4 331 33 10.52Aug7 11143 12 Sep30 10918 173 155 326 32 10.57Aug8 11128 11 Oct1 10990 164 155 318 31 1040Aug9 11206 10 Oct2 11031 170 139 306 30 1014Aug 12 11206 9 Oct3 11031 172 141 310 29 10.45Aug 13 11090 8 Oct4 11168 164 133 294 28 996Aug 14 11103 7 Oct7 11115 153 138 290 27 10.03Aug 15 11068 6 Oct8 11109 148 141 288 26 1018Aug 16 11128 5 Oct9 11056 169 125 290 25 10.49Aug 19 11090 4 Octi0 11003 144 141 285 24 1057Aug 20 11087 3 Oct11 11059 155 112 263 23 9.91Aug 21 11062 2 Octi5 11060 158 108 261 22 10.07Aug 22 11056 1 Octié 11031 141 111 249 21 9.86Aug 23 10953 September 96 options expire Oct17 11112 128 116 243 20 9.78
Octi8 11128 134 106 237 19 9.79December option and December future Oct21 11106 122 116 238 18 10.08
Oct22 11062 138 102 237 17 1038Aug2 11131 270 191 453 73 9.53 | Oct23 11084 125 109 233 16 10.49AugS 11122 267 189 448 72 9.50 | Oct24 11059 130 97 232 15 1083Aug6 11106 281 177 447 71 9.56 | Oct25 11100 114 114 228 14 10.08
btca
11090 277 184 452
3eoxg8
11090 119 109 227 13 11.36
8288
2 wowsn
a
e
2
10678 242 164 39810737 217 180 39410696 198 195 39310640 222 181 39910675 197 173 36810721 194 172 36410665 200 170 367
10.25 | Nov12 11449 175 127 297 28 9.8210.27 | Nov13 11430 162 131 290 27 9.7710.39 | Nov14 11487 144 131 274 26 9.3510.72 | Nov15 11452 159 116 271 25 9.46
9.95 | Novj8 11443 152 108 266 24 9.12
9.91 Nov 19 11480 131 112 241 23 87710.16 | Nov20 11530 141 106 244 22 9.01
256\7Aug8 11075 267 191 461 9.60 Oct29 11259 138 95 227 12 11.64Aug9 11153 242 200 438 9.53 Oct30 (11259 134 92 222 11 11.88Aug 12 11153 242 198 436 11300 108 106 212 10 11.87Aug 13 11037 239 198 433 9.67 Nov1 11275 95 70 163 9 962Aug 14 11050 242 192 429 65 9.64 Nov4 11300 75 72 #147 8 918Aug 15 11015 223 205 426 64 9.68 Nw5 11378 79 67 145 7 9.63Aug 16 11075 222 203 423 63 9.63 Nov6é 11362 86 48 130 6 9.32Aug 19 11037 220 203 422 62 9.70 Nw7 11428 72 46 115 5 9.03Aug 20 11034 219 203 421 61 9.76 Nw8s 11406 58 52 109 4 980Aug 21 11009 217 203 419 80 9.82 Nov 12 11490 3Aug 22 11003 216 203 416 59 9.69 Nov 13 11471 2Aug 23 10900 216 202 417 58 10.04 Nov 14 11528 1Aug 26 10809 214 202 415 57 10.17 Nov 15 11493 December 96 option expiresAug 27 10840 230 186 412 56 10.16Aug 28 10825 219 191 408 55 10.15 January option and March futureAug 29 10759 222 184 403 54 10.19Aug 30 53Sep3 51Sep4 50Sep 5 49Sep 8 48Sep 9 47Sep 10 46
 
 
LEGEND: {p = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, td = number oftrading days till expiry, iv = implied volatility.VOLATILITY PROFILES
T-BONDS 1996
fp max mins td ivNov 21 11512 130 114 243 21 9.20Nov 22 11490 123 117 240 20 9.32Nov 25 11505 125 116 240 19 9.58Nov 26 11493 122 122 244 18 10.01Nov 27 11490 119 116 235 17 9.91Nov 29 11580 122 109 230 15 10.25Dec2 11587 117 105 221 14 10.19Dec3 11600 105 105 210 13 10.04Dec4 11534 119 84 200 12 9,99Dec5 11409 105 95 199 11 10.53Dec6 11384 97 81 177 10 9.81Dec9 11443 9Dec 10 11437 8Dec 11 11290 7Dec 12 11250 6Dec 13 11325 5Dec 16 11275 4Dec 17 11253 3Dec 18 11206 2Dec 19 11315 1Dec 20 11331 January 97 option expiresMarch 97 option and March 97 futureDec9 11443 222 178 396 52 9.60Dec10 11437 217 178 392 51 9.59Dec11 11290 220 175 391 50 9.79Dec 12 11250 225 173 393 49 9.99Dec 13 11325 208 183 389 48 9.91Dec 16 11275 200 175 373 47 9.65Dec 17 11253 212 166 374 46 9.80Dec18 11206 191 184 374 45 9.96Dec 19 11315 195 180 374 44 9.96Dec 20 11331 197 166 360 43 9.70Dec 23 11343 198 155 349 42 9.50Dec 24 11340 195 155 346 41 9.54Dec 26 11334 187 155 339 39 9.58Dec 27 11393 177 170 346 38 9.87Dec30 11387 178 166 343 37 9.90Dec31 11262 192 153 341 36 10.11Jan2 11137 35Jan3 11156 4Jan6 11128 33Jan7 14087 32vans 11071 3Jang 11140 Kt)Jan 10 14034 29Jan 13 11040 28Jan 14 11140 27Jan 15 11128 26Jan 16 14071 25Jan17 11093 24Jan 21 11150 23Jan22 11103 22Jan 23 11084 21Jan 24 11025 20
 
