1285 38 26 63 29 18.16Dec 29 1258 1286 39 «23 © «660 (28 «(17.72Jan2 1271 41 20 §8 23 19,17 1280 40 «20 «58 27 «17.32Jan3 1248 29 27 56 22 19.08 1275 42)«(«17—s« 88 2617.08Jan4 1256 31 25 55 21 19.27 1208 «41 «18 «58 «25 «(17.66Jan5 1282 32 22 §3 20 1879 1263 28 «250 «63 2417.19Jani10 1261 30 19 48 17 18.41 1241 28-2148 2316.25Jan11 1250 23 23 46 16 1840 1230 30 19 48 22 16.59Jani2 1256 25 19 43 18 17.86 1285 «32 «17° «47 «2116.70Jan15 1286 14 1245 25 21 46 20 16.40Jan 16 1291 13 1249-240 2145 19 16.44Jan 17 1282 12 1240 28 «18 «= 45 «1817.10Jan 18 1263 "1 1230 31 15) 44«17”=—«*17.87Jan 19 1274 10 1211 28) 17) 44 «1618.10Jan 22 1281 9 1220 :32)0«122s«s«A4s18 17.38Jan 23 1268 8 1217, 28 «120-38 (14 «16.63Jan 24 1259 7 1223 13Jan 25 1268 6 1237 12Jan 26 1266 5 1220 1Jan 29 1254 4 1217 10Jan 30 1249 3 1230 9Jan 31 1242 2 1229 8Feb1 1260 1 1243 7Feb2 1268 March 96 option expires 1269 61277 5May option and May future 1306 41308 3Jan1§ 1311 55 54 109 58 21.82 1310 2Jani6 1316 58 50 107 57 21.60 1344 1
van17 1307 54 49 103 56 20.98 1341 May 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, td = number oftrading days till expiry, iv = implied volatility.Mar 18
Mar 27
May 24
Jun 3
VOLATILITY PROFILES 253COCOA 1996
fp max min s td W fp max min s td WwWduly option and July future Juna 1341 31244 45 40-85 59 (17.70 | Jun5 = 1346 21258 «651 41-91 58 «19.02 | Juns8 =: 1372 11241 53 40 92 §7 19.69 | Jun7 1395 July 96 option expires1238 «61 «38S 88 «5B «18.951251 48 45 93 55 19.99 September option and September future1250 45 445 90 54 19.601284 «51 44 94 53 20.52 | May20 1991 68 52 119 53 23.411200 53° 43°« 95 52 2045 | May21 1978 68 49 115 52 23.181208 48 «4947 «95 51 2048 | May22 1989 70 51 119 51 24.141327 62 «-39« «99 50 21.02 | May23 1400 63 58 121 50 24.361329 60 38 96 49 20.58 | May™% 1403 58 58 116 49 23.621931 «5841.97 «48 «21.12 | May28 1989 70 50 118 47 24.911965 «51 «51 102 47 «21.80 | May29 1391 65 53 117 46 24.791362 53 48 101 46 21.78 May 30 1361 62 49 110 45 24.061341 45 «45 «90 44 «20.24 | May31 1396 59 52 110 44 23.641328 «5731s «8S 43: «19.63 | Jun3 1976 68 43 108 43 24.031333 «53° «37° «8B O42 «20.48 | Jun4 1962 58 «47 «105 4223.771359 50 40 89 41 2048 | Jun5 1367 60 46 105 41 23.991377 61 «36-984 40 «21.68 | Jun6 1393 «61 «50 «110 40 24.981367 53. «3S 8B «39 «20.19 | Jun7 1416 60 50 109 39 24.681354 48 «440 87 38 2092 | Juni0 1408 53 50 103 38 23.681351 47° «42)««89:«37 «21.86 | Juni1 1432 68 44 110 37 25.151354 48 «4087-96 «21.49 | Juni2 1458 «960 «53 «112 36 25.701384 80354 35 21.17 | Juni3 1450 54 54 108 35 25.181369 «55-3386 «34 «2146 | Juni4d 14399 59 48 106 34 25.271359 60 38 87 33 22.26 | Juni7 1417 57 44 100 33 24521389 «63°««43:=:«C«9S 3224.21 | Junid 14398 «56 4498-32 24.321388 «63 «43°-«95 31 2461 | Jun19 1410 50 42 91 31 23.261301 51 43 93 30 2449 | Jun20 1416 50 38 87 30 22.411417 57. «37-92-29 24.10 | Jun21 «1419 «50 3482 2921.571367 51-34 = 83-28 «23.03 | Jun24 1422 48 31 77 28 20,541387 $2 37——« 8B 27 «24.30 | un25 1418 «4949 «32 «79 27 21,521386 «52 436 «4986 26 24.48 | Jun2d3 13979 45 31 76 26 21.231382-61 «3483-25 24.11 | Jun27 1998 «6988 |S 9S 73 2520.821389 449 «4934 «682 24 23.96 | Jun28 1384 42 28 89 24 20.241387 483481 23 24.25 | Juli 1436 «48 «36-83. 23.24.071392 «44 «37° «BO 22 2462 | Jul2 1423 46 29 73 22 21.951389 44 3477-21 24.22 | JUS 1416 «40-25 63-20. 20.041421 52 32 82 20 25.78 | Jus 1422 44 22 63 19 20.441424 52 «26 «= 75 19 24.13 | JuI9 1408 35 28 62 18 20.881417 47, «287318 «24.27 | Jul10) «1988 «S37, 25s B1C17”ss21.25,1403. 37 «32 «69:17 «23.71 | Juli] 1983 «3920s 57:16 «20.521412 42 26 «66 16 2349 | Ju12 1383 40 20 58 15 21.511408 «38 «2? 4 15 23.45 | Jul1S§ = -1378 141370 14 Jul1é = 1339 131357 13 Jul17 1932 121362 12 Julia 1360 "1379 "1 Julia = 1360 101382 10 Jul 22 1342 91362 8 Jul23 1329 81370 7 Jul 241353 71340 6 Jul25 1361 61375 5 Jul26 1388 51355 4 Jul29 1338 4
 
