84 27 8.36Jui8 = 7957-112, 105-216 44 «8.20] Aug29 8457 93° «BGS 178«—-26 «8.27Julg 7957 «113-106 «218 «43: «8.37 | Aug30 8407 87 «BOs 166 «257.92Jul10 7962-111, «99° 209-42, «B10 | Sep3 8359 87s 78 «164 «238.19Juli1 8000 105 105 210 41 820] Sep4 6369 88 69 155 22 7.91Jul12 7981 113 94 «205 «40 «8.14 | Sep5 8362, B3-s71—«153- 217.98Juli5 8039 108 98 205 39 8.17] Sep6 8278 89 68 155 20 8.38Jul16 8277 150 127 275 38 10.78] Sep9 8263 19Jui17 8297 139 136 «275 37 10.89] Sep10 8163 18Juli8 6242 131 123° 253 «36 10.25| Sep11 8175 17Jul19 8267 126 «109 234 «35 «9.55 | Sep12 8148 16Jul22 8316 126 110 235 34 9.66] Sep13 8114 15Jul23 8284. «122: 106 «227, «339.52 | Sep16 8130 14Jul24 8269-120 101 219 «32 «9.38 | Sep17 8110 13Jul25 8325 «127: «101 «22631 «9.74 | Sep 18 = 8125 12Jul26 8300-105 «104 «209 «430 9.19 | Sep19 8117 WJul29 6322 111 «89 «198 «29 «8.84| Sep20 8141 10Jul30 8352 104 102 208 28 9.32] Sep23 8164 9Jul31 6388-115 103 217 27 «9.96 } Sep24 8227 8Agi 8353 105 102 207 26 9.71| Sep25 8128 7Aug2 6357 101 94 194 25 9.31] Sep26 8050 6Aug5 8350 93 92 185 24 9.04] Sep27 8025 5Aug6 8322 97 75 170 23 852] Sep30 8039 4Aug7 8297 84 981 165 22 847} Oct1' 8039 3AugS 8292 85 77 161 21 849] Oct2 8013 2AQ 6331 91 72 161 20 8.66| Oct3 8025 1Aug 12 6335 «©8368 «150 «19 8.24| Oct4 8009 October 1996 option expiresAuj13 6373 86 463 147 18 8.27Aug14 8300 «70 «670 «6140 «#3417 «8.18 | December option and December futureAu 15 8309 73 64 136 16 8.20Aug 16 8297 67 64 131 15 8.14| Sep9 8263 163 126 286 64 864Aug 19 8303 14 Sep10 8163 162 125 284 63 875Aug 20 8313 13 Sep 11 8175 156 131 285 62 885Aug21 8346 12 Sep 12 9148 162 115 272 61 8.56Aug 22 8298 " Sep 13 8114 148 133 280 60 8.90Aug 23 8395 10 Sep 16 8130 148 128 274 59 8.78Aug 26 8392 9 $ep17 8110 142 132 273 58 8.85Aug 27 8395 8 Sep 18 8125 153 128 279 57 9.09Aug 28 8402 7 Sep 19 8117 147 130 276 56 907Aug 29 8387 6 Sep 20 8141 141 132 272 55 9.02Aug 30 8337 8 Sep23 8164 143 128 270 $4 8.99
 
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.
 
 f
Sep 24 8227Sep 25 8128Sep 26 8050Sep 27 8025
30 8039oa 1 8039Oct2 8013Oct3 80250U4 8009Oct7 8027Oct8 8057Oct 8032Oct 10 8057Oct11 8030Oct14 8038Oct15 7932Oct16 7939Oct17 7923Oct 18 7917Oct 21 7961Oct22 8025Oct23 8024Oct24 7998Oct 25 7970Oct28 7973Oct 29 8003Oct 30 8006Oct 31 7914Nwl 7908Nov4 7927Nov5 7869Nw6 7859Nov7 7877Nw8 7930Nov 11 7989Nov 12 7909Nov 13 7909Nov 14 7863Nov 15 7839Nov 18 7909Nov 19 7888Nov 20 7914Nov 21 7914Nov 22 7889Nov 25 7778Nov 26 7762Nov 27 7750Nw 29 7683Dec2 7560Dec3 7882Dec4 7880DecS 7819
max
147139123135,124120W7125116120Wt113105107103104102109108102109109
103
1
7606 December 1996 option expires
 