fp max min s_ td
10878 1911008 1811025 1711058 1611143 1511209 1411221 1311203 1211190 111246 1011246 911246 811240 711334 611393 511384 311362 211303 111293 March 97 option expires
189
iv
LEGEND: fp = futures price, max = closest strike high option price, min= closeststrike low option price, $ = price corrected at-the-money-straddle, td = number of
trading days till expiry, iv = implied volatility.190 REFERENCE
 
 
 
 
 
 
 
SWISS FRANCBasedon Nearest ImpliedCalendar month Year Option strike volatilityJANUARY 1993 Feb 6700 2.31FEBRUARY 1993 Mar 6550 14.42MARCH 1993 Apr 6450 15.48APRIL 1993 May 6750 15.29MAY. 1993 Jun 7000 BBJUNE 1993 Jul 7000 14.8JULY 1993 Aug 6600 3B.AUGUST 1993 Sep 6700 1.6SEPTEMBER 1993 Oct 6800 B.23OCTOBER 1993 Nov 7000 13.24NOVEMBER 1993 Dec 6650 L2.038DECEMBER 1993 van 6650 1.75JANUARY 1994 Feb 6700 12.38FEBRUARY 1994 Mar 6900 10.17MARCH 1994 ir 6950 22.77APRIL 1994 v 7000 10.48MAY. 1994 Jun 7100 10.03JUNE 1994 ul 7150 9.6JULY 1994 ug 7500 11.30AUGUST 1994 Sep 7500 2.72SEPTEMBER 1994 ‘Oct 7550 RoOCTOBER 1994 Nov 7800 10.8NOVEMBER 1994 Dec 10.48DECEMBER 1994 Jan 7550 10.25JANUARY 1995 Feb 7650 9.44FEBRUARY 1995 Mar 7800 9.73MARCH 1995 Ir 8100 11.01APRIL 1995 iv 8950 20.20MAY, 1995 Jun 8750 16.99JUNE 1995 Jul 8650 17.84JULY 1995 Aug 8750 14.32AUGUST 1995 Sep 8800 13.18SEPTEMBER 1995 Oct 8350 13.12OCTOBER 1995 Nov 8800 14.79NOVEMBER 1995 Dec 8800 14.56DECEMBER 1995 Jan 8550 12.66JANUARY 1996 Mar 8700 12.87FEBRUARY 1996 Apr 8350 11.24MARCH 1996 Apr 8400 10.79APRIL 1996 Jun 8450 10.09YY. 1996 Jun 8050 9.88JUNE 1996 Jul 8050 9.15JULY 1996 Sep 8350 8.73UST 1996 dg 8350 9.71SEPTEMBER 1996 8350 8.19ER 996 Dec 8050 8.23NOVEMBER 1996 Oec 7900 9.27DECEMBER 1996 Jan 7650 9.30JANUARY 1997 Feb 7500 11.81FEBRUARY 1997 Mar 7100 .H 1997 6850APRIL 1997 7000MAY. 1997 6850JUNE 1997 7050
&
&
8
“IBRERSEEE BE
dD
8SEBRSERBEAKBase Sy wastVOLATILITY PROFILES 191
0.88 Swiss franc Futures (1996)
i rm Weekly High/Lowttith "- ji
lt
 
Mer
 192
   
Dec 18Dec 19Dec 20Dec 21Dec 22Dec 26Dec 27Dec 28Dec 29Jan 2Jan3Jan 4Jan 5Jan 8Jan 9
REFERENCE
fp
max min
SWISS FRANC 1996
s td iv
                 
Jan 29Jan 30Jan 31Feb 1
Feb 2
48 12.8747° 12.9846 12.8845 12.2744 11.7943° 11.34
fp
9876543218307 March 1996 option expiresAnril option and June future8386 (171 «+161 #331 488327 172 #187 328 478342. 172 #154 324 468334 #170 143° 311 458332 172 «#139 308 448458 #179 137 312 43e438 «(173° «134 «W3428397 148 145 293 418399 142 #143 285 408375 155 131 284 398398 139 137 276 388400 373635343231wn292827
max min
   
11.4011.4811.4714.41111.1511.2611.1010.8910.73
LEGEND: ‘ = futures price, max = closest strike high option price, min = closest
strike low option price, $ =trading days till expiry, iv
 
 
implied volatility.
ice corrected at-the-money-straddle, t= number ofVOLATILITY PROFILES 193
SWISS FRANC 1996fp max min std iv fo max mins td ivMarl3 8494 94 88 182 16 10.68| May15 8000 65 65 130 17 7.88
 