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.254 REFERENCE
COCOA 1996fp max min s td iv max mins td iv
Jul30 1324 3 Sep23 1367 37 28 64 29 17.56Jul31 1333 2 Sep24 1364 39 25 63 28 17.34Augi 1343 1 Sep25 1387 39 30 66 27 18.92Aug2 1345 September 96 option expires Sep26 1376 45 21 63 26 17.95
Sep27 1382 441 25 64 25 18.61December option and December future Sep30 1375 45 19 60 24 17.96
Octi 1358 33 23 55 23 16.90Jui5 1418 75 66 140 79 2225 | w 2 1885 31 24 64 22 17.11Juli6é 1379 76 «57 131 78 21.55 | 0*3 1340 «33 «2254 21«17.56Jul17 1372, 75 «61 «135.-«77-s« 22.39 | Oct4 1349 29 27 56 20 1851Juli8 1400 73 67 139 76 2286 | Oct7 1365 19Jul19 1400 75 64 138 75 22.77 | Octa 1365 18Jul22. 1382 75 57 130 74 21.93 | Oct9 1383 7Jul23. 1369 «72 «84 124 73 2126 | Oct10 1400 16Jul24 1393 72 63 134 72 22,71 | Oct11 1395 15Jul25. 1401 69 «66 «6135 71 22.83 | Oct14 1977 14wul26 1398 73 61 133 70 2273 | Octi5 1394 13Jul29. 1378 «78 «52 127 69 22.26 | Octi6 1400 12Jul30 136468 «540121 68 «21.47 | Oct17 1410 "1Jul31 1373. 72)«451s121.«67 «21.83 | Oct18 1387 10Augi 1383 71 51 120 66 21.38 | Oct21 1381 9Aug2 1385 71 51 120 65 21.51 | Oct22 1382 8AugS 1381 71 §1 120 64 21.74 | Oct23 1381 7Aug6 1394 63 58 121 63 21.80 | Oct24 1360 8Aug7 1386 62 53 114 62 20.93 | Oct25 1358 5Aug8 1412 63 50 112 61 20.28 | Oct28 1345 4Aug9 1403 57 51 107 60 19.78 | Oct29 1954 3Augi2 1429 67 46 111 59 20.21 | Oct30 1362 2Augi3 1416 68 43 108 58 20.11 | Oct31 1351 1Aug 14 1430 68 43 #108 57 20.08 | Novi 1343 December 96 option expires.Augi5 1422 68 42 107 56 20.16Augié 1413 68 41 104 §5 19.92 March option and March futureAugi9 1407 64 40 102 54 19.63Aug20 1428 62 41 101 53 1941 | w 7 1411 66 58 123 86 18.85Aug21 1433 65 41 104 52 20.04 | Oct8 1411 63 59 122 85 18.71Aug22 1408 64 39 100 51 19.96 | Octo 1429 69 55 123 84 18.74Aug23 1389 58 33 88 50 17.97 | Oct10 1446 73 47 117 83 17.82Aug26 1380 55 30 82 49 17.01 | Oct11 1441 68 47 113 82 17.31Aug27 1359 56 31 84 48 17.68 | Oct14 1423 61 53 113 81 17.70Aug28 1369 56 30 83 47 1769 | Oct15 1440 73 48 118 80 18.40Aug29 1361 §6 31 84 46 1824 | Octi6 1446 71 45 113 79 17.63Aug30 1350 43 41 84 45 1851 | Octi7 1456 72 48 118 78 18.29Sep3 1334 49 37 85 43 19.41 | Octi8 1433 69 47 114 77 18.10Sep4 1360 55 33 86 42 19.44 Oct 21 1427 67 44 #109 76 17.47SepS 13683 44 39 83 41 19.06 | Oct22 1428 58 49 106 75 17.18Sep6 1371 55 32 84 40 1949 | Oct23 1427 57 48 104 74 16.98Sep9 1364 52 31 81 39 1896 | Oct24 1406 55 45 99 73 16.50Sep 10 1352 39 36 75 38 17.94 | Oct25 1404 56 44 99 72 16.60Sep 11 1341 39 34 73 37 17.79 | Oct28 1391 60 35 92 71 15.75Sep 12 1361 42 32 73 36 17.90 | Oct29 1400 54 42 95 70 1620Sep13 1366 51 26 74 35 1832 | Oct30 1408 51 44 94 69 16.14Sep 16 1374 50 26 73 34 1827 | Oct31 1397 53 42 94 68 16.32Sep 17 1366 39 33 71 33 1835 | Novi 1389 54 36 88 67 15.52Sep 18 1357 37 33 70 32 1815 | Nov4 1369 55 30 82 66 14,78Sep19 1352 34 33 67 31 17.78 | Nov5 1362 50 31 79 65 14.39Sep20 1365 40 28 67 30 1788 | Nové 1371 54 30 81 64 14.83
 