VOLATILITY PROFILES 195SWISS FRANC 1996s M_W fp max mins M_ Ww265 53 8.84 January option and March future254 52 8.67246 451 8.56 |Nwv25 7842 90 83 172 27 8.46243 «50 8.56 |Nw26 7825 99 74 171 26 655236 49 8.39] Nw27 7814 88 73 160 25 8.17229° 48 823 |Nov29 7747 82 78 160 24 841220 47 8.01] Dec2 7622 85 @5 170 23 9.30224 46 823|Dec3 7645 88 93 181 22 10.12222 45 827|Dec4 7642 96 88 183 21 10.47215 44 807|Dec5 7681 106 687 191 20 11.14214 43 812] Dec6 7887 99 61 178 19 10.68206 42 7.93] Dec9 7600 87 87 174 18 10.79202 41 7.85|0ec10 7609 86 77 162 17 10,34192 40 7.57| Oec11 7899 85 84 169 16 10.97193 39 7.69|Dec12 7677 91 66 155 15 10.40188 «638 «67,71| Dec13 7622 88 67 153 14 10.73192 37 7.95 | Deci6 7625 13191 36 6.02 | Dec17 7610 12198 35 843] Dec18 7578 "1192 34 6.28] Dec19 7538 19191 33 8.27] Dec20 7550 9192 32 8.45 | Dec23 7534 8192 31 862] Dec24 7484 7184 30 8.44 | Dec26 7492 5181 29 8.43 | Dec27 7464 4196 28 9.24| Dec30 7464 3196 27 9.40 | Dec31 7520 2“477° 26 «8.77 | Jan2 = 7488 1183 25 9.27| Jan3 7416 January 1997 option expires178 24 9.14175 23° 9.29 February option and March future174 22 9.45177. 21 9.80] Dee16 7625 164 90 246 38 10.45170 20 9.60| Deci7 7610 171 62 242 37 10.46169 19 9.71 | Dec18 7578 136 107 240 36 10.57166 18 9.91| Dec19 7538 128 116 243 35 10.90184 17 9.46| Dec20 7550 122 121 243 34 11.04144 16 9.15 | Dec23 7534 125 109 233 33 10.75131 15 8,64] Dec24 7484 121 105 225 32 10.61120 14 8.13] Dec26 7492 114 107 220 30 10,74117 13 8.22] Dec27 7464 129 94 220 29 10.93116 12 8.44] Dec30 7464 125 90 212 28 10.72110 11 8.35] Dec31 7520 123 88 208 27 10.63102 10 8.189 Feb7 7021 February 1997 option expires875432
LEGEND: = 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.196
 
 
 