Mar 14 8494 86 80 166 15 10.06] May16 7878 76 55 129 16 8.19Marl5 8505 81 76 157 14 9.84] May17 7953 64 61 125 15 8.10Mar 18 8472 81 59 138 13 9,03] May20 7939 14
Mar 19 8475 79 55 132 12 8.97] May21 7880 13
Mar 20 8463 73 60 132 11 9.39] May22 7900 12
Mar 21 8425 76 52 126 10 9.431 May 23 7916 11
Mar 22 8444 65 59 123 9 9.75] May 24 7905 10
Mar 25 8458 8 May 28 7871 8
Mar 26 8447 7 May 29 7948 7
Mar 27 8417 6 May 30 7946 6
Mar 28 8475 5 May 31 8012 5
Mar 29 8464 4 Jun 3 7962 4
Aprd 8436 3 Jun 4 7964 3
Ap2 8437 2 dun5 = 7964 2
Apr3 8425 1 wun6 7950 1
Apr 4 8441 April 1996 option expires Jun7 7884 June 1996 option expires
dune option and June future duly option and September future
Mar 25 8458 165 157 321 54 10.34) May20 38003 102 201 34 6.60Mar 26 6447 159 156 315 53 10.24} May21 7944 104 202 «33° «6.63Mar 27 8417 171 «154 324 52 10.66} May 22 7964 118 198 32 877Mar 28 6475 171 145 314 51 10.37] May 23 7980 105 1868 31847Mar 29 8464 159 145 303 50 10.12] May 24 7967 109 163 30 (8.38Apri 8436 155 141 295 49 9.99] May 28 7931 106 178 286 8.48
1820 278.76187) 269.15182 25 «(9,03180 24 «(9,15179 23° (9.29170 22 9.02163 21 8.69150 20 8.47142, 19 8.18137 18 «8.09
Apr2 8437 150 137 286 48 9.78} May29 8009 96Apr3 8425 153 129 280 47 9.69| May30 8003 95Apr4 8441 146 137 282 46 9.86] May31 8070 102Aprs 6424 149 125 272 44 9.73] Jun3 8041 95Apro 8317 149 132 280 43 10.25] Jun4 8023 103Apr10 6288 «#4147 135 281 42 10.46] Jun5 8024 8698Apri1 6246 «138 133 271 41 10.25] uns 8010 87Apri2 8200 130 130 260 40 10.03] Jun7 7942 «79Apri5 8147 132 125 256 39 10.08] n10 7952 72Apr16 68185 134 119 252 38 9.98] wuni1 7964 76
BSNARISRBSVAIR SSS
Apr17 8195 125 120 245 37 9.81] Juni2 7972 76 56 130 17 7.92Apr18 8258 124 116 239 36 9.66) Juni3 8035 73 58 130 16 807Apri9 6189 123. «113 235 35) 9.71] Jun 14 «8017, 77) 60 135 15 8,72Apr22 8182 124 «106 4228 34 9.58] Jun 17 8045 14Apr23,) 8157. 117 (110 226 «330 «9.66] Jun18 98088 13Apr24 6166 117 101 217 32 9.38] Jun19 8039 12Apr25 6125 123 98 219 31 9.67) Jun20 38013 WApr26 8142 «112 «104 215 30 9.66] Jun21 7942 10
5<Nn3S$ogixS2noo_£3N=NOAUMANAO
May8 8133 98 81 177 22 9,31] JuI3 8028 . .May9 8098 85 83 168 21 9,05] Jui5 7964 July 1996 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, /v = implied volatility.194 REFERENCE
 
SWISS FRANC 1996fp __max_min max_min
September option and September future
Sep3 8287 3vun17 8045 172 128 296 59 9.58} Sep4 8297 2wun18 8088 154 142 295 58 9.58] Sep5 8289 1wun 19 8039 140 129 268 57 8.83| Sep6 8208 September 1996 option expireswun 20 8013 138 125 262 56 8.74wun 21 7942 «(155 (113 264 «55 «8.96 October option and December futuredun 24 7974 144 118 260 54 8.66wun25 7980 140 120 258 53 869|Aug19 6369 116 88 201 34 8.25Jun 26 8009 136 127 262 52 9,08| Ag20 6378 117 95 210 33 8.73wun 27 8074 148 123° 269 51 9,92{ Aug21 8411 110 99 208 32 875wun 28 8030 139 119 256 50 9.03| Aug22 8363 117 80 193 31 831wit 6050-123 123: «246 «49 «8.73 | Aug 23 «8462 103 «95 «(197 30 8.52Jul2 8048 «123-121 «244 «48 «8.75 | Ag 26 98462 104 92 195 29 8.56Julg 8028-130 109 237 47 8.62 | Aug27 8464 103 687 189 28 8.42Juls 7864. «121 «106 «226 «45 «8.45 | Aug28 8472 104 62 1