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 255
COCOA 1996fp max _min_s_ td max mins M_iv
Nov7 1374 54 30 81 63 Jan 31 1312 5Nw8 1377 5429 +80 62 Feb3 1321 4Nov 11 1381 84 29 80 61 Feb 4 1292 3Nov 12 1349 40 39 79 60 Feb 5 1270 2Nov 13 1365 §5 30 82 59 Feb6 1285 1Nov 14 1377 56 29 82 58 Feb7 1268 Match 97 option expiresNov 15 1366 55 30 82 57
Nov 18 1356 42 34 #75 56
Nov 19 1376 47 34 76 «55
Nov 20 1392 47 40 86 54
Nov 21 1395 46 39 84 53
Nov 22 1392 45 39 83 52
Nov 25 1387 47 37 «83 «(51
Nov 26 1414 47° 37) «83 «=50
Nov 27 1414 47 36 82 49
Dec2 1398 42 40 82 47
Dec3 1403 45 38 82 46
Dec4 1378 55 29 81 45
DecS 1395 43 40 83 44
Dec6 = 1389 48 33 80 43
Decg 1374 52 26 75 42
Dec 10 1382 52 27 76 41
Decll 1387 51 26 74 40
Dec12 1378 48 28 74 39
Dec 13 1365 44 27 69 38
Dec16 1360 47 23° «67 «37
Dec 17 1354 47 22 66 36
Dec 18 1372 45 22 64 35
Dec 19 1362 46 20 63 34
Dec 20 1378 46 21 64 33
Dec 23 1366 44 21 62 32
Dec 24 1364 45 20 62 31
Dec 27 1360 44 19 #60 29
Dec 30 1362 31°25 «55 28
Dec 31 1372 42 #17 56 27
Jan2 = 1391 26
Jan3 1380 25
dan 6 1374 24
dan 7 1368 23
Jan8 1355 22
Jan9 = 1350 21
Jan 10 1331 20
Jan 13 1334 19
Jan14 1336 18
van 18 1345 7
Jan 16 1336 16
Jan 17 1336 15
Jan 20 1327 14
Jan 21 1323 13
Jan 22 1288 12
Jan 23 1258 Ww
Jan 24 1306 10
dan 27 1322 9
Jan 28 1314 8
Jan 29 1306 7
Jan30 1318 6
 
LEGEND: fp = 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.256
 
 
 
 
REFERENCECOFFEEBasedon Nearest ImpliedCalendarmonth Year Option strike volatilityJANUARY 1993 May 8000 32.66FEBRUARY 1993 May 6500 40.77MARCH 1993 Jul 6500 39.34APRIL 1993 Jul 6000 36.06MAY. 1993 Jul 6500 45.37JUNE 1993 Sep 6250 41.81JULY 1993 Sep 6500 40.03AUGUST 1993 Dec 8000 38.47SEPTEMBER 1993 Dec 8000 39.71OCTOBER 1993 Mar 7500 34.97NOVEMBER 1993 Mar 8000 34.66DECEMBER 1993 Mar 7750 35.34U, 1994 May 7500 31.71FEBRUARY 1994 May 7500 27,08‘GH 1994 Jul 7750 25.63APRIL 1994 dul 8250 23.30MAY, 1994 Aug 9000 26.81JUNE 1994 Sep 12000 63.40JULY 1994 Sep 19000 92.80AUGUST 1994 Dec 21500 57.30SEPTEMBER 1994 Dec 21500 53.65‘TOBER 1994 Mar 21500 43,55NOVEMBER 1994 Mar 19100 43.09DECEMBER 1994 Mar 16100 38.82JANUARY 1995 Mar 17000 39.37FEBRUARY 1995 May 19000 36.79MARCH 1995 Jul 19000 37.54APRIL 1995 Jul 16500 37.11MAY. 1995 Jul 17500 34.07JUNE 1995 Sep 16000 56.91JULY 1995 Sep 13000 52.92AUGUST 1995 Dec 14000 43.52SEPTEMBER 1995 Dec 15000 37.31OCTOBER 1995 Dec 12000 48.24NOVEMBER 1995 Mar 12000 42.81OECEMBER 1995 Mar 10500 39.40JANUARY 1996 Mar 9000 40.17FEBRUARY 1996 12500 45.38MARCH 1996 11000 41.98APRIL 199