REFERENCEJAPANESE YENBased on Nearest Implied
Calendar month _ Year Option strike volatilityJANUARY 1993 Feb 7950 7.99FEBRUARY 1993 8000 7.54MARCH 1993 ir 8400 10.71APRIL 1993 8750 11.35MAY. 1993 Jun 9000 40.32JUNE 1993 ul 9350 11.24JULY 4993 ug 9200 14.62AUGUST 1993 Sep 9600 13.83SEPTEMBER 1993 Oct 9600 14.75OCTOBER 1993 Nov 9450 11.89NOVEMBER 1993 Dec 9250 8.90DECEMBER 1993 Jan 9200 10.27JANUARY 1994 Feb 8900 10.45FEBRUARY 1994 Mar 9300 11,93MARCH 1994 oer 9600 13.80APRIL 1994 9750 12:19MAY. 1994 Jun 9850 12.19JUNE 1904 it! 9650 9.22JULY 1994 ug 10200 13.02AUGUST 1994 Sep 10100 12.54SEPTEMBER 1994 Oct 10100 10.78OCTOBER 1994 Nov 10200 10.12NOVEMBER 1994 Dec 10400 9.19DECEMBER 1994 Jan 10200 8.02JANUARY 1995 Feb 9950 9.15FEBRUARY 1995 Mar 10400 8.38MARCH 1995 ier 10450 8.68APRIL 1995 11750 16.33MAY. 1995 dun 12050 15,65JUNG 1995 Jul 11950 13.66WU 1995 Aug 11900 11.27AUGUST 1995 Sep 11400 12.97SEPTEMBER = 1995 Oct 10400 14.82OCTOBER 1995 Nov 10050 16.41NOVEMBER 1995 Dec 9750 14.63OECEMBER 1995 Jan 10000 12.36JANUARY 1996 Mar 9700 12.92FEBRUARY 1996 Apr 9500 10.94MARCH 1996 Apr 9600 10.27APRIL 1996 Jun 9400 10.25MAY. 1996 Jun 9550 9.81JUNE 1996 dul 9350 8.62‘ee i BB eBSEPTEMBER 1996 oer 9300 6.47OCTOBER 1996 Dec 9100 7.14NOVEMBER 1998 Dec 8850 8.37DECEMBER 1996 Jan 8850 6.83JANUARY 1997 Feb 8700 9.25FEBRUARY 1997 Mar 8250 11.86MARCH 1997 845 11.93APRIL 1997 8: 10.79MAY 1997 Jun 7950 8.82JUNE 1997 dul 8700 9.97AUGUST 1987 ean 8500 iea3
1 ap 1,SEPTEMBER 1997 Oct &250 13.11
1997 Nov 8350 12.31NOVEMBER 1997 Dec 8300 W24DECEMBER 1997 Jan 7900 14.01196 REFERENCE
 
JAPANESE YENBasedon Nearest Implied
Calendar month Year Option strike volatilityJANUARY 1993 Feb 7950 7.98FEBRUARY 1993 Mar 8000 7.54MARCH 1993 Apr 8400 10.71APRIL 1993 May 8750 11.35MAY. 1993 dun 9000 10.32JUNE 1993 dul $350 11.24JULY 1993 Aug 9200 14.62AUGUST 1993 Sep 9800 13.83SEPTEMBER 1993 Oct 9800 14.75OCTOBER 1993 Nov 9450 11.89NOVEMBER 1993 Dec 2250 8.90OECEMBER 1993 Jan $200JANUARY 1994 Feb 8900 10.45FEBRUARY 1994 Mar 9300 11.93MARCH 1994 ior 13.80APRIL 1994 y 9750 12.19
1994 Jun 12.19
ceSS2!m=@oSo
ic
ix)
 
 
 
NOVEMBER 1994 10400 9.19DECEMBER 1994 10200 8.02JANUARY 1995 Feb 9950 9.15FEBRUARY 1995 Mar 10100 8.38MARCH 1995 ar 10450 8.68APRIL 1995 11750 16.33Y 1995 Jun 12050 15.65JUNE 1995 Jul 11950 13,JULY 1995 Aug 11900 11.27AUGUST 1995 Sep 11400 12.97SEPTEMBER 1995 Oct 10400 14.82OCTOBER 1995 Nov 10050 16.41NOVEMBER 1995 Dec 9750 14.83DECEMBER 1995 JanJANUARY 1996 Mar 9700 12.92FEBRUARY 1996 Apr 9500 10.94MARCH 1996 Apr 9600 10.27APRIL 1996 Jun 9400 10.25MAY. 1996 Jun 9550 981JUNE 1998 Jul 9350 8.62JULY 1996 Sep 92W 7.93AUGUST 1996 Sep 9400 9.03SEPTEMBER 1996 Oct 9300 6.47OCTOBER 1996 Dec 9100 7.14NOVEMBER 1996 Dec 8850 8.37DECEMBER 1996 Jan 8850 6.83JANUARY 1997 Feb 8700 9.25FEBRUARY 1997 Mar 8250 11.86MARCH 1997 8450 11.93APRIL 1997 8300 10.79MA 1997 Jun 7950 8.82JUNE 1997 Jul 8700 9.97JULY 1997 Aug 8800 10.53AUGUST 1997 Sep 8500 11.43SEPTEMBER = 1997 Oct 8250 13.11OCTOBER 1997 Nov 8350 12.31NOVEMBER 1997 Dec 8300 11.74DECEMBER 1997 dan 7900 14.01196
REFERENCE
 
