 75 47 5.80Aug 21 3869 16 Sep5 3895 37 33 70 46 5.27Aug 22 3896 15 Sep6 3888 41 29 69 45 5.28Aug 23 3902 14 Sep9 3872 51 23 70 44 5.48Aug 26 3914 13 Sep10 3868 54 22 72 43 5.64Aug 27 3909 12 Sep11 3866 58 22 73 42 5.84Aug 28 3900 1 Sepi2 3858 65 16 71. 41 5.75Aug 29 3894 10 Sepi3 3857 65 «416 «671 «40 «(5.63Aug 30 3863 9 Sep16 3863 39Sep 3 3875 7 see 17 ~~ 3861 38
4 3869 6 18 ©3863 37Sep5 3867 5 Sep 19 3856 36Sep6 3860 4 Sep 20 3839 35Sep9 3844 3Sep 10 3840 2 Nova 3805 December 96 option expires
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, fd = number oftrading days till expiry, iv = implied volatility.VOLATILITY PROFILES 207
GOLD 1996
fp max mins M_ iv fp max mn os M iv
  
     
  
i 52 79
February option and February future Nov 22 3804 S2 81 103° 78Sep16 3883 68 45 102 82 579 | Nov25 3786 62 46 106 77Sep 17 3881 58 44 101 81 577 | Nov26 3786 61 49 109 76Sep 18 3883 55 44 98 80 564] Nov27 3771 74 44 115 75Sep 19 3876 61 43 102 79 594] Dec2 3730 69 40 106 73Sep 20 3859 71 37 104 78 6.10 | Dec3 3725 72 40 108 72Sep 23 3864 69 38 104 77 611] Dec4 3746 «6860 4112171Sep 24 3877 61 41 100 76 5.92 | Dec5 3751 90 40 124 70Sep 25 3873 63 38 98 75 5.86 | Dec6 3729 77) «49 :«123”—=—«6Sep26 3856 so 3: 495 74 5.73) Deco 3718 «700 «653 «(1216Sep27 3848 76 27 96 73 581] Dec10 3726 73 47 #117 67Sep 30 3825 61 36 94 72 5.81 | Deci1 3727 74 47 118 66Oct1 3830 64 33 93 71 5.79] Deci12 3729 71 42 110 65Oct2 3843 75 27 95 70 589] Deci13 3725 67 42 106 64Oct3 3647 75 26 93 69 5.84 | Deci6 3720 63 42 103 63Oct4 3846 74 26 93 68 5.84) Decl? 3726 68 39 102 62Oct7 3846 74 25 91 67 580 | Dec18 3734 71 36 103 61Octs 3854 75 24 91 66 5.79 | Deci9 3732 68 36 100 60Oct9 3855 73 24 89 65 5.73 | Dec20 3726 63 38 98 59Oct10 3865 63 31 90 64 583] Dec23 3727 64 37 98 58Oct11 3854 77 25 94 63 6.11] Oec24 3727 64 37 9B 57Oct14 3858 73 24 89 62 586 | Dec26 3732 66 35 97 55Oct1S5 3853 71 22 85 61 5863 | Dec27 3732 65 34 95 54Oct16 3850 72 21 84 60 583] Dec30 3733 64 32 92 53Oct17 3846 71 21 83 59 5.64] Dec31 3713 57 40 95 52Oct18 3841 68 21 81 58 554] Jan2 3687 51Oct21 3859 69 20 80 57 §51]| Jan3 3641 50Oct22 3881 49 32 79 56 5.46 | Jan6 3608 49Oct23 3879 51 32 81 55 563] Jan7 3618 48Oct24 3869 55 26 77 54 544 | Jan8 3589 47Oct25 3866 58 25 79 53 5.59 | Jang 3609 46Oct28 3866 55 25 76 52 546 | Jan10 3623 45Oct29 3836 55 20 70 51 5.09] Jan13 3618 4Oct30 3833 54 21 70 50 519] Jan14 3568 43Oct31 3811 40 29 68 49 5.09] Jan15 3553 42Nov1 3812 39 30 68 48 5.16] Jan16 3671 aNov4 3816 40 26 65 47 494] Jan17 3585 40NovS 3816 41 26 65 46 5.06 | Jan20 3567 39Nov6é 3807 36 31 67 48 5.21 | Jan21 93667 38Nov7 3816 41 27 67 44 5.26 | Jan22 3538 37NovB 3825 46 23 66 43 5.28 | Jan23 3546 36Nov 11 3848 42 Jan 24 93855 35Jan 27 3594 34
3602 February 97 option expires Jan 28 3561 33
Jan29 3539 32
Jan 30 3483 31
Jan 31-3470 30
87 6.07 | Feb3 3495 29
86 5.99 | Feb4 3477 28
85 6.12 | Feb5 3477 27
84 6.08 | Feb6 3464 26
83 6.03 | Feb7 3451 25
3530 April 97 option expires
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-themoney-straddle, td = number oftrading days till expiry, iv = implied volatility.208 REFERENCE
 