 
 
JAPANESE YEN
Based on Nearest Implied
Calendarmonth__ Year Option strike volatilityJANUARY 1993 Feb 7950 7.99FEBRUARY 1993 Mar 8000 7.54MARCH 1993 Aor 8400 10.71APRIL 1993 May 8750 11.35MAY. 1993 Jun 9000 10,32JUNE 1993 Jul 9350 11,24JULY 1993 Aug 9200 14.62AUGUST 1993 Sep 9600 13.83SEPTEMBER 1993 Oct 9600 14.75OCTOBER 1993 Nov 9450 11.89NOVEMBER 1993 Dec 9250 8.90DECEMBER 1993 Jan 9200 10.27JANUARY 1994 Feb 8900 10.45FEBRUARY 1994 Mar 9300 11,931994 Apr 9600 13,80APRIL 1994 May 9750 12.19MAY 1994 Jun 9850 12.19JUNE 1994 ul 9650 9.22JULY 1994 Aug 10200 13.02AUGUST 1994 Sep 10100 12.54SEPTEMBER 1994 Oct 10100 10.78OCTOBER 1994 Nov 10200 10.12NOVEMBER 1994 Dec 10400 9.19OECEMBER 1994 Jan 10200 8.02JANUARY 1995 Feb 9950 9.15FEBRUARY 1995 Mar 10100 8.38MARCH 1995 Apr 10450 8.68APRIL 1995 Mav 11750 16,33MAY. 1995 dun 12050 15.65JUNE 1995 Jul 11950 13.66JULY 1995 Aug 11900 11.27AUGUST 1995 Sep 11400 12.97SEPTEMBER 1995 Oct 10400 14,82OBER 1995 Nov 10050 16.41NOVEMBER 1995 Dec 9750 14.83DECEMBER 1995 Jan 10000 12.38IARY 996 Mar 9700 12.92FEBRUARY 1996 Apr 9500 10.941996 Apr 9600 10.27RIL 1996 Jun 9400 10.25MAY. 1996 Jun 9.81JUNE 1996 Jul 9350 8.62ier (BE OB OBR
6 J
SEPTEMBER 1996 Oct 9300 6.47ER 1996 Dee 9100 7414NOVEMBER 1996 Dec 8850 8.37DECEMBER 1996 Jan 8850 6.83YY 1997 Feb 8700 9.25FEBRUARY 1997 Mar 8250 11.86RCH 1997 Apr 8450 11,93APBIL 1997 May 8300 10.79IAY” 1997 Jun 7950 8.82JUNE 1997 Jul 8700 9.97JULY 1997 Aug 8800 10.531997 Sep 8500 11,43SEPTEMBER 1997 Oct 8250 13.111997 Nov 8350 12,31NOVEMBER 1997 Dec 8300 11.74DECEMBER 1997 Jan 7800 14.01VOLATILITY PRO! 197
Yen Futures (1996)
Mr
Wh 74 Nya
 198 REFERENCE
JAPANESE YEN 1996max mins td iv max mins td ivMarch option and March future 2221Nov 20 10057 20Nov Zi 10028 19Nov 22 10097 18Nov 24 10017 17Nov 27 9998 16Nov 28 10032 15Nov 29 10010 13Nw30 9948 12Dec1 10035 "Dec4 10041 10Oec5 10032 9Decé 10020 8Oec7 10000 7Dec8 10017 6Dec 11 10038 5Dec12 9963 4Oec13 9978 3Dec 14 9988 2Dec 15 9928 1Dec18 9983 9442 March 1996 option expiresDec 19 9937 .Dec20 9944 April option and June futureDec Zl 9937Dec 22 9906 203 165 385 . 48 11.04Oec 26 9898 184 181 365 47 11.20Dec 27 9842 184 173 356 46 11.04Dec 28 9845 187 161 346 45 10.82Dec 29 9773 194 151 341 44 10.76Jan2 9721 229 «208 «4435 «448 «(12.92 188 174 361 43 11.36Jan3 9637-236 «199 +432 «47 «(13.07 188 168 341 42 10.89Jan4 9595 221 218 «437 «46 (13.42 1668 164 330 41 10.73Jan5 9589 213 202 