 
SILVERBased on Nearest iCalendar month Year Option strike y
JANUARY 1993 May 375FEBRUARY 1993 May 375MARCH 1993 Jul 350APRIL 1993 dul 400MAY. 1993 Sep 425JUNE 1993 Sep 450JULY 1993 Oec 500AUGUST 1993 Dec 550SEPTEMBER 1993 Oec 475OCTOBER 1993 Mar 400NOVEMBER 1993 Mar 425DECEMBER 1993 Mar 475JANUARY 1994 May 525FEBRUARY 1994 May 5251994 Jul 5SAPRIL 1994 Jul 550MAY. 1994 Jul 550
JUNE 1994 SepJULY 1994 Dec 5501994 Oec 525SEPTEMBER 1994 Cec 550OCTOBER 1994 Mar 575NOVEMBER 1994 iODECEMBER 1994 Mar 500JANUARY 1995 May 475FEBRUARY 1995 4751995 Jul 450APRIL 1995 Jul 525MAY. 1995 Sep 600JUNE 1995 Sep B50
JULY 1995 OecAUGUST 1995 Dec 525SEPTEMBER 1995 Dec 525OCTOBER 1995 Mar 525NOVEMBER 1995 Mar $50DECEMBER 1995 Mar 525JANUARY 1996 May 550FEBRUARY 1996 May 575MARCH 1996 May 550APRIL 1996 Jul 5501996 Sep 550JUNE 1996 Sep 550JULY 1996 Sep 500AUGUST 996 Dec 525SEPTEMBER 1996 Dec 525R 996 Mar 500NOVEMBER 1996 Mar 475DECEMBER 1996 Mar 475JANUARY 1997 May 475FEBRUARY 1997 May 500H 1997 Jul 550APRIL 1997 Jul 500\Y 1997 Sep 475JUNE 1997 Sep 475JULY 997 Oec 475AUGUST 1997 Dec 450SEPTEMBER 1997 Oec 475OCTOBER 1997 Mar $25NOVEMBER 1997 Mar 500DECEMBER 1997 Mar 525
  210
  
BRRRBReaWaansa Ce rFe
agagaeeeeeeeescteeseeueere
LEGEND: fp = futures price,strike low option price, s =trading days till expiry, iv=
SILVER 1996
fp max min s ta iv
fp max min s
5587 158 70 2175650 168 73 228
55518 May 96 option expi
   
18.6020.2620.86
max = Closest strike high option price, min = closestrice corrected at-themoney-straddle, td = number ofimplied volatility.VOLATILITY PROFILES 211
SILVER 1996
fp max mins td iv fp max mins td ivr2 6566 227 165 386 53 19.06 option and September future
ee 8871 230 160 383 52 19.08 | September
Aprg 5484-201 185 «385 51 19.64] Apr22 5430 298 220 511 78 21.30ApS 5614. 255 142 «384 49 1956] Apx23 5420 208 213 503 77 21.15Apr9 5516 202 185 386 48 20.18 | Apr24 5397 310 200 499 76 21.20Apri0 5641 212 170 378 47 19.91} Apr25 5470 265 230 492 75 20.77Apit 5611 254 145 387 46 2034| Apr26 5367 292 185 468 74 20.19Api2 5867 2